AEO Options History — January 2009

In January 2009, AEO traded between $9.01 and $10.82. ATM implied volatility averaged 71.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 6.3% (HV 20d: 64.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.11.

Notable Days

  • 2009-01-12: Highest Volume — 8,948 contracts
  • 2009-01-15: Largest IV spike — 77.7% change
  • 2009-01-07: Highest IV Rank — 52.3%
  • 2009-01-07: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.79$9.01$10.82$9.91$9.01
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV71.1%41.5%83.3%69.5%66.3%
Expected Move20.7%18.2%22.4%19.9%19.0%
HV 20d64.8%51.0%76.7%66.3%76.7%
HV 60d86.3%83.3%91.1%91.1%85.7%
IV Rank40.1%10.5%52.3%38.5%35.3%
IV Percentile70.8%6.3%84.1%73.8%66.3%
Term Structure1.0%-4.4%7.0%1.8%6.0%
VWIV73.3%63.9%85.0%69.5%67.0%
Skew 25d14.8%4.2%33.6%33.6%15.5%
Skew 10d22.9%1.9%53.8%53.8%28.5%
Call IV 25d67.4%52.8%74.3%52.8%61.9%
Put IV 25d82.2%72.9%86.4%86.4%77.4%
Bid-Ask Spread %10.725.1515.905.1513.40
Gamma HHI0.400.210.760.590.45
Net GEX8.2K-479.0K192.1K-81.3K132.8K
Net DEX2.9M-2.6M11.6M7.3M1.3M
Net VEX-61.9K-75.1K-52.3K-63.8K-52.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0211.280.250.88
Total Volume2,745.853688,9481,979884
Total OI75,580.8541,402102,67094,40147,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$9.91$12.5069.5%19.9%66.3%38.5%69.5%33.6%1.8%-81.3K7.3M-63.8K0.255.151,58539455,50638,895
2009-01-05$10.42$10.0078.2%21.4%66.1%47.2%82.6%17.1%-1.6%-69.6K3.9M-68.9K1.189.972,1042,49356,58942,458
2009-01-06$10.82$10.0078.9%21.5%61.6%47.9%74.4%17.8%-3.3%20.2K248.0K-71.0K0.529.623,0681,58258,05338,059
2009-01-07$10.62$10.0083.3%22.4%60.3%52.3%78.5%18.4%-3.6%-2.0K1.8M-71.4K11.288.685215,87558,92338,904
2009-01-08$10.58$10.0079.3%21.7%59.6%48.3%74.8%19.9%-2.5%-78.4K4.2M-75.1K2.5010.926381,59558,74243,754
2009-01-09$10.13$10.0070.7%21.6%59.7%39.7%73.4%16.9%-3.5%-103.7K7.0M-71.5K5.629.8815989458,81443,856
2009-01-12$9.76$10.0078.2%20.6%53.4%47.2%71.7%16.7%0.0%-127.0K9.6M-66.0K3.2813.882,0906,85858,82943,746
2009-01-13$9.70$10.0066.3%21.4%51.0%35.3%74.6%15.7%-4.4%-24.8K7.5M-62.2K0.7513.3892669160,56940,616
2009-01-14$9.27$10.0041.5%21.0%51.1%10.5%73.7%14.6%-1.0%48.0K11.6M-56.1K1.8815.9033563060,78640,545
2009-01-15$10.26$10.0073.7%21.1%61.3%42.7%73.0%18.5%-0.8%-64.8K2.1M-64.8K0.5212.843,7011,93060,73940,345
2009-01-16$10.06$10.0072.7%20.9%61.1%41.7%75.6%15.9%-1.6%-479.0K2.4M-62.8K0.8912.931,7401,55560,88740,342
2009-01-20$9.14$10.0076.1%21.8%69.8%45.1%85.0%11.7%2.6%74.9K717.8K-53.6K6.977.243452,40626,85014,552
2009-01-21$9.57$10.0074.5%21.3%70.5%43.4%74.3%15.5%1.3%79.4K-13.5K-57.5K0.308.973,5511,05726,97016,152
2009-01-22$9.28$10.0072.7%20.9%69.9%41.7%73.4%11.6%4.3%106.0K269.9K-57.8K2.267.3117639729,23816,705
2009-01-23$9.21$10.0071.8%20.6%69.8%40.8%75.7%7.1%4.6%106.7K740.4K-55.6K0.9410.3631729729,27316,705
2009-01-26$9.34$10.0070.7%20.3%69.9%39.7%71.6%12.0%3.5%120.6K397.3K-55.4K0.0210.331,2002729,34816,615
2009-01-27$9.36$10.0068.8%19.7%69.8%37.8%68.8%6.1%5.6%139.9K169.8K-55.4K1.2012.5916720130,44516,491
2009-01-28$9.93$10.0063.6%18.2%72.7%32.6%63.9%7.8%6.5%192.1K-2.6M-60.0K0.276.741,58842830,44516,409
2009-01-29$9.49$10.0064.4%18.5%74.8%33.4%65.2%4.2%7.0%173.0K-697.7K-57.0K0.7614.3529122131,05416,736
2009-01-30$9.01$10.0066.3%19.0%76.7%35.3%67.0%15.5%6.0%132.8K1.3M-52.3K0.8813.4046941531,07716,595