AEO Options History — October 2009

In October 2009, AEO traded between $16.07 and $19.62. ATM implied volatility averaged 44.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 4.6% (HV 20d: 39.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-10-08: Highest Volume — 14,610 contracts
  • 2009-10-14: Largest IV spike — 65.6% change
  • 2009-10-30: Highest IV Rank — 23.4%
  • 2009-10-02: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$16.07$19.62$16.14$17.49
Max Pain$15.23$15.00$17.50$15.00$17.50
ATM IV44.0%27.1%54.6%49.8%49.6%
Expected Move12.5%11.1%14.4%14.3%14.2%
HV 20d39.4%31.5%47.0%40.1%47.0%
HV 60d41.0%38.6%43.0%39.0%42.0%
IV Rank14.9%0.0%23.4%16.2%23.4%
IV Percentile14.5%0.0%35.3%25.0%31.0%
Term Structure1.1%-2.2%4.1%-2.2%-1.2%
VWIV44.4%39.0%50.9%49.6%49.5%
Skew 25d4.4%1.4%9.3%1.4%3.0%
Skew 10d7.8%-7.6%26.7%1.1%10.6%
Call IV 25d41.9%36.8%48.8%47.8%48.8%
Put IV 25d46.4%41.5%51.9%49.2%51.9%
Bid-Ask Spread %10.935.2717.6611.5415.21
Gamma HHI0.510.380.700.670.46
Net GEX671.4K449.5K977.9K507.2K449.5K
Net DEX-32.9M-57.0M-13.6M-13.6M-16.5M
Net VEX-112.2K-122.5K-100.5K-113.7K-122.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.093.430.390.55
Total Volume5,407.5911,08814,6104,9543,972
Total OI63,781.27357,07174,86857,07168,441

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$16.14$15.0049.8%14.3%40.1%16.2%49.6%1.4%-2.2%507.2K-13.6M-113.7K0.3911.543,5701,38435,38021,691
2009-10-02$16.07$15.0050.1%14.4%31.5%16.5%49.2%4.3%-2.1%578.8K-14.5M-113.9K0.8312.4359549337,30421,995
2009-10-05$16.51$15.0052.3%13.6%32.4%18.7%49.7%4.7%-1.0%655.6K-19.4M-113.3K0.1616.063,05048037,53622,165
2009-10-06$16.82$15.0050.5%13.1%32.7%16.9%47.0%5.5%0.1%769.3K-25.3M-115.8K0.1817.662,21340339,41622,560
2009-10-07$16.66$15.0054.6%13.5%32.1%21.1%50.9%5.4%-1.8%742.5K-23.1M-114.4K0.857.704,3883,71238,90922,735
2009-10-08$18.14$15.0043.1%12.6%43.1%9.3%41.8%6.7%1.1%830.2K-41.7M-104.3K0.338.1811,0253,58539,07422,987
2009-10-09$18.36$15.0040.1%12.7%39.1%6.2%42.4%4.5%1.3%705.2K-40.2M-107.6K0.4616.731,47567638,06524,007
2009-10-12$18.79$15.0049.1%12.0%39.5%15.6%43.5%5.8%1.6%620.4K-43.7M-105.1K0.0914.478,77276338,12724,384
2009-10-13$18.88$15.0027.1%12.0%39.1%0.0%43.5%4.5%0.7%496.8K-51.0M-100.5K0.1313.313,11241440,76624,466
2009-10-14$19.22$15.0044.9%12.1%38.9%18.5%42.6%4.3%0.7%764.8K-52.7M-100.8K0.139.607,6291,00842,16124,805
2009-10-15$19.35$15.0041.7%12.0%38.9%15.1%42.8%4.1%1.0%977.9K-55.6M-105.3K0.369.864,9711,77646,68225,295
2009-10-16$19.45$15.0041.1%11.8%38.9%14.5%41.3%2.9%1.9%731.5K-57.0M-104.1K0.266.476,1511,60848,21026,658
2009-10-19$19.62$15.0039.9%11.4%38.8%13.2%39.7%3.6%3.4%626.8K-37.4M-104.9K0.3610.052,9551,07534,34022,867
2009-10-20$19.32$15.0039.1%11.2%39.6%12.4%39.1%4.0%4.1%641.6K-34.2M-112.4K0.3314.312,67089435,14523,603
2009-10-21$19.00$15.0039.4%11.3%39.8%12.7%39.6%2.5%2.7%690.8K-32.6M-115.8K0.256.811,63340636,69924,298
2009-10-22$19.51$15.0038.9%11.1%40.4%12.2%39.0%3.6%3.4%767.9K-37.5M-114.8K0.2512.762,99974437,38024,393
2009-10-23$19.03$15.0040.0%11.5%41.5%13.4%42.1%2.9%3.3%784.8K-33.6M-117.5K2.325.271,2502,89738,72124,865
2009-10-26$18.82$15.0041.3%11.8%41.6%14.7%50.6%9.3%2.2%692.4K-30.3M-122.4K3.437.311,9586,72139,16327,003
2009-10-27$18.37$15.0044.9%12.9%42.7%18.5%43.6%4.4%1.3%620.9K-24.9M-121.5K0.695.932,0191,38939,67726,450
2009-10-28$17.58$15.0045.9%13.2%45.9%19.5%45.9%3.5%1.7%466.7K-16.7M-118.6K0.3812.142,61999739,88226,632
2009-10-29$18.22$17.5045.7%13.1%44.0%19.3%42.7%7.0%1.7%648.3K-23.6M-119.9K0.126.647,60790941,28126,970
2009-10-30$17.49$17.5049.6%14.2%47.0%23.4%49.5%3.0%-1.2%449.5K-16.5M-122.5K0.5515.212,5661,40640,99227,449