AEO Options History — September 2009

In September 2009, AEO traded between $13.37 and $17.11. ATM implied volatility averaged 43.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.2% (HV 20d: 43.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2009-09-23: Highest Volume — 11,454 contracts
  • 2009-09-03: Largest IV drop — 17.8% change
  • 2009-09-02: Highest IV Rank — 16.0%
  • 2009-09-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.01$13.37$17.11$13.37$16.86
Max Pain$14.52$12.50$15.00$15.00$15.00
ATM IV43.1%37.9%49.6%45.8%44.6%
Expected Move12.5%11.6%14.2%13.1%12.8%
HV 20d43.0%35.1%49.3%44.7%35.1%
HV 60d41.1%37.8%43.3%40.2%37.8%
IV Rank9.3%3.9%16.0%12.1%10.8%
IV Percentile8.3%0.4%17.5%10.7%14.7%
Term Structure1.2%-0.6%3.3%3.3%-0.6%
VWIV44.6%39.7%49.2%44.3%48.7%
Skew 25d9.4%2.3%16.3%2.3%8.6%
Skew 10d13.0%0.5%26.0%0.5%15.3%
Call IV 25d37.9%33.1%44.4%43.3%39.1%
Put IV 25d47.3%43.7%51.7%45.6%47.7%
Bid-Ask Spread %10.776.2620.8912.4611.45
Gamma HHI0.550.310.740.310.74
Net GEX549.4K136.7K763.3K136.7K624.9K
Net DEX-19.6M-32.7M3.1M3.1M-21.0M
Net VEX-110.7K-121.3K-89.9K-89.9K-116.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.010.970.530.41
Total Volume3,362.52451811,4541,3491,027
Total OI54,838.85749,58559,63849,58556,995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$13.37$15.0045.8%13.1%44.7%12.1%44.3%2.3%3.3%136.7K3.1M-89.9K0.5312.4688046931,10818,477
2009-09-02$13.57$15.0049.6%14.2%45.1%16.0%49.2%4.3%0.4%178.1K2.1M-90.4K0.1818.052,30342231,13318,533
2009-09-03$14.64$12.5040.8%11.7%47.3%6.9%41.1%16.3%3.1%441.1K-8.1M-107.0K0.107.965,75156132,75318,604
2009-09-04$14.83$12.5037.9%12.7%44.4%3.9%44.7%5.1%0.8%620.0K-11.0M-112.3K0.1013.051,71117835,11718,662
2009-09-08$14.89$12.5043.3%12.8%44.0%9.4%48.3%7.1%-0.1%602.0K-11.4M-109.3K0.4916.1034817034,68518,682
2009-09-09$15.31$12.5041.7%12.8%45.1%7.8%43.9%7.0%0.5%649.5K-15.7M-109.9K0.3815.081,58360534,53818,791
2009-09-10$15.36$15.0044.4%12.7%45.1%10.7%44.4%5.5%0.7%746.8K-16.4M-110.7K0.9620.8935233835,32819,144
2009-09-11$16.26$15.0040.8%11.7%49.3%6.9%43.3%6.3%2.3%338.7K-26.8M-106.6K0.389.306,4762,43635,29119,132
2009-09-14$16.30$15.0040.8%11.7%47.5%7.0%40.9%7.6%2.4%529.8K-24.5M-110.0K0.058.175,23924735,62119,986
2009-09-15$16.17$15.0045.7%13.1%44.6%12.0%39.7%5.0%0.6%493.8K-25.2M-111.5K0.058.521,0224738,64319,813
2009-09-16$16.54$15.0040.5%11.6%44.6%6.6%43.4%11.0%2.2%518.6K-28.5M-110.3K0.036.263,63310138,56919,816
2009-09-17$16.67$15.0041.3%11.9%44.4%7.5%42.2%10.9%2.8%525.4K-30.1M-111.6K0.146.542,68838138,77419,854
2009-09-18$16.90$15.0042.4%12.2%43.7%8.6%48.2%12.8%0.9%599.7K-32.7M-112.1K0.017.684,4782839,60520,033
2009-09-21$16.90$15.0041.9%12.0%42.7%8.0%43.5%15.2%1.7%598.5K-22.8M-110.8K0.177.291,93932532,80718,011
2009-09-22$17.11$15.0041.5%11.9%40.6%7.6%40.4%13.8%2.3%641.7K-24.7M-111.1K0.107.082,65427533,34718,246
2009-09-23$16.88$15.0044.8%12.8%41.4%11.0%45.1%13.2%-0.1%654.4K-23.7M-115.7K0.407.798,1813,27334,77818,432
2009-09-24$16.89$15.0045.1%12.9%41.3%11.4%45.3%11.8%-0.3%639.8K-23.3M-120.9K0.5510.021,60288135,84719,945
2009-09-25$16.71$15.0043.7%12.5%38.0%9.9%47.9%10.1%1.0%597.3K-20.5M-121.3K0.0910.944,98547335,94821,270
2009-09-28$17.06$15.0045.0%12.9%37.7%11.2%45.1%12.8%0.1%763.3K-27.4M-119.5K0.6310.3870444337,97920,861
2009-09-29$16.96$15.0044.3%12.7%35.4%10.5%46.8%10.5%0.4%636.7K-22.5M-117.0K0.9711.0871269235,29021,168
2009-09-30$16.86$15.0044.6%12.8%35.1%10.8%48.7%8.6%-0.6%624.9K-21.0M-116.3K0.4111.4572630135,40321,592