AEO Options History — June 2010

In June 2010, AEO traded between $11.60 and $13.58. ATM implied volatility averaged 42.3%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 21.3% (HV 20d: 63.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-06-09: Highest Volume — 11,003 contracts
  • 2010-06-04: Largest IV spike — 8.8% change
  • 2010-06-01: Highest IV Rank — 69.2%
  • 2010-06-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.59$11.60$13.58$12.69$11.75
Max Pain$12.84$12.50$15.00$15.00$12.50
ATM IV42.3%36.9%48.7%48.7%42.6%
Expected Move12.1%10.6%14.0%14.0%12.2%
HV 20d63.5%37.7%73.6%67.7%39.1%
HV 60d48.1%46.2%49.1%48.4%49.1%
IV Rank52.2%38.0%69.2%69.2%53.1%
IV Percentile46.7%20.6%74.6%74.6%52.4%
Term Structure1.1%-1.9%3.0%-1.9%0.9%
VWIV42.5%36.8%52.9%52.9%42.7%
Skew 25d4.8%-11.1%19.5%-10.3%-5.8%
Skew 10d7.8%-17.7%29.7%-17.4%-3.9%
Call IV 25d37.5%28.3%53.4%53.4%42.0%
Put IV 25d42.4%32.9%54.1%43.1%36.2%
Bid-Ask Spread %13.156.3521.6210.4610.36
Gamma HHI0.380.240.540.260.34
Net GEX-111.9K-298.4K82.2K-54.4K-76.0K
Net DEX7.2M-7.9M15.1M13.1M13.4M
Net VEX-123.5K-154.9K-85.1K-87.8K-125.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.023.360.600.13
Total Volume3,667.40926811,0032,604837
Total OI78,615.72759,14394,81159,14382,347

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$12.69$15.0048.7%14.0%67.7%69.2%52.9%-10.3%-1.9%-54.4K13.1M-87.8K0.6010.461,62498032,41826,725
2010-06-02$12.76$15.0045.2%13.0%67.9%59.9%51.3%-11.1%0.7%-85.9K13.8M-88.0K0.1610.863,66158332,24127,426
2010-06-03$12.62$15.0042.7%12.2%67.9%53.3%42.5%5.6%1.8%-110.3K14.6M-85.1K0.2011.351,95038533,40227,814
2010-06-04$12.14$12.5046.4%13.0%68.5%63.2%45.4%17.3%0.9%-103.6K14.9M-85.9K0.0713.077,21353532,63527,618
2010-06-07$11.96$12.5046.1%13.2%68.4%62.2%46.3%18.9%1.0%52010.4M-93.8K0.1513.602,14432239,32827,835
2010-06-08$12.07$12.5045.0%12.9%66.7%59.3%45.1%19.5%-0.4%41.4K9.4M-96.6K0.7711.265,9104,54841,25227,801
2010-06-09$12.21$12.5042.2%12.3%67.4%52.0%42.8%17.3%1.5%82.2K7.5M-115.7K3.3616.862,5248,47945,91630,608
2010-06-10$12.68$12.5041.3%11.9%69.8%49.8%40.2%18.0%2.9%-66.2K6.8M-133.9K0.026.354,65210248,01138,301
2010-06-11$13.26$12.5042.6%12.2%72.6%53.2%42.3%-1.5%1.0%-27.7K-393.7K-139.1K0.1618.689,1921,49649,08038,301
2010-06-14$13.58$12.5044.4%12.7%73.4%57.8%45.2%2.6%-0.7%-39.9K-7.9M-154.9K0.1815.012,26941555,20439,607
2010-06-15$13.58$12.5043.2%12.4%73.4%54.6%41.4%3.2%-0.9%-63.8K-4.7M-150.9K0.4418.4652823152,78739,667
2010-06-16$13.40$12.5041.2%11.8%73.4%49.4%38.1%3.0%2.7%-106.4K-2.4M-148.2K0.2920.962076152,64539,645
2010-06-17$13.25$12.5039.8%11.4%73.4%45.7%39.8%-1.8%2.7%-130.4K-396.7K-144.6K0.4021.621,14646252,83439,637
2010-06-18$13.01$12.5037.8%10.8%73.4%40.5%37.9%-5.3%1.5%-183.0K2.6M-141.9K0.159.132,12031152,68039,896
2010-06-21$12.62$12.5037.5%10.8%73.5%39.7%37.4%3.6%2.5%-244.2K7.1M-133.5K0.3513.301,99769840,25237,002
2010-06-22$12.76$12.5036.9%10.6%73.6%38.0%36.8%17.5%3.0%-298.4K6.5M-134.6K0.468.5323811040,19037,612
2010-06-23$12.71$12.5037.8%10.8%73.3%40.6%37.8%4.8%1.8%-287.1K6.7M-135.1K0.719.711,16082940,47237,671
2010-06-24$12.13$12.5040.9%11.7%38.6%48.7%40.9%0.4%0.6%-246.3K11.3M-132.3K1.5310.938251,25941,04738,118
2010-06-25$12.18$12.5041.3%11.8%38.7%49.6%41.3%1.9%2.0%-234.6K10.0M-133.7K0.198.783,24161741,41937,877
2010-06-28$12.09$12.5042.3%12.1%37.7%52.2%42.2%-0.2%-0.7%-138.4K10.1M-133.9K0.2213.231,18226543,90238,301
2010-06-29$11.60$12.5043.7%12.5%38.8%55.9%43.7%8.8%2.4%-89.4K15.1M-122.0K0.4516.852,3301,04543,80038,222
2010-06-30$11.75$12.5042.6%12.2%39.1%53.1%42.7%-5.8%0.9%-76.0K13.4M-125.4K0.1310.367409744,35037,997