AEO Options History — August 2009

In August 2009, AEO traded between $13.50 and $15.59. ATM implied volatility averaged 46.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 6.9% (HV 20d: 39.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2009-08-06: Highest Volume — 9,279 contracts
  • 2009-08-27: Largest IV drop — 23.4% change
  • 2009-08-26: Highest IV Rank — 19.2%
  • 2009-08-26: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.51$13.50$15.59$14.53$13.50
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.6%40.4%52.8%46.0%47.6%
Expected Move13.7%11.6%15.1%13.2%13.6%
HV 20d39.7%29.9%46.3%29.9%46.3%
HV 60d39.9%38.6%41.2%39.3%40.3%
IV Rank12.9%6.5%19.2%12.2%13.9%
IV Percentile11.6%0.8%24.6%9.5%12.7%
Term Structure-1.0%-5.2%6.5%2.9%1.6%
VWIV47.6%40.8%53.1%45.9%42.5%
Skew 25d9.5%4.1%18.8%13.7%6.7%
Skew 10d14.4%-2.2%29.0%29.0%6.0%
Call IV 25d42.5%32.8%51.1%38.2%40.6%
Put IV 25d52.0%37.2%58.7%51.9%47.3%
Bid-Ask Spread %10.735.8015.4214.8211.05
Gamma HHI0.350.290.440.290.33
Net GEX157.4K60.3K290.0K97.5K162.7K
Net DEX-3.6M-14.9M3.1M-3.0M2.6M
Net VEX-103.6K-118.3K-89.6K-107.7K-89.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.101.710.100.76
Total Volume2,448.2384529,2797832,234
Total OI54,622.04842,97761,08354,19948,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$14.53$15.0046.0%13.2%29.9%12.2%45.9%13.7%2.9%97.5K-3.0M-107.7K0.1014.827127129,80824,391
2009-08-04$14.00$15.0043.8%12.6%30.8%10.0%43.9%5.9%4.4%60.3K1.6M-99.5K1.7111.647881,35029,65624,387
2009-08-05$13.96$15.0046.4%13.3%30.6%12.7%46.7%4.1%2.4%119.6K442.2K-98.5K0.5612.971,42279530,15823,379
2009-08-06$14.90$15.0040.9%11.7%36.8%7.0%40.8%4.4%6.5%253.2K-8.3M-108.6K0.456.756,3852,89431,18023,588
2009-08-07$15.59$15.0045.8%14.5%38.7%12.0%49.1%8.9%-2.9%238.2K-14.9M-118.3K0.489.631,55674032,71324,999
2009-08-10$15.28$15.0045.7%14.4%38.7%11.9%47.7%8.1%-3.8%164.1K-11.2M-115.5K0.6312.7830018832,45725,469
2009-08-11$15.19$15.0043.7%14.4%39.0%9.9%45.0%9.0%-2.9%158.8K-10.1M-114.4K0.2913.581,34239132,59725,534
2009-08-12$15.12$15.0042.5%14.2%38.1%8.6%49.0%9.2%-3.4%175.8K-9.6M-113.1K1.5011.5636754933,68325,648
2009-08-13$15.17$15.0048.2%13.8%38.0%14.5%48.1%9.9%-1.6%183.1K-10.1M-112.8K1.0512.061,6131,69233,80025,709
2009-08-14$14.69$15.0049.3%14.1%40.0%15.7%52.7%8.9%-2.7%118.6K-4.6M-110.5K0.5315.4243623334,26625,943
2009-08-17$14.10$15.0049.3%14.1%41.1%15.7%52.1%6.7%-2.5%76.1K1.8M-100.4K0.565.801,77799634,49326,111
2009-08-18$14.43$15.0050.2%14.4%41.3%16.6%52.2%8.4%-3.4%85.5K-983.2K-103.6K0.428.391,04143934,12026,239
2009-08-19$14.37$15.0049.8%14.3%40.4%16.2%50.0%17.8%-3.4%87.3K-351.0K-100.3K0.729.1226318934,85026,233
2009-08-20$14.17$15.0049.4%14.2%40.4%15.8%49.5%11.7%-3.0%84.0K3.1M-94.5K0.177.902,48142234,18525,658
2009-08-21$14.67$15.0047.2%13.5%42.4%13.5%48.5%18.8%-1.7%95.6K-191.4K-98.1K0.547.8336019334,26325,604
2009-08-24$14.26$15.0049.3%14.1%43.4%15.7%49.5%12.5%-2.2%181.5K-2.0M-95.8K0.149.551,57121626,41716,560
2009-08-25$14.34$15.0050.0%14.3%43.2%16.4%50.2%15.4%-3.5%196.8K-2.7M-96.1K0.2110.842,09443326,82816,691
2009-08-26$14.58$15.0052.8%15.1%43.4%19.2%53.1%7.6%-5.2%224.9K-4.9M-103.5K0.247.845,4421,31627,71916,945
2009-08-27$14.00$15.0040.4%11.6%45.6%6.5%40.8%5.1%1.6%290.0K-1.5M-98.9K0.2310.662,85864730,62517,436
2009-08-28$13.89$15.0040.5%11.6%45.6%6.6%42.6%5.8%1.4%252.3K-270.4K-96.0K1.0315.081,2921,32530,46317,540
2009-08-31$13.50$15.0047.6%13.6%46.3%13.9%42.5%6.7%1.6%162.7K2.6M-89.6K0.7611.051,26896630,59318,125