AEO Options History — August 2010

In August 2010, AEO traded between $12.04 and $13.48. ATM implied volatility averaged 43.8%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 2.6% (HV 20d: 41.2%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-08-18: Highest Volume — 23,166 contracts
  • 2010-08-25: Largest IV drop — 18.8% change
  • 2010-08-24: Highest IV Rank — 89.8%
  • 2010-08-24: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$12.04$13.48$12.70$12.64
Max Pain$12.45$11.00$13.00$12.50$13.00
ATM IV43.8%37.0%54.3%38.6%43.3%
Expected Move12.7%10.8%15.6%11.1%12.4%
HV 20d41.2%32.7%50.7%32.7%48.9%
HV 60d46.9%37.0%52.6%49.5%40.8%
IV Rank60.2%41.2%89.8%45.6%58.7%
IV Percentile57.9%21.8%97.2%29.8%60.7%
Term Structure0.1%-3.1%3.3%0.3%2.7%
VWIV44.7%37.5%52.8%38.5%42.7%
Skew 25d3.6%-5.0%10.6%7.9%4.3%
Skew 10d5.9%-10.2%22.4%7.8%13.5%
Call IV 25d42.4%25.9%56.0%25.9%43.1%
Put IV 25d46.0%33.8%54.3%33.8%47.4%
Bid-Ask Spread %17.949.0528.599.7821.03
Gamma HHI0.250.200.340.340.24
Net GEX638.4K182.3K1.3M326.3K1.0M
Net DEX-17.3M-40.4M4.0M-10.2M-22.8M
Net VEX-230.1K-272.1K-203.5K-216.2K-246.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.043.040.081.20
Total Volume5,112.18228523,1663,7426,000
Total OI114,440.955101,214136,012112,003113,390

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$12.70$12.5038.6%11.1%32.7%45.6%38.5%7.9%0.3%326.3K-10.2M-216.2K0.089.783,47926369,23142,772
2010-08-03$12.11$12.5037.6%10.8%37.4%42.7%40.0%10.6%3.3%182.3K1.9M-205.2K0.8416.7276464268,60242,868
2010-08-04$12.63$12.5041.4%11.9%38.0%53.4%41.4%5.8%-1.0%238.3K-8.0M-218.4K1.229.051,3541,65268,89542,930
2010-08-05$12.84$12.5039.2%11.3%35.3%47.4%37.5%-5.0%1.9%309.1K-13.5M-221.8K0.0414.864,86919469,11842,427
2010-08-06$12.46$12.0037.0%12.0%36.6%41.2%44.5%4.4%-0.4%334.2K-4.3M-221.5K0.1511.251,63525170,02842,413
2010-08-09$12.79$12.0038.8%11.7%37.6%46.1%41.0%5.1%0.5%408.4K-13.3M-225.1K0.3121.531,55648771,16542,249
2010-08-10$12.59$13.0040.0%11.7%38.1%49.4%41.0%4.8%0.5%426.8K-8.7M-222.1K0.0512.902,50512672,09742,690
2010-08-11$12.29$13.0041.5%12.4%39.3%53.9%47.8%5.5%-0.9%385.7K-2.2M-215.2K2.3820.7125360272,49842,698
2010-08-12$12.40$13.0044.7%12.8%39.3%62.8%44.8%5.2%-1.5%429.0K-4.9M-218.8K0.0813.487126073,22942,491
2010-08-13$12.04$13.0044.8%12.8%40.3%63.0%45.4%4.8%-0.6%379.7K4.0M-205.4K0.0916.712822673,62342,536
2010-08-16$12.21$13.0044.4%12.7%40.5%62.0%47.4%5.7%-1.8%405.4K1.3M-203.5K0.7018.921,6851,18173,68942,558
2010-08-17$12.32$11.0045.1%12.9%39.9%63.9%45.4%5.6%-2.0%439.2K-4.0M-205.7K2.4315.159122,21675,20043,596
2010-08-18$12.84$12.0049.8%14.3%42.1%77.1%50.6%1.7%-2.5%462.3K-19.5M-220.1K0.1119.0620,9372,22975,61744,568
2010-08-19$13.10$12.0052.7%15.1%40.4%85.3%52.8%0.6%-2.6%798.9K-37.1M-233.6K0.1121.265,90365686,98645,984
2010-08-20$13.05$12.0052.0%14.9%39.3%83.4%52.4%2.5%-1.2%832.9K-37.1M-239.0K0.0921.7015,1171,39689,81146,201
2010-08-23$12.98$12.0049.7%14.3%39.4%76.9%50.1%-0.4%0.9%951.2K-31.2M-249.3K0.8328.592,8112,33273,39127,823
2010-08-24$12.49$12.0054.3%15.6%41.3%89.8%52.6%-2.4%-3.1%882.7K-24.2M-239.9K0.4023.671,97578774,44027,920
2010-08-25$13.48$12.0044.1%12.6%49.4%61.0%42.8%5.5%1.1%1.1M-39.6M-252.0K0.1714.7118,9193,21175,14828,280
2010-08-26$13.18$13.0042.4%12.2%50.0%56.2%42.0%4.0%2.3%1.2M-35.3M-272.1K0.2221.203768382,52530,455
2010-08-27$13.47$13.0040.8%11.7%50.1%51.7%40.7%1.7%3.0%1.3M-40.4M-270.1K3.0424.774321,31381,79230,471
2010-08-30$13.05$13.0041.0%11.8%50.7%52.5%41.6%1.1%2.8%1.2M-31.1M-261.6K0.6217.6317610981,78031,516
2010-08-31$12.64$13.0043.3%12.4%48.9%58.7%42.7%4.3%2.7%1.0M-22.8M-246.4K1.2021.032,7313,26981,85531,535