AEO Options History — May 2010

In May 2010, AEO traded between $12.82 and $17.13. ATM implied volatility averaged 46.9%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 12.5% (HV 20d: 34.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-05-27: Highest Volume — 13,299 contracts
  • 2010-05-07: Largest IV spike — 18.8% change
  • 2010-05-26: Highest IV Rank — 77.2%
  • 2010-05-07: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.37$12.82$17.13$17.13$13.10
Max Pain$16.75$15.00$17.50$17.50$15.00
ATM IV46.9%37.6%52.6%37.6%43.7%
Expected Move13.5%10.8%15.2%10.8%12.5%
HV 20d34.4%24.1%68.4%34.1%68.4%
HV 60d34.9%31.4%48.4%31.6%48.0%
IV Rank57.7%34.6%77.2%34.6%56.1%
IV Percentile65.4%21.8%86.1%21.8%52.8%
Term Structure-1.5%-4.7%4.6%3.4%0.5%
VWIV46.0%37.3%52.5%37.6%43.4%
Skew 25d6.4%-4.1%11.7%11.7%-1.6%
Skew 10d16.8%-8.0%59.3%19.1%-5.8%
Call IV 25d44.4%32.6%51.7%32.6%43.6%
Put IV 25d50.8%42.0%59.9%44.3%42.0%
Bid-Ask Spread %19.897.8031.2212.3110.47
Gamma HHI0.370.220.710.460.26
Net GEX231.1K-69.2K671.6K572.3K-23.3K
Net DEX5.9M-7.1M12.4M-7.1M12.1M
Net VEX-105.6K-142.5K-65.6K-142.5K-93.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.029.470.270.41
Total Volume3,897.853913,2995681,445
Total OI57,857.134,08264,95361,44859,260

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$17.13$17.5037.6%10.8%34.1%34.6%37.6%11.7%3.4%572.3K-7.1M-142.5K0.2712.3144612235,75325,695
2010-05-04$16.70$17.5043.8%12.6%34.7%48.6%43.6%8.0%-0.9%449.2K-2.4M-139.2K3.4011.571,0183,45935,64225,687
2010-05-05$16.48$17.5044.2%12.7%34.8%49.5%45.7%6.1%-0.5%484.6K-1.0M-132.2K0.4214.153,3071,38635,91824,292
2010-05-06$16.13$17.5042.6%12.2%27.4%45.8%37.3%0.5%4.6%420.8K2.8M-125.2K0.6029.255,1323,10436,84824,777
2010-05-07$15.81$17.5050.6%15.2%26.7%64.2%51.9%8.1%-4.7%316.9K4.8M-124.0K0.9026.4528325637,29224,782
2010-05-10$16.35$17.5042.5%12.5%29.4%45.9%43.8%6.8%-1.2%488.7K994.1K-124.8K0.1131.221,29614036,58424,847
2010-05-11$16.10$17.5048.3%14.1%28.3%59.0%47.3%7.5%-3.4%487.4K3.3M-116.7K0.5922.1543225538,01024,106
2010-05-12$16.03$17.5046.0%13.5%28.3%53.7%41.5%10.4%-4.4%390.4K5.2M-110.7K0.3223.5884827438,14224,108
2010-05-13$15.77$17.5045.2%12.9%28.5%51.8%44.2%6.4%-2.1%197.0K7.5M-104.2K0.7921.5876860637,57324,023
2010-05-14$15.53$17.5046.4%13.3%28.2%54.7%44.3%9.9%-2.1%75.9K9.5M-101.2K0.2421.6991421737,97524,378
2010-05-17$15.50$17.5048.0%13.8%28.3%58.2%46.6%10.2%-3.2%22.6K9.8M-97.5K0.4419.2454523837,92524,369
2010-05-18$15.29$17.5047.0%13.5%28.4%56.1%46.3%9.9%-2.4%-53.7K10.8M-94.8K1.3920.6829441037,79124,249
2010-05-19$15.20$17.5048.2%13.8%26.7%58.8%47.8%8.9%-2.0%-69.2K10.9M-94.2K9.4720.452031,92237,95124,288
2010-05-20$14.92$17.5052.6%15.1%24.6%68.7%52.5%8.9%-4.4%-43.1K12.4M-94.0K0.2821.022,65075338,09624,489
2010-05-21$15.10$15.0052.4%15.0%25.8%68.3%49.5%11.0%-4.3%671.6K8.4M-95.2K0.2319.032,90166240,35924,594
2010-05-24$15.23$15.0050.9%14.6%26.6%66.8%50.6%8.0%-2.5%7.5K4.7M-91.0K0.0216.344,6409618,23615,846
2010-05-25$15.38$15.0051.2%14.7%24.1%75.2%51.5%5.1%-0.8%153.5K2.0M-99.1K0.1225.5410,9521,30822,39215,802
2010-05-26$12.82$15.0051.8%14.8%67.1%77.2%50.3%-3.3%-1.5%63.2K11.0M-65.6K0.4623.327,7663,60929,34716,757
2010-05-27$12.84$15.0045.1%12.9%67.3%59.7%45.1%-4.1%1.1%10.8K12.0M-67.0K1.857.804,6718,62830,31518,644
2010-05-28$13.10$15.0043.7%12.5%68.4%56.1%43.4%-1.6%0.5%-23.3K12.1M-93.0K0.4110.471,02442132,26626,994