AEO Options History — March 2009

In March 2009, AEO traded between $8.77 and $12.84. ATM implied volatility averaged 68.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 0.9% (HV 20d: 67.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2009-03-06: Highest Volume — 10,798 contracts
  • 2009-03-11: Largest IV drop — 15.8% change
  • 2009-03-09: Highest IV Rank — 54.2%
  • 2009-03-02: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.73$8.77$12.84$9.31$12.24
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV68.4%58.5%85.2%79.1%62.9%
Expected Move19.3%16.8%22.7%22.7%18.0%
HV 20d67.5%59.7%73.0%62.7%67.7%
HV 60d67.0%65.1%69.7%69.7%68.2%
IV Rank37.4%27.5%54.2%48.1%31.9%
IV Percentile60.3%41.3%84.5%82.5%49.2%
Term Structure-1.2%-7.2%1.8%-7.2%1.5%
VWIV69.8%61.3%81.0%79.1%64.1%
Skew 25d15.1%4.6%31.1%18.0%4.6%
Skew 10d22.8%-10.1%49.6%35.7%6.6%
Call IV 25d59.7%45.7%73.0%62.9%64.7%
Put IV 25d74.8%66.5%88.2%80.9%69.4%
Bid-Ask Spread %14.047.4925.0317.8417.95
Gamma HHI0.470.330.630.340.63
Net GEX361.1K26.2K765.2K154.0K464.8K
Net DEX-11.6M-25.4M4.7M-2.1M-18.3M
Net VEX-87.2K-109.3K-66.9K-72.3K-107.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0325.024.692.53
Total Volume3,236.68261510,7983,345896
Total OI74,361.81864,33192,34465,38367,143

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$9.31$10.0079.1%22.7%62.7%48.1%79.1%18.0%-7.2%154.0K-2.1M-72.3K4.6917.845882,75738,15027,233
2009-03-03$9.66$10.0075.9%21.8%63.8%44.9%75.8%27.3%-5.0%214.9K-4.2M-74.9K0.2317.3649811738,11828,766
2009-03-04$9.94$10.0072.8%20.9%63.2%41.8%72.8%31.1%-1.9%302.3K-6.8M-76.4K0.467.4996744238,52428,976
2009-03-05$9.13$10.0077.1%22.1%70.1%46.2%76.4%19.1%-5.5%127.7K-450.5K-70.3K1.4511.311,4662,12838,63329,192
2009-03-06$8.91$10.0077.7%20.6%69.9%46.7%81.0%10.5%-2.0%94.7K2.2M-67.2K25.029.6041510,38339,75030,405
2009-03-09$8.77$10.0085.2%20.9%59.7%54.2%80.3%11.2%-1.3%26.2K4.7M-66.9K0.477.851,49270439,83136,981
2009-03-10$9.57$10.0079.0%20.3%67.7%48.1%77.9%11.5%-0.7%202.0K-1.6M-76.7K1.1317.271,1991,35040,55939,595
2009-03-11$9.69$10.0066.6%19.2%65.0%35.6%75.4%11.8%1.8%343.5K-2.9M-75.6K1.0620.431,5341,61941,02540,069
2009-03-12$9.99$10.0067.1%19.2%65.7%36.1%64.8%14.5%-0.5%477.0K-6.4M-80.3K0.5221.9455729041,60140,700
2009-03-13$10.34$10.0066.8%19.1%66.5%35.8%65.5%7.2%-1.5%573.0K-10.6M-81.3K0.2321.593,43379741,74140,803
2009-03-16$10.36$10.0067.4%19.3%66.5%36.4%65.5%13.8%0.9%765.2K-12.8M-79.4K0.4419.1799143743,31040,392
2009-03-17$10.74$10.0066.8%19.2%67.1%35.8%66.2%13.7%1.4%475.7K-15.6M-77.1K0.038.535,91115040,81640,515
2009-03-18$11.35$10.0059.5%17.0%68.9%28.4%63.0%16.1%-1.3%412.6K-22.4M-92.8K0.4810.576,3873,04346,02740,579
2009-03-19$11.42$10.0063.0%18.1%68.9%32.0%64.8%14.1%-2.9%357.5K-25.4M-95.9K0.498.801,58777350,42341,352
2009-03-20$10.99$10.0070.3%20.2%70.7%39.3%66.0%5.4%0.5%318.1K-22.1M-92.7K0.1210.341,39516850,71141,633
2009-03-23$11.87$10.0059.4%17.0%73.0%28.4%72.1%25.4%-0.7%431.9K-15.7M-101.7K2.8311.263741,06039,07525,256
2009-03-24$11.84$10.0060.8%17.4%70.7%29.8%61.3%20.4%-1.3%405.4K-15.0M-102.6K0.1010.813,10032239,21826,279
2009-03-25$11.96$10.0058.5%16.8%70.3%27.5%68.4%24.1%0.4%444.2K-16.5M-103.3K1.2112.8148258139,05026,423
2009-03-26$12.83$10.0062.3%17.9%69.7%31.3%62.4%14.0%-0.9%451.6K-22.1M-108.2K0.3925.032,44295138,14826,821
2009-03-27$12.84$10.0061.4%17.6%68.6%30.4%61.4%9.2%1.0%456.2K-22.8M-109.3K0.1010.625,65956538,86226,838
2009-03-30$12.32$10.0064.8%18.6%67.9%33.8%71.0%9.5%-0.2%446.0K-18.6M-106.2K0.1910.331,00519239,18627,251
2009-03-31$12.24$10.0062.9%18.0%67.7%31.9%64.1%4.6%1.5%464.8K-18.3M-107.2K2.5317.9525464239,80827,335