AEO Options History — December 2014

In December 2014, AEO traded between $11.91 and $14.38. ATM implied volatility averaged 42.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 21.9% (HV 20d: 64.6%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-12-05: Highest Volume — 36,214 contracts
  • 2014-12-05: Largest IV drop — 22.8% change
  • 2014-12-02: Highest IV Rank — 38.8%
  • 2014-12-04: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.39$11.91$14.38$13.78$13.88
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV42.7%37.9%54.9%54.2%39.1%
Expected Move11.6%10.8%12.8%12.7%11.0%
HV 20d64.6%55.0%76.1%55.0%63.9%
HV 60d51.3%42.7%53.8%42.8%52.5%
IV Rank23.7%17.8%38.8%37.9%19.3%
IV Percentile67.1%51.2%92.5%91.3%58.3%
Term Structure0.0%-2.8%2.4%-2.0%-0.2%
VWIV39.9%29.9%45.0%43.5%41.1%
Skew 25d4.5%3.1%6.0%5.2%3.1%
Skew 10d10.9%1.2%21.3%14.4%7.8%
Call IV 25d41.3%36.3%52.5%51.0%39.4%
Put IV 25d45.8%40.4%57.7%56.2%42.5%
Bid-Ask Spread %15.438.3025.1910.8616.25
Gamma HHI0.270.170.330.250.29
Net GEX1.6M392.7K2.5M2.1M1.6M
Net DEX-35.8M-85.7M18.1M-62.5M-42.0M
Net VEX-274.8K-364.3K-226.8K-363.2K-226.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.168.340.168.34
Total Volume17,012.0912,31336,21427,9917,304
Total OI203,544.818159,780228,648213,951177,029

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$13.78$13.0054.2%12.7%55.0%37.9%43.5%5.2%-2.0%2.1M-62.5M-363.2K0.1610.8624,1213,870142,56571,386
2014-12-02$13.94$13.0054.9%12.8%55.1%38.8%45.0%5.2%-2.1%2.2M-69.1M-363.5K0.4210.1314,1985,901143,65972,096
2014-12-03$14.38$13.0052.0%12.8%55.8%35.1%44.7%6.0%-2.0%2.5M-85.7M-364.3K0.2715.2426,0946,930144,03671,877
2014-12-04$13.81$13.0051.2%12.8%57.5%34.1%44.8%5.0%-0.8%2.2M-62.8M-353.2K0.3316.8122,9777,695142,86373,388
2014-12-05$11.91$13.0039.5%11.3%76.1%19.8%39.9%5.8%1.5%392.7K18.1M-237.9K0.478.3024,66111,553149,64176,974
2014-12-08$12.27$13.0038.4%11.2%73.5%18.4%40.2%4.6%2.4%834.9K3.9M-239.0K0.5712.7415,3138,656149,01575,293
2014-12-09$12.51$13.0038.7%11.0%72.7%18.8%37.9%3.6%0.2%1.1M-4.9M-258.1K0.2414.0418,6014,499149,88677,174
2014-12-10$12.93$13.0040.3%11.6%73.6%20.7%38.4%3.6%0.3%1.5M-25.4M-280.7K0.4916.3013,6956,714150,84377,506
2014-12-11$12.90$13.0038.5%11.2%63.1%18.6%36.7%3.2%2.2%1.2M-20.8M-272.7K0.5015.7813,3806,647148,55980,089
2014-12-12$13.24$13.0040.3%11.8%63.7%20.7%40.4%4.7%1.8%1.3M-33.9M-286.4K1.0023.345,1705,195145,13180,782
2014-12-15$13.49$13.0043.3%12.1%64.0%24.5%39.2%4.6%0.2%1.6M-37.0M-284.4K1.3019.355,0726,596138,97879,962
2014-12-16$13.11$13.0043.6%12.2%64.7%24.9%39.8%3.5%-1.3%1.1M-22.7M-266.1K0.3912.7711,5084,470138,92678,520
2014-12-17$13.46$13.0044.4%12.2%65.4%25.8%43.6%3.2%-1.8%1.7M-38.1M-271.9K0.7525.195,6694,231135,88478,784
2014-12-18$13.65$13.0040.8%11.3%65.5%21.4%40.5%6.0%1.4%2.1M-44.2M-264.5K0.7616.675,5464,189134,47777,999
2014-12-19$13.30$13.0043.6%11.7%64.8%24.8%43.6%4.1%-2.8%1.2M-31.0M-254.3K1.1817.241,0631,250133,70778,443
2014-12-22$13.50$13.0041.1%11.5%65.0%21.7%39.6%5.6%1.5%1.7M-38.1M-251.9K0.8912.674,4393,959106,60753,173
2014-12-23$13.51$13.0039.0%10.9%64.5%19.2%34.7%4.0%1.6%1.6M-36.7M-241.8K2.8915.454,01111,580106,58354,534
2014-12-24$13.53$13.0040.2%10.9%64.5%20.6%29.9%5.1%0.3%1.2M-32.8M-253.3K3.3012.193,48611,515107,11863,046
2014-12-26$13.66$13.0039.7%11.0%64.5%20.0%36.4%3.6%0.2%1.3M-37.0M-248.4K0.9413.984,0993,841107,47163,083
2014-12-29$13.84$13.0038.5%10.8%64.5%18.6%38.9%4.6%0.3%1.5M-40.4M-233.4K0.2315.8514,0653,227106,20962,556
2014-12-30$13.89$13.0037.9%10.9%64.0%17.8%40.2%5.5%0.3%1.9M-45.1M-229.2K2.3918.252,1445,132109,06063,074
2014-12-31$13.88$13.0039.1%11.0%63.9%19.3%41.1%3.1%-0.2%1.6M-42.0M-226.8K8.3416.257826,522109,88367,146