AEO Options History — December 2009

In December 2009, AEO traded between $15.25 and $17.02. ATM implied volatility averaged 43.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.1% (HV 20d: 32.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2009-12-03: Highest Volume — 16,719 contracts
  • 2009-12-03: Largest IV drop — 17.0% change
  • 2009-12-02: Highest IV Rank — 39.2%
  • 2009-12-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.22$15.25$17.02$15.27$16.98
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.1%37.8%55.1%51.6%41.0%
Expected Move12.4%10.8%15.8%14.8%11.8%
HV 20d32.0%21.9%55.1%55.1%21.9%
HV 60d44.4%43.4%45.6%45.6%43.4%
IV Rank26.7%18.3%39.2%34.3%23.9%
IV Percentile14.8%0.8%51.2%39.7%10.7%
Term Structure-1.5%-6.2%0.3%-3.3%-2.1%
VWIV44.2%38.8%55.0%52.6%41.1%
Skew 25d6.0%-4.5%13.8%9.1%10.0%
Skew 10d8.3%-10.8%23.6%15.8%18.2%
Call IV 25d40.9%33.5%50.3%48.3%35.0%
Put IV 25d46.9%41.4%60.4%57.4%44.9%
Bid-Ask Spread %7.093.6316.454.393.63
Gamma HHI0.450.350.660.400.66
Net GEX728.2K445.5K1.1M738.7K651.8K
Net DEX-23.7M-38.3M-12.4M-13.3M-20.1M
Net VEX-131.2K-152.0K-115.3K-145.7K-119.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.027.200.700.34
Total Volume4,318.31853516,7197,1854,238
Total OI84,316.36465,53396,79787,58071,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$15.27$15.0051.6%14.8%55.1%34.3%52.6%9.1%-3.3%738.7K-13.3M-145.7K0.704.394,2262,95955,14932,431
2009-12-02$15.25$15.0055.1%15.8%53.7%39.2%55.0%10.1%-6.2%847.4K-15.4M-148.5K0.575.307,2814,11657,97631,530
2009-12-03$15.56$15.0045.7%13.1%54.6%32.0%45.9%-4.5%0.3%1.0M-20.9M-152.0K0.5816.4510,6016,11860,50933,628
2009-12-04$15.90$15.0045.8%13.3%34.0%32.0%46.0%5.3%-0.9%930.5K-23.9M-150.1K0.186.943,02953358,41733,911
2009-12-07$15.86$15.0048.2%13.6%34.0%36.2%47.4%5.2%-2.2%972.0K-24.1M-146.9K0.307.581,28138758,67533,424
2009-12-08$15.82$15.0046.8%13.5%33.2%33.8%47.0%5.5%-1.6%942.4K-23.5M-146.4K0.997.011,3031,29559,07434,090
2009-12-09$15.58$15.0045.1%13.3%33.5%30.8%46.6%6.2%-1.3%973.5K-20.6M-144.3K0.218.815,1501,10160,73234,335
2009-12-10$15.79$15.0045.7%13.1%33.9%31.9%44.8%2.7%-0.8%992.1K-25.2M-143.9K0.326.332,20469961,00634,890
2009-12-11$16.22$15.0045.6%13.1%33.5%31.9%45.2%4.3%0.0%1.1M-33.9M-142.0K0.556.441,9271,05662,31934,478
2009-12-14$16.47$15.0041.6%11.9%33.6%24.9%45.4%3.6%-0.4%695.7K-37.3M-129.0K7.206.913622,60761,12034,393
2009-12-15$16.39$15.0041.4%11.9%33.2%24.6%43.2%2.3%-0.5%642.7K-36.1M-125.3K0.717.0864445761,23934,449
2009-12-16$16.54$15.0040.7%11.7%28.3%23.4%44.1%1.9%-0.3%744.8K-38.3M-123.3K0.515.301,06453860,84434,030
2009-12-17$16.42$15.0040.0%11.5%28.2%22.1%41.3%4.6%-0.3%668.9K-36.0M-120.6K1.445.371,0321,48560,45034,157
2009-12-18$16.27$15.0040.1%11.5%26.0%22.3%44.0%5.0%-0.5%517.4K-33.8M-119.9K2.735.271,7504,77960,70634,782
2009-12-21$16.64$15.0038.6%11.1%25.7%19.8%39.6%10.2%-0.3%492.7K-19.3M-120.2K0.475.712,3741,11240,42125,762
2009-12-22$16.51$15.0038.5%11.0%25.8%19.5%42.0%7.2%-1.1%488.6K-17.5M-119.9K0.176.491,68928741,25726,473
2009-12-23$16.39$15.0037.8%10.8%24.4%18.3%39.8%4.5%-1.8%468.3K-13.3M-118.1K1.399.418831,22438,99326,540
2009-12-24$16.32$15.0038.1%10.9%23.3%18.9%38.8%2.8%-1.9%445.5K-12.4M-117.1K0.028.375251038,94026,706
2009-12-28$16.80$15.0041.0%11.7%22.9%23.8%42.1%9.6%-2.6%548.4K-17.9M-115.3K1.068.214,2024,45839,15226,707
2009-12-29$17.02$15.0039.3%11.3%22.1%20.9%40.3%13.8%-2.0%608.6K-19.9M-118.3K0.157.301,63724741,09628,964
2009-12-30$16.91$15.0040.7%11.7%22.1%23.3%40.8%12.8%-3.2%571.6K-18.4M-120.0K0.337.741,60153241,06329,059
2009-12-31$16.98$15.0041.0%11.8%21.9%23.9%41.1%10.0%-2.1%651.8K-20.1M-119.2K0.343.633,1571,08141,88829,195