AEO Options History — February 2009

In February 2009, AEO traded between $8.44 and $9.85. ATM implied volatility averaged 71.3%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 2.2% (HV 20d: 69.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.58.

Notable Days

2009-02-06: Highest Volume — 10,679 contracts
2009-02-03: Largest IV spike — 19.2% change
2009-02-03: Highest IV Rank — 50.3%
2009-02-03: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.26	$8.44	$9.85	$8.93	$9.76
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	71.3%	61.7%	81.3%	68.2%	70.2%
Expected Move	20.8%	18.6%	23.3%	19.5%	20.1%
HV 20d	69.1%	58.2%	80.6%	73.4%	63.2%
HV 60d	79.8%	69.6%	87.8%	85.5%	69.6%
IV Rank	40.3%	30.7%	50.3%	37.2%	39.1%
IV Percentile	69.5%	56.0%	83.7%	66.7%	64.7%
Term Structure	-3.5%	-8.8%	5.2%	5.2%	-0.8%
VWIV	73.4%	64.7%	81.3%	81.3%	70.2%
Skew 25d	11.1%	4.5%	23.1%	18.1%	23.1%
Skew 10d	13.1%	-1.5%	37.8%	30.4%	37.8%
Call IV 25d	67.9%	53.3%	76.1%	66.8%	53.3%
Put IV 25d	79.0%	72.1%	84.9%	84.9%	76.3%
Bid-Ask Spread %	10.78	5.79	18.02	10.50	6.74
Gamma HHI	0.38	0.30	0.48	0.44	0.33
Net GEX	165.6K	45.0K	420.2K	122.2K	191.2K
Net DEX	702.0K	-4.4M	4.7M	2.1M	-4.4M
Net VEX	-60.2K	-75.8K	-42.7K	-49.2K	-75.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.58	0.05	21.61	21.61	0.05
Total Volume	3,548.421	351	10,679	2,035	5,096
Total OI	60,460.842	47,860	73,865	47,860	62,925

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
2009-02-02	$8.93	$10.00	68.2%	19.5%	73.4%	37.2%	81.3%	18.1%	5.2%	122.2K	2.1M	-49.2K	21.61	10.50	90	1,945	31,028	16,832
2009-02-03	$8.69	$10.00	81.3%	23.3%	70.8%	50.3%	66.5%	10.7%	1.2%	82.6K	3.8M	-45.4K	1.74	9.69	405	703	31,084	17,802
2009-02-04	$8.44	$10.00	76.4%	21.9%	68.9%	45.4%	73.9%	9.7%	4.3%	45.0K	4.7M	-42.7K	0.14	7.21	1,330	192	31,108	18,343
2009-02-05	$8.73	$10.00	76.4%	21.9%	70.7%	45.4%	72.4%	6.2%	2.6%	81.7K	4.0M	-44.4K	10.56	11.68	600	6,334	30,642	18,357
2009-02-06	$9.64	$10.00	63.6%	19.5%	80.6%	32.6%	69.5%	10.0%	-6.1%	154.6K	-243.6K	-57.0K	0.22	14.12	8,728	1,951	30,898	23,389
2009-02-09	$9.47	$10.00	66.1%	19.5%	79.5%	35.1%	67.9%	13.3%	-5.2%	190.1K	-29.3K	-64.1K	0.16	6.68	2,307	373	38,656	24,382
2009-02-10	$9.00	$10.00	68.7%	20.8%	80.4%	37.7%	79.8%	11.8%	-8.5%	128.7K	2.4M	-59.1K	1.74	7.83	1,365	2,377	39,150	24,073
2009-02-11	$9.07	$10.00	61.7%	20.5%	80.5%	30.7%	78.7%	11.5%	-7.0%	138.3K	2.7M	-60.1K	1.76	9.76	1,347	2,375	39,693	26,137
2009-02-12	$9.07	$10.00	72.6%	20.8%	79.0%	41.6%	77.3%	11.7%	-7.9%	128.7K	2.8M	-61.3K	2.08	9.46	114	237	40,587	27,876
2009-02-13	$9.06	$10.00	70.7%	20.3%	69.1%	39.7%	70.3%	9.3%	-5.2%	128.8K	2.8M	-61.3K	0.34	8.34	353	121	40,635	27,903
2009-02-17	$9.26	$10.00	75.7%	21.7%	69.6%	44.7%	76.0%	8.9%	-8.5%	179.8K	1.9M	-59.4K	0.41	7.18	884	365	40,538	27,964
2009-02-18	$9.50	$10.00	76.2%	21.8%	61.2%	45.2%	79.7%	7.2%	-8.5%	284.2K	327.9K	-62.5K	3.06	17.10	1,309	4,007	40,641	28,003
2009-02-19	$9.65	$10.00	74.7%	21.4%	59.2%	43.7%	74.8%	6.2%	-8.8%	409.8K	-790.8K	-67.8K	0.22	17.27	2,219	482	41,562	31,188
2009-02-20	$9.58	$10.00	74.6%	21.4%	58.2%	43.6%	75.0%	10.8%	-6.2%	420.2K	-552.9K	-68.3K	1.07	17.24	2,616	2,810	42,779	31,086
2009-02-23	$9.25	$10.00	75.0%	21.5%	59.5%	44.0%	75.0%	5.9%	-3.9%	55.7K	-415.4K	-64.6K	0.36	9.41	1,048	374	30,090	23,690
2009-02-24	$9.85	$10.00	71.1%	20.4%	63.4%	40.1%	72.5%	11.1%	-1.8%	132.6K	-3.5M	-68.4K	0.65	18.02	1,406	908	30,460	23,738
2009-02-25	$9.74	$10.00	64.7%	18.6%	63.6%	33.7%	64.7%	4.5%	1.1%	136.2K	-2.8M	-66.3K	0.17	5.79	6,071	1,012	30,901	24,255
2009-02-26	$9.27	$10.00	67.3%	19.3%	62.3%	36.3%	69.8%	20.4%	-1.6%	136.2K	-1.4M	-66.8K	2.64	10.73	979	2,587	35,361	25,000
2009-02-27	$9.76	$10.00	70.2%	20.1%	63.2%	39.1%	70.2%	23.1%	-0.8%	191.2K	-4.4M	-75.8K	0.05	6.74	4,845	251	35,908	27,017