AEO Options History — April 2009

In April 2009, AEO traded between $12.00 and $15.60. ATM implied volatility averaged 61.0%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 6.7% (HV 20d: 67.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2009-04-22: Highest Volume — 12,052 contracts
  • 2009-04-14: Largest IV spike — 13.2% change
  • 2009-04-14: Highest IV Rank — 34.3%
  • 2009-04-14: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.12$12.00$15.60$12.61$14.82
Max Pain$11.43$10.00$12.50$10.00$12.50
ATM IV61.0%54.2%65.3%63.5%59.9%
Expected Move17.6%15.5%18.7%18.2%17.2%
HV 20d67.7%57.5%74.6%67.7%69.5%
HV 60d67.9%65.8%72.0%67.7%65.8%
IV Rank29.9%23.2%34.3%32.5%28.9%
IV Percentile42.5%27.0%54.4%50.0%36.5%
Term Structure2.2%-2.0%6.5%-0.9%5.2%
VWIV60.1%45.9%66.5%45.9%59.4%
Skew 25d11.7%7.6%26.4%26.4%7.9%
Skew 10d23.2%5.0%41.5%41.5%14.7%
Call IV 25d55.3%44.2%59.8%44.2%58.6%
Put IV 25d67.0%61.6%72.6%70.6%66.5%
Bid-Ask Spread %12.375.3420.435.349.04
Gamma HHI0.450.310.690.690.32
Net GEX335.9K246.5K440.2K426.3K355.6K
Net DEX-24.4M-36.0M-9.9M-17.7M-26.1M
Net VEX-102.8K-122.9K-87.1K-92.5K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.092.820.320.81
Total Volume3,16542112,0528141,103
Total OI63,368.47647,13271,13261,86663,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$12.61$10.0063.5%18.2%67.7%32.5%45.9%26.4%-0.9%426.3K-17.7M-92.5K0.325.3461819634,55527,311
2009-04-02$13.26$10.0062.8%18.0%58.5%31.8%61.7%12.7%2.4%429.6K-22.2M-94.3K0.2716.622,98281835,02727,444
2009-04-03$13.08$10.0061.6%17.9%57.5%30.5%61.8%13.8%0.6%440.2K-20.7M-94.4K2.827.631,4784,17235,15028,129
2009-04-06$12.71$10.0062.0%17.8%58.7%31.0%64.1%16.3%0.8%298.1K-16.2M-95.0K1.538.501,1151,71034,84931,724
2009-04-07$12.00$10.0060.2%18.3%58.8%29.2%63.2%14.1%-0.5%246.5K-9.9M-95.0K1.008.991,2841,27935,63432,381
2009-04-08$12.51$10.0057.5%17.8%59.7%26.5%58.0%12.9%1.5%272.3K-14.2M-98.4K0.4111.022,7661,13635,94432,465
2009-04-09$13.98$10.0054.2%15.5%69.0%23.2%60.7%9.2%3.7%323.8K-26.2M-101.8K0.6220.431,7621,09536,70533,049
2009-04-13$14.06$10.0057.7%16.6%68.8%26.7%60.3%9.2%1.0%322.2K-26.6M-100.0K1.1120.0759365836,89333,620
2009-04-14$13.65$10.0065.3%18.7%70.5%34.3%58.6%9.6%-2.0%321.3K-24.6M-95.7K0.6314.3125916236,85933,890
2009-04-15$13.73$12.5063.3%18.1%70.1%32.3%57.7%9.1%1.0%321.2K-25.1M-96.7K0.3413.8945115236,89934,233
2009-04-16$14.60$12.5056.8%16.3%70.6%25.8%57.0%9.0%1.5%369.1K-30.2M-88.5K0.3811.361,03239635,06632,437
2009-04-17$15.36$12.5056.5%16.2%71.8%25.5%56.9%11.6%1.6%353.4K-36.0M-87.1K0.6810.702,3641,61835,54832,683
2009-04-20$14.43$12.5063.0%18.1%74.6%32.0%64.4%7.6%3.3%302.4K-22.8M-92.1K0.899.912,8012,48231,02616,106
2009-04-21$15.07$12.5062.9%18.0%71.8%31.9%61.8%9.1%3.0%289.0K-26.5M-98.8K0.3712.041,75065132,44117,523
2009-04-22$15.26$12.5063.4%18.2%71.6%32.4%64.7%8.6%2.8%296.0K-28.2M-101.4K0.828.966,6405,41233,73217,957
2009-04-23$15.01$12.5059.9%17.2%72.3%28.9%59.7%11.4%6.5%303.0K-26.1M-122.9K0.2314.193,13772038,63822,607
2009-04-24$15.60$12.5061.3%17.6%69.7%30.3%53.9%9.9%4.7%314.4K-31.7M-119.7K0.0915.686,95963338,60321,722
2009-04-27$15.17$12.5063.6%18.2%70.9%32.6%63.4%8.4%3.2%356.0K-29.1M-122.6K0.6513.1049332040,62622,031
2009-04-28$14.95$12.5063.1%18.1%69.1%32.1%63.2%9.3%3.8%356.0K-27.6M-121.7K0.4016.1769828140,77422,025
2009-04-29$14.60$12.5061.5%17.6%69.9%30.5%66.5%20.5%3.3%358.3K-24.2M-118.3K0.2811.911,79249740,85022,146
2009-04-30$14.82$12.5059.9%17.2%69.5%28.9%59.4%7.9%5.2%355.6K-26.1M-121.5K0.819.0460949441,19522,241