AEO Options History — November 2009

In November 2009, AEO traded between $14.54 and $18.06. ATM implied volatility averaged 52.6%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 1.8% (HV 20d: 54.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-11-05: Highest Volume — 30,817 contracts
  • 2009-11-24: Largest IV drop — 13.2% change
  • 2009-11-23: Highest IV Rank — 33.7%
  • 2009-11-03: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.54$18.06$17.58$15.38
Max Pain$16.25$15.00$17.50$17.50$15.00
ATM IV52.6%47.1%57.9%54.0%50.4%
Expected Move15.2%13.5%16.6%15.5%14.4%
HV 20d54.5%46.2%57.6%46.2%55.3%
HV 60d46.7%41.1%48.6%41.1%45.6%
IV Rank28.1%24.1%33.7%27.9%32.6%
IV Percentile39.3%25.4%50.0%40.9%35.3%
Term Structure-2.7%-5.8%-1.2%-2.2%-2.2%
VWIV52.1%47.1%57.3%54.0%51.5%
Skew 25d5.9%0.3%8.9%8.4%8.9%
Skew 10d13.1%-3.2%22.9%15.3%18.3%
Call IV 25d49.6%44.9%56.0%50.1%47.6%
Put IV 25d55.4%50.3%59.6%58.5%56.5%
Bid-Ask Spread %11.584.0624.8712.3414.38
Gamma HHI0.370.250.530.450.38
Net GEX133.4K-521.0K707.2K445.3K707.2K
Net DEX-2.5M-22.9M16.8M-16.5M-14.4M
Net VEX-121.9K-149.0K-102.9K-120.3K-145.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.233.280.600.60
Total Volume8,549.82,06930,8176,2976,836
Total OI82,603.567,89297,69369,32186,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$17.58$17.5054.0%15.5%46.2%27.9%54.0%8.4%-2.2%445.3K-16.5M-120.3K0.6012.343,9392,35841,40127,920
2009-11-03$18.06$17.5057.9%16.6%46.7%32.0%56.7%6.6%-4.0%562.6K-22.9M-125.2K1.7812.092,1303,78642,41328,639
2009-11-04$17.86$17.5054.3%15.6%46.7%28.2%52.6%7.2%-2.2%484.6K-19.7M-127.8K1.0224.875,5845,71643,10631,375
2009-11-05$15.79$17.5053.9%15.4%56.1%27.8%52.4%0.3%-1.2%-21.6K6.3M-105.0K2.5710.068,62322,19441,28232,361
2009-11-06$15.84$17.5051.0%15.1%55.7%24.8%52.6%5.0%-1.4%-135.4K5.2M-116.6K0.3819.055,0181,92942,85938,848
2009-11-09$16.16$17.5053.9%15.3%55.5%27.9%53.2%5.7%-2.1%-6.9K167.5K-117.6K1.2511.639211,14843,94438,706
2009-11-10$16.25$17.5051.1%15.3%55.5%24.9%50.2%6.1%-2.9%6.1K-1.1M-115.4K0.6510.231,6471,06443,93138,664
2009-11-11$16.13$17.5050.3%15.2%54.7%24.1%49.3%6.5%-3.2%18.0K-1.1M-112.5K0.2317.444,30499145,23538,386
2009-11-12$15.66$17.5054.7%15.7%54.9%28.7%54.5%7.2%-4.3%-98.8K4.1M-113.6K3.2811.707432,43746,33038,918
2009-11-13$15.86$17.5052.7%15.1%55.2%26.6%51.8%6.2%-2.0%-96.1K1.2M-110.6K0.6210.502,0261,26646,65639,365
2009-11-16$16.14$15.0053.3%15.3%55.7%27.2%49.8%5.2%-2.0%34.0K-4.5M-106.6K0.824.641,6631,36947,57938,758
2009-11-17$15.42$15.0053.5%15.3%57.1%27.4%51.2%5.9%-3.1%-270.9K5.7M-103.8K0.7410.453,1552,33647,49239,211
2009-11-18$15.27$15.0053.6%15.4%57.1%27.5%53.4%5.0%-2.9%-378.6K7.5M-102.9K0.649.558,2475,29447,61140,562
2009-11-19$14.84$15.0054.1%15.5%55.7%28.0%54.1%7.1%-3.2%-521.0K12.6M-126.3K0.2914.694,8231,41352,83842,362
2009-11-20$14.62$15.0054.7%15.7%55.5%28.7%54.6%5.9%-3.3%-99.8K16.8M-125.1K1.348.864,2695,72556,38141,312
2009-11-23$14.54$15.0056.1%16.1%55.6%33.7%57.3%3.0%-5.8%191.7K2.4M-123.1K0.4911.3415,5267,68139,75428,138
2009-11-24$15.01$15.0048.7%14.0%57.6%26.8%48.4%5.4%-2.3%509.3K-7.6M-144.0K0.284.0611,1273,11050,51432,536
2009-11-25$15.39$15.0047.1%13.5%57.4%28.0%47.1%6.5%-1.7%690.2K-15.0M-149.0K0.448.953,8351,67252,32231,552
2009-11-27$15.03$15.0047.6%13.6%55.4%28.6%47.5%5.7%-1.3%648.7K-9.7M-147.3K0.314.693,8721,21953,86332,434
2009-11-30$15.38$15.0050.4%14.4%55.3%32.6%51.5%8.9%-2.2%707.2K-14.4M-145.2K0.6014.384,2602,57654,00132,511