AEO Options History — October 2010

In October 2010, AEO traded between $15.01 and $17.36. ATM implied volatility averaged 41.5%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.1% (HV 20d: 35.4%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-10-08: Highest Volume — 27,838 contracts
  • 2010-10-07: Largest IV drop — 23.4% change
  • 2010-10-29: Highest IV Rank — 82.8%
  • 2010-10-29: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.35$15.01$17.36$15.05$16.02
Max Pain$13.14$12.50$14.00$14.00$14.00
ATM IV41.5%34.8%51.8%40.0%51.8%
Expected Move11.9%10.9%14.9%11.5%14.9%
HV 20d35.4%30.3%39.6%33.8%39.2%
HV 60d42.2%40.0%43.4%40.2%41.3%
IV Rank53.8%34.8%82.8%49.4%82.8%
IV Percentile52.9%14.7%91.7%42.9%91.7%
Term Structure-0.9%-6.3%1.8%-0.0%-6.3%
VWIV41.3%37.8%50.8%40.8%50.8%
Skew 25d1.4%0.3%3.2%0.3%1.0%
Skew 10d4.9%-0.6%16.6%7.9%-0.2%
Call IV 25d40.7%37.6%49.1%40.5%49.1%
Put IV 25d42.1%39.2%50.2%40.8%50.2%
Bid-Ask Spread %18.2211.5025.2116.9820.30
Gamma HHI0.230.200.280.230.21
Net GEX698.4K506.7K1.2M506.7K533.0K
Net DEX-70.9M-115.1M-35.5M-35.5M-48.4M
Net VEX-456.0K-473.9K-422.9K-472.4K-467.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.045.500.190.82
Total Volume8,102.09564727,8385,57112,983
Total OI204,847.429194,942218,289194,942211,557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$15.05$14.0040.0%11.5%33.8%49.4%40.8%0.3%-0.0%506.7K-35.5M-472.4K0.1916.984,67289998,65196,291
2010-10-04$15.21$12.5045.1%11.7%33.8%63.9%40.7%2.0%-0.5%644.0K-41.2M-462.5K0.1512.192,73041399,95296,594
2010-10-05$15.06$12.5043.1%11.4%30.3%58.2%40.2%1.5%0.2%727.4K-38.6M-460.0K0.1111.506,217694101,40596,572
2010-10-06$15.01$12.5045.4%11.6%30.4%64.6%39.9%2.3%-1.2%745.3K-36.4M-464.3K0.6113.062,4761,504103,36896,494
2010-10-07$16.23$12.5034.8%10.9%39.6%34.8%37.8%1.7%0.7%1.0M-82.6M-440.2K0.3912.0515,2775,919104,44297,548
2010-10-08$16.77$12.5036.1%11.2%35.2%38.6%40.0%1.1%-0.4%695.1K-98.8M-433.0K0.1719.6723,6984,140103,77198,476
2010-10-11$17.11$12.5040.1%11.5%35.1%49.7%40.1%0.7%-0.9%798.2K-108.8M-433.3K0.8913.613,2892,931106,266100,095
2010-10-12$17.36$12.5039.7%11.3%35.1%48.6%40.0%0.6%-0.8%650.7K-115.1M-422.9K0.0413.0320,432774106,161101,695
2010-10-13$17.01$12.5036.3%11.3%35.3%39.2%39.3%1.4%0.0%1.2M-111.9M-453.0K0.1618.593,970623115,290101,925
2010-10-14$16.70$12.5041.2%11.8%36.4%52.9%41.1%1.4%-1.0%891.1K-92.4M-449.9K5.5025.112,60114,318108,511102,124
2010-10-15$16.72$12.5041.6%11.9%36.2%54.0%41.2%1.9%0.1%627.0K-86.2M-473.9K0.8020.933,8263,051108,482109,807
2010-10-18$16.70$12.5040.3%11.6%36.1%50.4%39.6%1.1%1.1%682.8K-70.3M-472.5K0.5422.33466251100,726101,333
2010-10-19$16.29$12.5039.5%11.3%35.7%48.2%39.8%0.5%1.8%535.7K-55.5M-471.2K0.4324.002,7361,18798,951101,403
2010-10-20$16.57$14.0040.4%11.6%35.5%50.7%40.8%1.6%-0.2%528.2K-64.6M-466.9K0.1515.313,39351198,703102,267
2010-10-21$16.55$14.0039.8%11.4%35.6%49.0%38.7%1.8%1.0%722.2K-67.2M-466.0K0.3225.211,847589102,124102,385
2010-10-22$16.59$14.0040.8%11.7%35.0%51.8%40.7%0.9%-1.8%725.8K-69.3M-461.4K0.5418.50420227102,943102,644
2010-10-25$16.72$14.0041.9%12.0%34.7%55.0%41.8%1.4%-1.8%707.8K-72.6M-446.5K0.7722.692,9602,278102,089102,725
2010-10-26$17.01$14.0043.0%12.3%34.9%57.9%43.1%0.9%-1.7%625.1K-80.1M-441.5K0.1721.194,310734100,843103,499
2010-10-27$16.58$14.0045.8%13.1%36.7%65.7%44.3%1.2%-4.2%592.5K-66.8M-454.5K0.2821.222,754784102,079104,007
2010-10-28$16.04$14.0045.2%12.9%39.2%64.1%45.5%3.2%-2.6%536.5K-47.6M-462.5K0.4615.114,9892,271103,169104,429
2010-10-29$16.02$14.0051.8%14.9%39.2%82.8%50.8%1.0%-6.3%533.0K-48.4M-467.6K0.8220.307,1415,842105,402106,155