AEO Options History — July 2010

In July 2010, AEO traded between $11.79 and $12.89. ATM implied volatility averaged 41.7%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 6.4% (HV 20d: 35.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.15.

Notable Days

  • 2010-07-08: Highest Volume — 15,745 contracts
  • 2010-07-15: Largest IV drop — 28.3% change
  • 2010-07-14: Highest IV Rank — 87.4%
  • 2010-07-01: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.79$12.89$11.91$12.31
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV41.7%35.8%53.5%44.6%38.5%
Expected Move11.5%10.3%12.8%12.8%11.0%
HV 20d35.3%30.9%41.4%39.5%31.3%
HV 60d48.7%47.5%49.5%49.3%49.1%
IV Rank53.3%37.7%87.4%58.4%45.3%
IV Percentile45.0%17.1%94.4%62.7%29.4%
Term Structure2.3%-1.0%5.4%-1.0%3.6%
VWIV40.5%37.1%45.9%44.7%38.6%
Skew 25d5.4%-7.9%14.0%-7.5%9.2%
Skew 10d10.7%-8.2%23.8%-6.4%12.1%
Call IV 25d36.5%27.7%44.9%42.4%30.5%
Put IV 25d41.9%30.7%49.8%34.9%39.7%
Bid-Ask Spread %12.558.4617.6510.4012.53
Gamma HHI0.290.210.350.330.32
Net GEX146.2K-94.7K449.6K-72.6K294.3K
Net DEX3.6M-14.2M14.3M11.2M-2.5M
Net VEX-159.7K-223.9K-120.3K-127.8K-214.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.150.0269.440.341.46
Total Volume4,315.23827315,7452,925744
Total OI95,614.1982,524111,95682,524111,956

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$11.91$12.5044.6%12.8%39.5%58.4%44.7%-7.5%-1.0%-72.6K11.2M-127.8K0.3410.402,18374244,55937,965
2010-07-02$11.79$12.5041.3%11.8%37.3%49.6%41.3%-7.9%0.8%-94.7K13.7M-125.2K0.8516.1216313944,28938,579
2010-07-06$11.81$12.5048.2%12.5%37.0%67.8%43.5%4.8%0.2%-88.3K13.5M-121.4K0.0510.834,56321644,33138,578
2010-07-07$12.26$12.5048.5%12.7%39.3%68.6%45.9%5.9%0.3%47.9K6.3M-132.3K0.829.401,8411,50147,86038,539
2010-07-08$11.80$12.5044.2%12.0%41.4%57.3%42.8%10.0%3.1%78.0K14.1M-120.3K0.1411.7513,7791,96648,58539,613
2010-07-09$12.07$12.5039.6%11.8%39.8%48.4%41.4%14.0%2.6%19.3K6.8M-151.3K0.359.301,24343854,62540,810
2010-07-12$12.04$12.5045.8%11.5%35.7%65.7%42.5%11.4%3.1%21.1K7.8M-147.6K0.0615.042571655,09140,650
2010-07-13$12.02$12.5048.3%11.8%34.1%72.9%41.5%4.3%1.8%32.2K9.1M-144.6K0.0217.592,6486355,06040,654
2010-07-14$11.99$12.5053.5%11.4%34.0%87.4%39.8%5.2%3.1%97.3K9.2M-141.8K0.1112.684,21744556,39540,652
2010-07-15$12.05$12.5038.4%11.0%34.1%44.9%38.4%6.1%4.6%89.7K10.2M-139.2K18.3815.4559911,00856,17540,542
2010-07-16$11.84$12.5040.1%11.5%34.4%49.8%40.1%3.3%2.5%171.8K14.3M-138.9K69.4413.36906,25056,10942,411
2010-07-19$11.91$12.5039.7%11.4%34.3%48.6%40.2%3.5%2.5%82.6K7.2M-141.0K0.0415.692,3708448,30637,556
2010-07-20$12.18$12.5035.8%10.3%34.1%37.7%37.1%11.6%5.4%135.4K3.9M-143.7K0.1112.173,62539649,90237,588
2010-07-21$12.04$12.5038.3%11.0%33.9%44.7%39.1%10.2%4.5%180.6K4.0M-148.8K0.688.4735924552,90537,604
2010-07-22$12.53$12.5037.5%10.8%37.1%42.6%37.3%4.0%2.7%209.5K-2.8M-158.2K0.0217.6512,87327753,06237,799
2010-07-23$12.87$12.5037.9%10.9%34.1%43.6%37.7%5.7%2.4%425.7K-13.7M-204.9K0.3010.842,33570964,97137,972
2010-07-26$12.89$12.5040.9%11.7%34.1%52.0%42.5%8.3%0.2%449.6K-14.2M-203.2K12.998.623304,28766,04838,464
2010-07-27$12.65$12.5037.6%10.8%34.8%42.7%37.3%-5.7%0.8%340.8K-8.6M-206.5K0.5913.774,0972,42065,92841,975
2010-07-28$12.60$12.5039.7%11.4%30.9%48.7%39.8%3.9%0.8%334.8K-8.9M-223.9K0.6113.4244727369,24042,606
2010-07-29$12.46$12.5037.9%10.9%31.1%43.7%38.8%12.9%3.3%315.5K-5.5M-220.2K0.798.4621416869,23042,714
2010-07-30$12.31$12.5038.5%11.0%31.3%45.3%38.6%9.2%3.6%294.3K-2.5M-214.1K1.4612.5330244269,23642,720