AEO Options History — February 2015

In February 2015, AEO traded between $13.96 and $15.00. ATM implied volatility averaged 40.9%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 11.3% (HV 20d: 29.5%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.20.

Notable Days

2015-02-24: Highest Volume — 9,627 contracts
2015-02-09: Largest IV spike — 15.6% change
2015-02-11: Highest IV Rank — 24.5%
2015-02-26: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.65	$13.96	$15.00	$13.96	$14.99
Max Pain	$14.68	$13.00	$15.00	$13.00	$15.00
ATM IV	40.9%	34.0%	45.9%	36.2%	41.1%
Expected Move	11.7%	9.2%	12.8%	10.1%	12.5%
HV 20d	29.5%	24.1%	39.3%	37.3%	26.0%
HV 60d	46.6%	44.2%	52.6%	52.4%	44.5%
IV Rank	18.0%	9.2%	24.5%	12.1%	18.4%
IV Percentile	64.7%	31.7%	80.6%	43.7%	68.3%
Term Structure	0.7%	-5.2%	8.8%	8.8%	-2.6%
VWIV	41.2%	34.1%	46.2%	35.1%	46.2%
Skew 25d	4.5%	2.3%	6.7%	4.9%	6.7%
Skew 10d	10.4%	0.0%	21.5%	20.3%	15.7%
Call IV 25d	38.9%	31.7%	43.5%	33.7%	38.3%
Put IV 25d	43.4%	35.5%	48.2%	38.5%	45.0%
Bid-Ask Spread %	15.15	11.38	21.88	16.82	21.88
Gamma HHI	0.21	0.17	0.26	0.19	0.17
Net GEX	-88.9K	-449.2K	105.1K	-214.0K	-22.6K
Net DEX	-11.4M	-17.6M	-3.8M	-3.8M	-13.5M
Net VEX	-161.7K	-166.6K	-155.5K	-161.2K	-161.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.24	3.59	0.24	2.44
Total Volume	6,980	828	9,627	828	8,244
Total OI	73,689.632	64,835	79,114	73,108	69,283

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-02-02	$13.96	$13.00	36.2%	10.1%	37.3%	12.1%	35.1%	4.9%	8.8%	-214.0K	-3.8M	-161.2K	0.24	16.82	666	162	34,550	38,558
2015-02-03	$14.46	$13.00	34.0%	9.2%	39.2%	9.2%	34.2%	4.2%	7.5%	-85.5K	-10.8M	-164.7K	2.23	15.07	1,966	4,381	35,016	38,658
2015-02-04	$14.64	$13.00	35.0%	9.3%	39.3%	10.6%	34.1%	2.8%	7.1%	15.7K	-13.9M	-165.1K	2.72	19.90	2,063	5,604	35,198	38,872
2015-02-05	$14.55	$15.00	35.4%	11.8%	35.6%	11.1%	40.8%	4.8%	8.6%	-51.6K	-12.2M	-166.3K	2.48	12.90	2,130	5,289	35,346	40,056
2015-02-06	$14.61	$15.00	37.0%	11.6%	30.8%	13.1%	40.6%	3.8%	8.7%	-16.5K	-13.0M	-166.6K	2.20	11.64	2,318	5,103	35,552	40,197
2015-02-09	$14.52	$15.00	42.8%	12.1%	30.7%	20.5%	42.7%	4.5%	-2.6%	-36.3K	-11.2M	-164.1K	2.64	11.38	2,377	6,277	35,109	39,448
2015-02-10	$15.00	$15.00	42.0%	11.9%	31.5%	19.6%	40.8%	4.9%	-1.6%	101.4K	-17.6M	-165.0K	3.08	12.38	2,118	6,531	35,260	40,179
2015-02-11	$14.74	$15.00	45.9%	12.0%	32.3%	24.5%	41.1%	4.2%	-3.7%	45.1K	-14.3M	-163.1K	3.59	12.97	1,743	6,260	35,587	40,463
2015-02-12	$14.80	$15.00	44.0%	11.8%	31.7%	22.0%	41.2%	4.6%	-3.2%	105.1K	-14.8M	-162.0K	3.01	15.86	1,951	5,877	35,665	40,629
2015-02-13	$14.69	$15.00	43.9%	11.6%	26.0%	21.9%	40.7%	4.4%	-5.2%	73.6K	-12.8M	-160.6K	2.70	17.07	2,098	5,655	35,749	40,951
2015-02-17	$14.51	$15.00	41.9%	11.9%	26.0%	19.4%	41.9%	5.9%	0.7%	-66.6K	-10.1M	-156.4K	3.17	16.83	2,141	6,786	35,419	40,059
2015-02-18	$14.50	$15.00	44.3%	12.7%	25.4%	22.5%	42.0%	5.7%	-2.5%	-172.6K	-9.4M	-156.0K	2.58	17.53	2,157	5,568	35,715	41,462
2015-02-19	$14.46	$15.00	43.6%	12.6%	24.7%	21.5%	41.2%	3.8%	-2.4%	-449.2K	-8.4M	-155.5K	0.68	14.09	1,392	942	35,778	41,761
2015-02-20	$14.76	$15.00	40.6%	11.6%	24.1%	17.8%	43.0%	5.6%	0.3%	-416.5K	-12.6M	-160.2K	0.37	13.78	1,811	669	36,734	42,380
2015-02-23	$14.64	$15.00	42.6%	12.7%	24.3%	20.2%	43.4%	2.3%	0.1%	-296.4K	-7.3M	-159.0K	1.94	13.17	2,060	3,987	29,651	35,184
2015-02-24	$15.00	$15.00	41.4%	11.9%	25.5%	18.8%	43.2%	2.7%	-1.6%	-161.4K	-12.0M	-159.9K	0.95	18.54	4,939	4,688	30,062	35,414
2015-02-25	$14.81	$15.00	42.1%	12.2%	26.0%	19.7%	45.0%	3.8%	-1.7%	31.9K	-10.7M	-161.6K	1.43	13.84	3,258	4,650	33,101	36,578
2015-02-26	$14.65	$15.00	42.3%	12.8%	24.8%	19.8%	45.0%	5.5%	-2.2%	-72.0K	-7.8M	-163.5K	3.27	12.17	2,052	6,707	33,556	36,923
2015-02-27	$14.99	$15.00	41.1%	12.5%	26.0%	18.4%	46.2%	6.7%	-2.6%	-22.6K	-13.5M	-161.0K	2.44	21.88	2,393	5,851	33,622	35,661