AEO Options History — March 2010

In March 2010, AEO traded between $16.73 and $19.34. ATM implied volatility averaged 35.5%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.5% (HV 20d: 33.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-03-24: Highest Volume — 40,042 contracts
  • 2010-03-10: Largest IV drop — 32.2% change
  • 2010-03-09: Highest IV Rank — 35.3%
  • 2010-03-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.38$16.73$19.34$17.55$18.52
Max Pain$17.17$15.00$17.50$15.00$17.50
ATM IV35.5%31.6%47.6%36.0%37.5%
Expected Move9.9%9.0%11.6%10.3%10.8%
HV 20d33.0%28.7%35.6%30.8%33.8%
HV 60d29.5%26.9%30.7%27.1%30.7%
IV Rank17.4%10.0%35.3%15.2%26.5%
IV Percentile9.9%1.6%51.2%6.0%14.3%
Term Structure-1.5%-4.9%0.6%-2.6%-2.9%
VWIV36.1%31.4%57.6%36.0%37.5%
Skew 25d5.9%0.7%10.8%5.0%1.2%
Skew 10d12.0%0.6%31.5%7.1%0.6%
Call IV 25d30.9%26.5%37.2%26.5%35.8%
Put IV 25d36.8%29.9%47.0%31.5%37.0%
Bid-Ask Spread %10.336.1519.647.1813.41
Gamma HHI0.440.230.660.530.41
Net GEX570.3K48.3K996.8K515.7K824.4K
Net DEX-21.7M-33.9M-729.9K-13.9M-20.5M
Net VEX-128.9K-136.5K-120.5K-120.5K-135.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.180.630.86
Total Volume5,362.21756240,0425,439863
Total OI47,860.17440,47953,81640,47949,132

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$17.55$15.0036.0%10.3%30.8%15.2%36.0%5.0%-2.6%515.7K-13.9M-120.5K0.637.183,3342,10523,40817,071
2010-03-02$17.45$17.5039.5%11.3%30.6%21.2%39.5%0.7%-4.7%480.7K-13.0M-125.8K0.716.153,2682,31924,75718,365
2010-03-03$17.46$17.5040.6%11.6%28.8%23.1%40.2%3.4%-4.9%416.9K-12.2M-127.6K0.666.491,32787225,26019,662
2010-03-04$16.73$17.5038.6%11.1%32.4%19.7%39.2%10.6%-4.5%334.9K-5.4M-123.7K1.2113.615,0096,07925,61320,024
2010-03-05$16.74$17.5042.0%10.3%28.9%25.6%35.8%10.8%-2.2%48.3K-729.9K-126.2K0.248.733,45583824,58223,327
2010-03-08$16.80$17.5040.8%10.0%28.7%23.5%34.5%10.6%0.2%471.0K-6.9M-121.7K0.9510.391,1201,06426,33219,335
2010-03-09$17.15$17.5047.6%10.9%29.3%35.3%40.7%6.2%-2.7%595.5K-11.6M-125.2K0.1919.648,8111,70626,99718,692
2010-03-10$18.20$15.0032.3%9.8%34.9%10.0%33.9%6.2%-1.0%996.8K-29.8M-126.1K0.2413.626,4271,56831,75419,503
2010-03-11$18.71$15.0035.1%10.1%35.6%18.5%34.3%4.5%-0.7%510.6K-33.4M-122.5K0.496.994,1462,03830,78320,459
2010-03-12$18.74$17.5036.5%10.5%35.4%21.8%31.4%6.9%-1.3%495.8K-30.9M-131.5K0.169.712,14734531,23121,676
2010-03-15$19.00$17.5031.7%9.1%35.2%10.5%33.4%8.3%0.6%537.0K-33.3M-132.2K0.299.341,33038831,82521,515
2010-03-16$19.02$17.5032.1%9.2%35.2%11.5%33.5%6.4%-0.5%542.4K-33.4M-131.3K0.197.601,19323232,04821,481
2010-03-17$19.00$17.5031.8%9.1%35.2%10.7%31.7%7.0%-0.5%553.7K-33.5M-131.8K0.159.475848832,26721,458
2010-03-18$19.08$17.5031.6%9.0%34.2%10.2%32.1%6.5%-0.5%554.1K-33.9M-131.8K2.188.5617738532,10521,453
2010-03-19$18.88$17.5032.6%9.4%34.8%12.7%32.9%3.3%-0.3%546.3K-31.9M-131.9K0.9312.9076571232,00921,807
2010-03-22$19.19$17.5031.8%9.1%34.2%10.7%31.9%5.7%0.4%511.6K-22.2M-128.8K0.599.322,5981,53825,03817,557
2010-03-23$19.33$17.5031.6%9.1%33.5%11.4%32.2%6.6%0.0%691.4K-24.5M-132.1K1.3412.1640554427,21617,757
2010-03-24$18.98$17.5032.2%9.2%33.8%12.9%57.6%3.4%0.6%579.2K-21.3M-130.8K0.009.1239,9915126,32217,812
2010-03-25$19.34$17.5034.3%9.8%34.1%18.1%34.3%7.6%-1.8%595.4K-23.0M-130.7K0.3411.043,1791,07525,46917,833
2010-03-26$19.26$17.5033.2%9.5%33.8%15.4%33.9%7.3%-0.9%730.3K-22.7M-132.4K0.3810.871,20345227,01517,980
2010-03-29$18.78$17.5034.2%9.8%33.3%18.0%34.6%3.7%-1.6%674.0K-18.0M-128.8K0.1111.396,10969527,19218,216
2010-03-30$18.82$17.5033.8%9.7%33.1%17.1%38.1%4.3%-1.9%911.2K-23.0M-136.5K0.089.877375931,22318,223
2010-03-31$18.52$17.5037.5%10.8%33.8%26.5%37.5%1.2%-2.9%824.4K-20.5M-135.0K0.8613.4146439930,90018,232