AEO Options History — May 2009

In May 2009, AEO traded between $13.59 and $15.53. ATM implied volatility averaged 60.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 2.8% (HV 20d: 63.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2009-05-07: Highest Volume — 9,983 contracts
  • 2009-05-14: Largest IV spike — 23.2% change
  • 2009-05-06: Highest IV Rank — 35.4%
  • 2009-05-13: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.37$13.59$15.53$14.47$14.81
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV60.6%50.9%66.4%59.3%50.9%
Expected Move17.8%14.6%19.4%17.0%14.6%
HV 20d63.4%55.5%75.6%68.5%60.0%
HV 60d66.3%63.0%68.1%65.7%65.2%
IV Rank29.1%18.9%35.4%28.3%18.9%
IV Percentile37.7%11.5%56.0%34.9%11.5%
Term Structure-3.3%-6.8%5.5%5.5%1.1%
VWIV62.2%50.8%68.3%60.1%50.8%
Skew 25d8.0%2.2%11.7%2.2%5.8%
Skew 10d18.1%-2.8%35.7%0.6%10.9%
Call IV 25d59.6%50.4%65.0%62.0%50.4%
Put IV 25d67.6%56.2%73.8%64.2%56.2%
Bid-Ask Spread %12.516.7121.378.648.27
Gamma HHI0.310.270.360.330.29
Net GEX276.6K131.7K496.6K360.8K167.1K
Net DEX-17.0M-34.8M-4.9M-23.3M-8.2M
Net VEX-114.2K-123.7K-104.9K-118.0K-123.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.063.670.750.42
Total Volume3,247.87819,9838502,759
Total OI59,573.245,84672,89663,74353,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$14.47$12.5059.3%17.0%68.5%28.3%60.1%2.2%5.5%360.8K-23.3M-118.0K0.758.6448536541,45422,289
2009-05-04$14.95$15.0064.5%18.6%68.8%33.5%63.6%11.0%-5.8%355.9K-27.3M-118.3K0.0611.644,55628941,53622,517
2009-05-05$15.50$15.0064.9%18.8%68.3%33.9%63.3%10.7%-5.9%496.6K-34.6M-121.7K0.4516.441,09649144,59522,499
2009-05-06$15.53$15.0066.4%18.8%63.6%35.4%63.9%11.7%-5.3%494.1K-34.8M-121.2K0.6916.081,6121,11144,56322,608
2009-05-07$13.94$15.0060.3%19.1%75.6%29.3%68.3%10.2%-5.8%475.3K-19.3M-113.2K0.5111.726,6143,36945,05323,225
2009-05-08$14.13$15.0061.8%18.5%64.7%30.8%64.7%10.1%-4.8%490.7K-21.0M-118.8K0.4012.903,6981,49746,17924,496
2009-05-11$14.85$15.0063.3%18.9%67.0%32.3%67.2%9.2%-6.4%421.7K-27.7M-120.1K0.4621.372,5011,15045,20925,366
2009-05-12$14.61$15.0060.4%19.2%66.3%29.4%67.1%9.6%-6.8%398.2K-26.1M-117.3K0.0614.902,58915445,27224,870
2009-05-13$13.86$15.0053.1%19.4%69.2%22.1%68.2%8.1%-6.7%175.9K-20.0M-109.0K0.7814.3973857546,27524,945
2009-05-14$13.99$15.0065.4%18.8%65.5%34.4%65.5%9.2%-4.6%178.8K-20.7M-109.5K1.6011.198891,41846,54324,912
2009-05-15$13.85$15.0062.2%17.8%62.5%30.3%65.9%9.1%-2.4%131.7K-19.1M-111.2K1.5711.038531,34046,76826,128
2009-05-18$14.26$15.0061.9%17.7%59.8%30.0%61.7%7.4%-4.0%181.3K-8.6M-113.7K0.2915.4260717429,51116,335
2009-05-19$14.20$15.0058.9%16.9%57.4%27.0%60.7%8.9%-2.2%182.1K-8.0M-110.7K0.459.831,03246629,70716,420
2009-05-20$13.99$15.0059.6%17.1%57.3%27.7%60.1%8.4%-2.9%159.6K-6.6M-108.0K0.4214.961,58366429,49116,586
2009-05-21$13.59$15.0066.3%19.0%57.8%34.5%62.4%7.3%-2.7%154.4K-4.9M-106.4K0.1514.0488412930,37816,848
2009-05-22$13.59$15.0065.0%18.6%55.5%33.2%62.0%6.0%-2.0%156.1K-4.9M-104.9K0.676.7171647930,53416,699
2009-05-26$14.48$15.0060.8%17.4%60.2%28.9%62.3%6.2%-4.8%215.7K-9.4M-111.5K0.749.963,6642,69630,75116,695
2009-05-27$14.33$15.0054.6%15.7%60.1%22.7%54.5%3.7%-0.8%168.4K-7.6M-111.4K0.7911.204,1863,28630,73218,944
2009-05-28$14.51$15.0052.4%15.0%59.8%20.4%52.6%5.7%0.7%168.2K-7.8M-114.7K3.679.489083,33331,26120,026
2009-05-29$14.81$15.0050.9%14.6%60.0%18.9%50.8%5.8%1.1%167.1K-8.2M-123.7K0.428.271,94681331,20622,038