AEO Options History — June 2009

In June 2009, AEO traded between $13.07 and $15.40. ATM implied volatility averaged 50.2%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 6.8% (HV 20d: 43.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2009-06-03: Highest Volume — 10,760 contracts
  • 2009-06-25: Largest IV drop — 15.1% change
  • 2009-06-02: Highest IV Rank — 23.9%
  • 2009-06-02: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$13.07$15.40$15.40$14.17
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV50.2%42.1%55.9%55.0%42.5%
Expected Move14.4%12.1%16.0%15.8%12.2%
HV 20d43.3%34.8%60.8%60.8%40.4%
HV 60d59.2%56.6%62.7%62.7%57.0%
IV Rank13.7%2.5%23.9%23.1%2.9%
IV Percentile9.0%0.8%18.7%17.9%1.2%
Term Structure1.5%-1.4%4.8%-0.3%3.3%
VWIV50.2%42.9%55.6%54.5%42.9%
Skew 25d7.2%-1.5%12.1%7.0%4.4%
Skew 10d12.6%-3.4%31.3%17.1%21.4%
Call IV 25d47.2%38.5%54.0%52.0%42.2%
Put IV 25d54.4%46.6%60.2%59.0%46.6%
Bid-Ask Spread %11.355.9422.049.3722.04
Gamma HHI0.280.230.330.330.29
Net GEX101.5K-4.4K244.9K231.5K151.7K
Net DEX-3.2M-14.0M5.7M-13.3M-3.2M
Net VEX-138.0K-156.7K-119.2K-128.5K-129.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.012.210.982.21
Total Volume2,365.36445810,7607,632539
Total OI62,223.45553,75769,76453,75757,581

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$15.40$15.0055.0%15.8%60.8%23.1%54.5%7.0%-0.3%231.5K-13.3M-128.5K0.989.373,8633,76931,69722,060
2009-06-02$15.34$15.0055.9%16.0%59.8%23.9%55.6%6.6%-1.4%244.9K-14.0M-142.1K0.558.521,65790834,18623,690
2009-06-03$15.19$15.0055.6%15.9%58.5%23.6%55.4%6.1%-0.8%203.5K-12.0M-139.7K0.9615.445,4905,27033,66123,767
2009-06-04$14.97$15.0052.9%15.2%58.7%20.9%53.0%5.1%0.9%178.3K-10.1M-147.9K1.905.942,1964,17335,90926,298
2009-06-05$14.85$15.0051.5%15.0%43.5%19.5%52.3%9.0%0.7%86.4K-6.4M-156.7K1.3111.141,1591,51735,46829,400
2009-06-08$14.56$15.0054.4%15.5%44.0%22.4%53.7%9.6%1.1%56.6K-4.0M-149.3K0.5712.5277544535,70229,194
2009-06-09$14.61$15.0051.2%14.5%40.2%19.2%51.8%7.9%1.1%58.7K-4.3M-149.4K0.3911.362,05780136,17929,440
2009-06-10$14.71$15.0048.3%14.4%39.8%16.3%50.9%9.4%1.6%121.5K-6.1M-151.9K1.999.956901,37237,41429,452
2009-06-11$14.33$15.0050.8%14.6%36.1%12.0%50.7%7.2%0.5%82.7K-2.1M-147.4K0.8517.931,15197537,58729,720
2009-06-12$14.56$15.0047.9%13.7%36.3%8.8%52.3%8.7%2.5%129.6K-4.4M-150.1K0.829.3665053438,19429,867
2009-06-15$14.17$15.0049.1%14.1%37.6%10.1%51.0%7.1%1.6%74.7K61.7K-142.5K0.216.504008538,13330,228
2009-06-16$13.55$15.0054.8%15.7%39.4%16.3%50.2%8.0%0.1%-4.4K5.7M-130.3K0.258.1796623938,17630,164
2009-06-17$13.88$15.0048.7%14.0%40.5%9.7%43.7%12.1%2.6%31.2K3.6M-133.5K0.119.851,01911638,32730,034
2009-06-18$13.85$15.0048.0%13.7%40.2%8.9%49.6%10.7%2.7%28.9K3.9M-132.7K0.188.251,42325238,64829,966
2009-06-19$13.98$15.0048.9%14.0%38.8%9.9%49.0%9.3%0.3%66.4K2.6M-134.2K0.4010.6232713139,89629,868
2009-06-22$13.55$15.0053.9%15.4%40.5%15.4%51.3%1.8%2.3%36.7K996.0K-125.1K0.357.8556519830,80724,766
2009-06-23$13.07$15.0053.0%15.2%34.8%14.4%52.9%-1.5%1.4%3.8K3.5M-119.2K0.399.4139315230,90924,882
2009-06-24$13.38$15.0051.3%14.7%36.2%12.5%45.0%2.2%1.8%23.0K1.9M-121.9K0.0111.321,6882131,14025,009
2009-06-25$14.30$15.0043.6%12.5%43.7%4.0%45.3%11.7%4.0%133.4K-4.9M-136.8K0.1612.881,77828732,03125,004
2009-06-26$14.22$15.0044.5%12.8%42.9%5.0%44.5%7.5%3.0%126.7K-4.1M-134.5K0.1711.891,21720931,89825,092
2009-06-29$14.32$15.0042.1%12.1%40.3%2.5%48.2%7.9%4.8%167.9K-4.6M-133.0K0.9119.4030427732,48924,983
2009-06-30$14.17$15.0042.5%12.2%40.4%2.9%42.9%4.4%3.3%151.7K-3.2M-129.1K2.2122.0416837132,55025,031