AEO Options History — April 2010

In April 2010, AEO traded between $16.81 and $18.98. ATM implied volatility averaged 33.2%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.2% (HV 20d: 33.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2010-04-08: Highest Volume — 14,710 contracts
  • 2010-04-15: Largest IV spike — 52.3% change
  • 2010-04-06: Highest IV Rank — 32.4%
  • 2010-04-07: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.94$16.81$18.98$18.46$16.81
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV33.2%22.4%39.9%36.2%36.4%
Expected Move9.7%9.3%10.5%10.4%10.4%
HV 20d33.0%29.4%35.3%29.4%35.0%
HV 60d31.9%29.8%33.2%30.1%32.4%
IV Rank21.6%0.0%32.4%23.0%31.9%
IV Percentile9.8%0.0%23.0%12.3%19.4%
Term Structure2.9%-0.9%5.0%-0.9%3.5%
VWIV33.8%31.4%37.1%37.1%36.8%
Skew 25d4.4%-1.6%12.1%-0.7%5.5%
Skew 10d11.2%-3.2%26.2%-2.8%26.2%
Call IV 25d31.7%27.6%37.4%37.4%33.6%
Put IV 25d36.1%29.4%40.0%36.7%39.0%
Bid-Ask Spread %8.684.3217.0913.4414.56
Gamma HHI0.390.340.490.410.45
Net GEX553.3K141.0K1.0M807.1K517.7K
Net DEX-14.9M-25.1M-2.9M-19.6M-3.1M
Net VEX-145.5K-156.2K-121.1K-131.2K-139.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.112.520.371.80
Total Volume3,224.8148614,7108303,394
Total OI58,759.8148,99467,55248,99459,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$18.46$17.5036.2%10.4%29.4%23.0%37.1%-0.7%-0.9%807.1K-19.6M-131.2K0.3713.4460722330,80218,192
2010-04-05$18.98$17.5038.2%9.6%30.4%28.1%33.5%4.5%1.2%934.5K-25.1M-129.0K0.165.892,75344031,07118,282
2010-04-06$18.70$17.5039.9%10.4%31.3%32.4%35.9%6.7%0.9%1.0M-23.4M-135.3K0.325.341,13937034,27918,476
2010-04-07$18.64$17.5039.3%10.5%30.9%30.9%35.3%6.3%0.5%886.6K-21.4M-131.1K2.525.621,8034,54532,40918,801
2010-04-08$17.45$17.5031.9%9.6%33.2%12.0%33.5%4.1%2.1%615.5K-9.5M-121.1K1.9110.795,0639,64732,40918,801
2010-04-09$17.77$17.5030.6%9.5%32.2%8.7%33.5%5.2%2.6%141.0K-7.3M-148.4K1.6610.931,8813,12034,23328,056
2010-04-12$18.02$17.5032.3%9.6%32.7%13.0%33.4%3.4%2.6%319.8K-12.8M-145.8K0.256.333,82996035,18527,285
2010-04-13$18.35$17.5022.9%9.6%33.0%0.0%32.2%4.4%2.9%452.7K-22.1M-151.8K0.285.433,34493738,75627,680
2010-04-14$18.30$17.5022.4%9.8%33.0%0.0%33.7%5.0%1.8%548.0K-22.1M-153.7K1.148.3362671340,31227,240
2010-04-15$18.19$17.5034.1%9.8%33.0%26.7%33.7%5.1%2.0%462.1K-20.7M-151.7K0.325.811,20838638,56927,382
2010-04-16$17.83$17.5032.8%9.4%33.5%23.6%33.0%3.3%3.7%463.9K-16.0M-153.8K0.427.472,7761,17838,97527,451
2010-04-19$17.74$17.5034.0%9.7%33.4%26.2%33.6%4.4%3.3%474.6K-13.0M-153.9K0.9612.0775072132,05424,741
2010-04-20$17.66$17.5032.4%9.3%32.6%22.6%32.8%4.3%4.0%422.5K-10.8M-154.5K0.504.7032516131,70625,292
2010-04-21$17.99$17.5032.5%9.3%33.4%22.9%32.0%0.2%3.9%547.6K-16.4M-155.8K0.475.6886640432,85425,403
2010-04-22$18.37$17.5032.8%9.4%34.0%23.7%31.4%4.2%3.9%580.2K-21.3M-153.6K0.7010.8675052633,02825,713
2010-04-23$18.14$17.5032.4%9.3%33.3%22.6%32.2%-1.6%4.8%552.9K-18.2M-156.2K0.177.3774312733,13726,136
2010-04-26$18.01$17.5032.7%9.4%33.3%23.3%32.6%-0.8%5.0%553.2K-16.3M-151.5K0.116.1792510633,27726,166
2010-04-27$17.27$17.5033.3%9.6%35.3%24.8%33.5%12.1%4.4%438.2K-6.2M-149.0K0.6617.0998865233,24326,197
2010-04-28$17.11$17.5034.1%9.8%35.2%26.5%34.1%8.1%4.4%436.7K-4.2M-145.3K0.204.322,53249733,73225,945
2010-04-29$16.98$17.5035.8%10.2%35.0%30.3%36.4%8.6%3.4%413.8K-2.9M-144.6K0.9714.102,9002,80634,40126,354
2010-04-30$16.81$17.5036.4%10.4%35.0%31.9%36.8%5.5%3.5%517.7K-3.1M-139.0K1.8014.561,2142,18035,10924,822