AEO Options History — February 2010

In February 2010, AEO traded between $15.73 and $17.04. ATM implied volatility averaged 38.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 10.4% (HV 20d: 27.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2010-02-04: Highest Volume — 4,236 contracts
2010-02-11: Largest IV spike — 16.4% change
2010-02-11: Highest IV Rank — 29.0%
2010-02-08: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.34	$15.73	$17.04	$16.18	$16.87
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	38.3%	33.2%	44.0%	39.3%	34.7%
Expected Move	11.3%	9.5%	13.1%	11.3%	10.0%
HV 20d	27.9%	25.5%	30.9%	28.0%	28.1%
HV 60d	29.1%	26.1%	38.2%	37.6%	26.1%
IV Rank	19.2%	10.5%	29.0%	20.9%	13.1%
IV Percentile	11.4%	1.6%	31.3%	8.7%	3.6%
Term Structure	-0.9%	-4.1%	5.5%	4.8%	-1.8%
VWIV	38.7%	33.7%	43.4%	38.0%	34.7%
Skew 25d	7.5%	-0.8%	13.3%	2.3%	11.1%
Skew 10d	19.1%	4.2%	60.0%	4.2%	18.3%
Call IV 25d	35.3%	28.7%	40.8%	36.2%	30.8%
Put IV 25d	42.8%	37.6%	47.9%	38.5%	42.0%
Bid-Ask Spread %	12.30	7.78	17.66	11.64	10.66
Gamma HHI	0.45	0.38	0.58	0.46	0.49
Net GEX	331.1K	218.0K	561.1K	327.3K	411.5K
Net DEX	-5.4M	-9.9M	-1.2M	-5.2M	-8.8M
Net VEX	-123.5K	-134.5K	-117.3K	-128.2K	-119.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.03	5.33	0.65	0.17
Total Volume	1,502.789	502	4,236	2,328	662
Total OI	49,602.421	38,339	54,833	49,749	40,332

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
2010-02-01	$16.18	$15.00	39.3%	11.3%	28.0%	20.9%	38.0%	2.3%	4.8%	327.3K	-5.2M	-128.2K	0.65	11.64	1,408	920	28,083	21,666
2010-02-02	$16.70	$15.00	34.4%	9.9%	30.4%	12.6%	35.1%	7.8%	4.6%	437.0K	-9.1M	-134.3K	0.09	13.20	2,998	258	28,254	21,978
2010-02-03	$16.43	$15.00	39.5%	11.3%	28.4%	21.3%	41.4%	5.4%	0.3%	391.0K	-6.8M	-134.5K	0.49	12.41	2,693	1,310	28,507	21,908
2010-02-04	$15.81	$15.00	38.8%	11.1%	30.9%	20.1%	38.6%	-0.8%	5.5%	248.9K	-1.7M	-126.3K	0.21	9.29	3,511	725	29,538	22,642
2010-02-05	$15.73	$15.00	40.7%	12.8%	29.4%	23.4%	40.7%	7.1%	-2.8%	253.5K	-1.4M	-128.9K	1.79	11.80	561	1,007	30,946	22,878
2010-02-08	$15.74	$15.00	41.9%	13.1%	28.1%	25.3%	40.7%	6.7%	-4.1%	235.3K	-1.2M	-125.1K	1.88	17.43	320	601	30,821	22,707
2010-02-09	$16.06	$15.00	40.1%	12.9%	28.0%	22.3%	40.9%	9.4%	-3.6%	333.9K	-3.6M	-127.2K	0.34	7.78	516	178	30,986	22,947
2010-02-10	$16.02	$15.00	37.8%	12.9%	28.0%	18.4%	39.0%	8.5%	-3.7%	302.5K	-3.2M	-125.4K	0.37	9.15	561	210	31,300	22,897
2010-02-11	$15.98	$15.00	44.0%	12.6%	27.5%	29.0%	41.3%	7.1%	-2.6%	284.9K	-2.7M	-122.6K	0.47	8.19	1,069	501	31,507	22,687
2010-02-12	$15.93	$15.00	43.0%	12.3%	25.5%	27.4%	41.9%	6.2%	-3.0%	235.9K	-2.3M	-121.5K	0.99	12.55	437	433	31,719	23,077
2010-02-16	$16.20	$15.00	43.1%	12.4%	26.3%	27.5%	43.4%	7.4%	-3.3%	218.0K	-4.6M	-118.2K	1.48	10.39	407	602	31,037	23,232
2010-02-17	$16.20	$15.00	41.5%	11.9%	26.3%	24.7%	39.6%	4.7%	-2.4%	218.9K	-4.6M	-117.3K	5.33	13.97	83	442	31,043	23,426
2010-02-18	$16.70	$15.00	35.5%	10.2%	27.9%	14.4%	38.2%	11.0%	-0.7%	448.0K	-7.9M	-120.8K	0.64	13.27	935	603	31,053	23,549
2010-02-19	$16.85	$15.00	35.0%	10.0%	27.5%	13.5%	36.8%	10.1%	-0.7%	561.1K	-8.7M	-120.5K	0.47	14.89	693	325	31,140	23,693
2010-02-22	$16.62	$15.00	34.9%	10.0%	26.5%	13.3%	38.0%	10.9%	-1.2%	289.5K	-6.6M	-117.5K	0.43	13.84	874	380	21,810	16,529
2010-02-23	$16.43	$15.00	36.1%	10.3%	26.7%	15.4%	36.7%	6.2%	-2.0%	275.2K	-5.5M	-117.9K	0.13	14.86	860	110	22,321	16,749
2010-02-24	$16.90	$15.00	33.2%	9.5%	27.9%	10.5%	33.7%	8.2%	0.4%	394.2K	-8.8M	-120.3K	0.03	17.66	489	13	22,886	16,798
2010-02-25	$17.04	$15.00	33.6%	9.6%	27.9%	11.2%	35.9%	13.3%	-0.8%	423.6K	-9.9M	-120.0K	0.67	10.73	514	344	22,991	16,809
2010-02-26	$16.87	$15.00	34.7%	10.0%	28.1%	13.1%	34.7%	11.1%	-1.8%	411.5K	-8.8M	-119.8K	0.17	10.66	568	94	23,319	17,013