AEO Options History — September 2010

In September 2010, AEO traded between $13.04 and $14.96. ATM implied volatility averaged 40.0%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 8.9% (HV 20d: 48.9%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2010-09-30: Highest Volume — 30,199 contracts
  • 2010-09-07: Largest IV spike — 18.0% change
  • 2010-09-09: Highest IV Rank — 59.7%
  • 2010-09-07: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.35$13.04$14.96$13.04$14.96
Max Pain$13.76$13.00$14.00$13.00$14.00
ATM IV40.0%36.4%43.6%42.3%39.9%
Expected Move11.6%10.7%12.7%12.1%11.4%
HV 20d48.9%38.1%54.3%47.9%38.1%
HV 60d42.3%41.1%43.6%41.2%41.1%
IV Rank49.6%39.4%59.7%55.9%49.2%
IV Percentile41.2%19.4%62.3%56.0%42.1%
Term Structure0.3%-3.6%5.1%3.2%0.2%
VWIV41.1%37.4%46.7%42.3%41.4%
Skew 25d2.8%-1.5%7.9%2.0%-0.6%
Skew 10d8.0%-6.8%19.5%8.9%2.7%
Call IV 25d39.6%36.3%44.2%44.2%41.1%
Put IV 25d42.4%37.9%47.8%46.2%40.6%
Bid-Ask Spread %18.8413.6028.0418.7419.24
Gamma HHI0.310.210.750.240.21
Net GEX1.1M139.0K3.0M1.1M224.2K
Net DEX-40.6M-64.6M-21.2M-30.2M-33.2M
Net VEX-329.6K-456.2K-247.1K-262.1K-456.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.109.340.220.14
Total Volume8,599.8151130,1995,87630,199
Total OI141,287.857115,338186,137116,534186,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$13.04$13.0042.3%12.1%47.9%55.9%42.3%2.0%3.2%1.1M-30.2M-262.1K0.2218.744,8161,06082,71033,824
2010-09-02$13.76$13.0037.4%10.7%51.1%42.1%39.0%0.1%5.1%1.3M-43.6M-264.1K0.8224.451,9751,62881,03534,303
2010-09-03$13.92$14.0036.4%11.6%49.6%39.4%40.3%6.2%0.7%1.4M-46.9M-262.3K0.3017.461,62147980,83435,096
2010-09-07$13.39$14.0043.0%12.7%51.4%57.8%45.0%6.3%-3.1%1.2M-35.2M-253.0K1.5915.8619731481,25535,041
2010-09-08$13.51$13.0040.1%11.7%51.0%49.9%41.9%7.5%0.7%1.3M-37.9M-249.3K0.4815.0577737481,29234,727
2010-09-09$13.45$13.0043.6%12.5%50.0%59.7%46.7%7.9%-3.6%1.4M-36.8M-247.1K0.2213.601,77638781,59334,769
2010-09-10$14.34$13.0043.2%12.4%54.3%58.5%42.8%3.9%-1.1%1.5M-57.4M-255.2K0.8516.118,9697,62381,93234,670
2010-09-13$14.67$14.0041.1%11.8%52.8%52.5%43.9%4.8%0.7%1.5M-62.9M-272.2K0.1019.803,53736484,93041,103
2010-09-14$14.70$14.0041.8%12.0%52.8%54.5%42.4%4.8%-0.4%1.6M-64.6M-264.5K0.1620.362,38737985,67141,118
2010-09-15$14.43$14.0041.4%11.9%53.7%53.6%41.3%4.8%0.6%1.6M-57.8M-267.7K5.0720.055252,66286,28241,149
2010-09-16$14.66$14.0040.2%11.5%52.4%50.0%40.2%4.2%-1.1%1.6M-63.2M-265.3K8.8815.882,05718,25886,63343,282
2010-09-17$14.93$14.0040.0%11.5%52.3%49.6%42.2%3.1%0.8%3.0M-58.9M-321.3K0.7328.0414,18410,29287,45859,730
2010-09-20$14.89$14.0037.4%10.7%52.3%42.2%37.4%2.2%0.6%755.5K-39.1M-341.4K1.0222.327,8898,01177,09060,029
2010-09-21$14.47$14.0039.1%11.2%53.6%46.9%39.2%2.2%1.5%671.5K-27.0M-375.2K0.8220.046,8605,59481,25466,349
2010-09-22$14.35$14.0039.2%11.2%51.4%47.3%39.1%2.1%0.9%607.8K-21.2M-396.9K1.1918.492,4672,94585,60271,367
2010-09-23$14.47$14.0038.2%11.0%44.4%44.5%38.9%-1.2%2.0%656.4K-25.9M-407.9K9.3423.581,0159,48387,06272,950
2010-09-24$14.82$14.0038.2%11.0%43.8%44.5%37.7%0.7%0.5%475.7K-32.4M-427.4K6.4114.491,2157,79387,51080,824
2010-09-27$14.72$14.0039.7%11.4%43.6%48.7%39.3%-1.5%-0.7%139.0K-22.9M-443.5K0.2214.941,37630288,15890,849
2010-09-28$14.86$14.0039.4%11.3%41.5%47.9%41.5%1.3%-0.9%203.6K-27.6M-441.3K3.0619.459933,03888,87190,910
2010-09-29$14.91$14.0038.7%11.1%39.0%45.9%40.2%-1.0%0.1%152.2K-27.8M-446.7K1.2617.662,1092,66688,69292,954
2010-09-30$14.96$14.0039.9%11.4%38.1%49.2%41.4%-0.6%0.2%224.2K-33.2M-456.2K0.1419.2426,4743,72591,09295,045