AEO Options History — July 2009

In July 2009, AEO traded between $12.80 and $14.88. ATM implied volatility averaged 46.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.8% (HV 20d: 40.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-07-31: Highest Volume — 3,057 contracts
  • 2009-07-15: Largest IV drop — 34.5% change
  • 2009-07-08: Highest IV Rank — 22.6%
  • 2009-07-08: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.97$12.80$14.88$14.26$14.39
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.7%34.1%60.5%40.2%45.6%
Expected Move13.4%11.5%15.8%11.5%13.1%
HV 20d40.9%31.9%45.6%40.5%31.9%
HV 60d48.8%45.1%56.7%56.7%45.1%
IV Rank10.9%0.0%22.6%0.3%11.9%
IV Percentile8.1%0.0%34.1%0.4%9.1%
Term Structure2.4%-1.0%6.4%6.4%1.9%
VWIV46.6%41.4%53.8%41.4%45.6%
Skew 25d9.3%2.1%17.1%8.8%10.1%
Skew 10d21.0%3.3%56.1%16.4%18.8%
Call IV 25d41.2%32.0%51.4%38.3%38.0%
Put IV 25d50.5%44.6%59.0%47.2%48.1%
Bid-Ask Spread %10.305.7319.716.8515.39
Gamma HHI0.290.240.460.310.28
Net GEX74.7K-109.6K178.9K178.9K128.1K
Net DEX-686.5K-7.1M7.2M-3.0M-3.0M
Net VEX-110.1K-130.3K-102.0K-130.3K-107.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.044.330.481.50
Total Volume1,302.5912383,0575983,057
Total OI54,554.95548,78659,09656,14452,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$14.26$15.0040.2%11.5%40.5%0.3%41.4%8.8%6.4%178.9K-3.0M-130.3K0.486.8540419431,28324,861
2009-07-02$13.71$15.0051.6%14.8%42.3%12.9%50.1%7.3%2.0%70.9K1.6M-120.3K1.0519.7181185131,26324,886
2009-07-06$13.33$15.0054.5%15.5%43.1%16.0%52.6%9.8%-0.3%17.5K3.6M-111.9K0.3212.131,13436331,34824,814
2009-07-07$12.91$15.0056.7%15.6%43.9%18.5%53.8%6.7%-1.0%-32.1K6.3M-104.6K1.2211.3278996231,56625,000
2009-07-08$13.10$15.0060.5%15.8%44.4%22.6%51.3%7.6%-0.6%-15.3K4.9M-109.8K1.1211.1165573432,08325,608
2009-07-09$12.89$15.0052.7%15.5%44.3%14.1%53.8%9.5%-0.4%-77.5K6.5M-102.7K3.0411.1316048631,94925,794
2009-07-10$12.80$15.0050.9%14.8%43.7%12.1%49.1%8.8%1.4%-109.6K7.2M-102.0K0.2313.951,72939232,03525,954
2009-07-13$13.28$15.0053.0%15.1%45.6%14.4%52.5%7.1%0.0%-46.8K3.6M-105.8K0.656.5498263932,52325,804
2009-07-14$13.42$15.0052.1%14.6%45.1%13.4%45.6%7.9%0.9%-8842.5M-106.2K0.086.044173533,03125,976
2009-07-15$13.83$15.0034.1%12.9%43.7%0.0%47.4%7.6%1.9%84.4K-244.9K-109.4K0.616.1564339233,13325,963
2009-07-16$13.97$15.0044.7%12.8%43.0%10.9%45.1%8.4%2.3%103.0K-703.6K-109.7K0.657.471449432,93726,039
2009-07-17$14.13$15.0044.0%12.6%43.1%10.2%44.3%9.5%1.9%85.9K-1.8M-107.9K0.047.789154031,50924,630
2009-07-20$14.59$15.0042.1%12.1%44.5%8.2%42.4%17.1%5.1%144.6K-5.6M-110.4K0.576.901,07260627,61321,173
2009-07-21$14.28$15.0042.3%12.1%43.6%8.4%43.1%11.9%3.6%114.8K-2.8M-107.7K0.817.4784367927,86421,540
2009-07-22$14.62$15.0042.6%12.2%41.7%8.7%42.9%13.0%3.9%133.4K-5.2M-112.3K0.239.551,33130928,08622,080
2009-07-23$14.80$15.0043.8%12.6%41.2%10.0%42.7%3.2%3.2%172.0K-7.1M-113.3K0.9714.001,4891,45028,64022,063
2009-07-24$14.88$15.0043.0%12.3%34.3%9.2%44.2%2.1%4.4%174.7K-7.0M-114.9K0.225.7347710429,01722,753
2009-07-27$14.72$15.0043.6%12.5%34.5%9.8%43.6%13.3%4.5%140.9K-5.4M-111.4K0.1014.699419328,65122,843
2009-07-28$14.50$15.0042.5%12.2%34.9%8.6%46.8%12.4%3.5%127.5K-3.6M-108.6K4.338.5417877028,69622,923
2009-07-29$14.34$15.0044.5%12.7%34.9%10.7%44.5%10.3%2.9%117.1K-2.4M-107.1K0.368.6763523128,72222,946
2009-07-30$14.50$15.0041.8%12.0%35.1%8.0%41.9%12.5%5.1%131.6K-3.6M-108.3K0.3115.4032710029,05523,140
2009-07-31$14.39$15.0045.6%13.1%31.9%11.9%45.6%10.1%1.9%128.1K-3.0M-107.9K1.5015.391,2211,83629,23723,178