AEO Options History — January 2010

In January 2010, AEO traded between $15.89 and $17.59. ATM implied volatility averaged 38.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 11.7% (HV 20d: 26.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2010-01-06: Highest Volume — 16,653 contracts
2010-01-07: Largest IV drop — 32.7% change
2010-01-06: Highest IV Rank — 47.9%
2010-01-06: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.76	$15.89	$17.59	$17.05	$15.89
Max Pain	$16.18	$15.00	$17.50	$17.50	$15.00
ATM IV	38.5%	30.0%	54.9%	44.9%	39.0%
Expected Move	10.3%	8.6%	11.5%	11.1%	11.2%
HV 20d	26.8%	21.2%	29.8%	21.2%	27.0%
HV 60d	40.2%	37.9%	43.3%	43.3%	37.9%
IV Rank	19.5%	4.9%	47.9%	30.6%	20.4%
IV Percentile	10.6%	0.4%	59.5%	25.4%	7.9%
Term Structure	4.2%	0.9%	7.1%	2.2%	4.7%
VWIV	36.3%	30.3%	42.5%	42.5%	38.4%
Skew 25d	4.5%	1.4%	11.8%	6.1%	1.4%
Skew 10d	7.0%	-1.1%	38.8%	3.4%	-1.0%
Call IV 25d	34.1%	24.6%	38.6%	37.1%	38.0%
Put IV 25d	38.6%	34.5%	43.1%	43.1%	39.4%
Bid-Ask Spread %	8.97	6.57	14.20	9.15	10.24
Gamma HHI	0.61	0.36	0.91	0.69	0.40
Net GEX	1.0M	234.6K	4.0M	717.1K	251.5K
Net DEX	-15.4M	-32.7M	-2.6M	-21.2M	-2.6M
Net VEX	-124.8K	-130.5K	-112.4K	-113.2K	-129.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.08	2.53	0.19	0.76
Total Volume	5,032.316	919	16,653	3,790	1,118
Total OI	65,535.474	40,926	87,816	71,375	49,518

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$17.05	$17.50	44.9%	11.1%	21.2%	30.6%	42.5%	6.1%	2.2%	717.1K	-21.2M	-113.2K	0.19	9.15	3,189	601	42,289	29,086
2010-01-05	$17.59	$17.50	46.0%	11.2%	22.5%	32.5%	39.3%	5.5%	1.7%	896.0K	-30.3M	-115.4K	0.65	10.07	6,915	4,496	43,906	29,242
2010-01-06	$17.56	$17.50	54.9%	11.5%	22.5%	47.9%	39.9%	4.0%	0.9%	897.8K	-30.4M	-130.1K	0.26	8.91	13,250	3,403	46,166	30,846
2010-01-07	$17.02	$17.50	37.0%	10.4%	25.8%	16.9%	36.6%	4.1%	3.6%	1.6M	-26.4M	-128.5K	0.51	13.02	5,487	2,782	54,641	32,132
2010-01-08	$17.36	$15.00	35.9%	10.2%	25.4%	15.1%	35.7%	7.2%	2.9%	1.7M	-32.7M	-130.2K	0.08	14.20	9,608	722	53,337	31,926
2010-01-11	$16.88	$15.00	43.7%	10.3%	27.8%	28.5%	36.5%	4.1%	2.4%	1.7M	-22.4M	-124.7K	0.31	6.93	1,916	593	55,387	32,207
2010-01-12	$16.78	$15.00	42.8%	10.4%	26.5%	26.9%	38.6%	3.0%	2.3%	1.5M	-19.1M	-119.3K	0.26	6.57	1,544	405	54,432	32,436
2010-01-13	$16.99	$15.00	40.3%	10.1%	26.4%	22.6%	35.4%	3.9%	2.6%	2.0M	-21.9M	-118.4K	0.32	8.30	1,278	406	54,824	32,453
2010-01-14	$17.41	$15.00	34.9%	10.0%	27.4%	13.3%	35.2%	5.2%	2.5%	4.0M	-31.8M	-123.1K	0.10	7.08	5,755	566	55,297	32,519
2010-01-15	$17.17	$17.50	33.5%	9.6%	28.0%	11.0%	34.4%	4.6%	4.3%	1.8M	-15.8M	-112.4K	0.31	9.44	8,864	2,720	52,671	32,665
2010-01-19	$17.11	$17.50	30.0%	8.6%	27.8%	4.9%	30.3%	11.8%	7.1%	397.9K	-9.7M	-122.7K	0.48	7.62	3,589	1,708	23,289	17,637
2010-01-20	$16.76	$17.50	31.2%	8.9%	28.7%	6.9%	33.0%	7.3%	6.5%	382.1K	-7.5M	-126.8K	2.53	7.76	1,092	2,767	24,535	18,642
2010-01-21	$16.51	$17.50	31.2%	8.9%	28.2%	7.0%	32.4%	4.2%	6.0%	318.3K	-4.9M	-130.1K	0.69	10.26	1,881	1,302	25,016	20,060
2010-01-22	$16.12	$17.50	36.3%	10.4%	29.3%	15.7%	35.8%	2.1%	6.3%	234.6K	-2.6M	-128.7K	0.55	7.37	1,882	1,027	25,204	20,313
2010-01-25	$16.25	$15.00	36.7%	10.5%	29.4%	16.5%	35.0%	3.0%	6.0%	305.7K	-4.7M	-130.5K	0.46	7.65	640	297	26,481	20,970
2010-01-26	$16.02	$15.00	36.9%	10.6%	29.8%	16.8%	34.7%	3.6%	6.5%	258.3K	-2.9M	-128.9K	0.08	8.33	849	70	26,541	21,167
2010-01-27	$16.06	$15.00	37.7%	10.8%	27.6%	18.2%	37.9%	3.0%	5.3%	285.9K	-3.3M	-129.0K	0.79	9.04	540	428	27,132	21,158
2010-01-28	$15.97	$15.00	37.9%	10.9%	27.1%	18.5%	37.3%	1.6%	5.6%	268.7K	-2.9M	-130.2K	1.39	8.48	806	1,118	27,581	21,468
2010-01-29	$15.89	$15.00	39.0%	11.2%	27.0%	20.4%	38.4%	1.4%	4.7%	251.5K	-2.6M	-129.7K	0.76	10.24	637	481	27,683	21,835