AEO Options History — November 2010

In November 2010, AEO traded between $15.28 and $17.16. ATM implied volatility averaged 47.6%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 16.4% (HV 20d: 31.2%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-11-04: Highest Volume — 24,884 contracts
  • 2010-11-11: Largest IV drop — 12.6% change
  • 2010-11-02: Highest IV Rank — 95.9%
  • 2010-11-02: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.16$15.28$17.16$15.62$16.50
Max Pain$15.19$14.00$16.00$14.00$16.00
ATM IV47.6%40.0%56.5%54.4%45.9%
Expected Move13.3%11.5%16.2%15.6%13.2%
HV 20d31.2%26.6%40.6%40.4%30.6%
HV 60d38.7%34.5%41.2%41.2%34.6%
IV Rank73.4%51.5%95.9%90.2%69.1%
IV Percentile78.1%43.3%99.6%97.6%81.7%
Term Structure-4.5%-10.0%-1.7%-9.1%-4.9%
VWIV46.4%37.4%56.2%54.4%45.3%
Skew 25d1.3%-2.0%3.7%1.9%3.7%
Skew 10d1.4%-12.4%29.6%6.3%-7.9%
Call IV 25d45.7%39.9%55.2%52.8%43.0%
Put IV 25d47.0%39.4%56.9%54.7%46.7%
Bid-Ask Spread %21.4411.1829.5423.4316.47
Gamma HHI0.190.140.330.210.14
Net GEX453.4K-45.4K1.1M306.5K114.4K
Net DEX-42.3M-82.8M-16.1M-29.5M-25.2M
Net VEX-409.9K-468.7K-353.3K-462.1K-366.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.063.253.251.00
Total Volume8,273.47653024,88414,3606,389
Total OI209,848.714153,134244,513217,221162,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$15.62$14.0054.4%15.6%40.4%90.2%54.4%1.9%-9.1%306.5K-29.5M-462.1K3.2523.433,38210,978107,418109,803
2010-11-02$15.91$14.0056.5%16.2%40.6%95.9%56.2%1.9%-10.0%238.4K-38.8M-468.7K0.9115.234,3153,931108,282113,254
2010-11-03$15.97$15.0056.3%16.1%40.5%95.4%55.9%0.3%-9.2%64.6K-38.2M-465.0K0.6328.485,4323,409107,506116,242
2010-11-04$16.26$15.0049.4%14.2%30.0%79.3%50.3%3.3%-2.9%297.4K-52.1M-465.3K1.0927.6011,89912,985111,370117,465
2010-11-05$16.48$15.0049.4%12.8%27.9%79.3%45.0%2.7%-1.9%710.3K-66.8M-456.2K0.5024.723,7001,851115,369114,287
2010-11-08$16.52$16.0052.5%13.0%26.8%88.5%45.4%1.7%-4.5%866.0K-71.6M-433.3K0.7822.141,5621,213114,830112,536
2010-11-09$16.00$16.0050.7%13.1%28.1%83.2%45.2%1.2%-3.6%697.3K-49.6M-429.6K0.1722.723,009507114,742112,103
2010-11-10$15.89$16.0052.9%13.2%27.5%89.5%46.4%1.3%-4.5%641.9K-42.1M-426.2K0.8820.295,3634,726114,363112,092
2010-11-11$15.70$15.0046.2%13.3%27.1%70.0%46.2%1.6%-4.1%619.9K-36.2M-428.1K1.5121.40313474116,603114,247
2010-11-12$15.41$15.0049.2%14.1%27.6%78.5%48.8%0.9%-6.3%482.3K-21.9M-418.4K1.4226.192,7093,845116,633114,311
2010-11-15$15.28$15.0047.7%13.7%27.7%74.2%47.1%1.8%-3.4%442.4K-16.5M-403.4K0.1325.991,944252117,529115,578
2010-11-16$15.29$15.0049.1%14.1%26.6%78.5%49.3%1.3%-5.9%480.4K-16.1M-399.5K0.0720.505,375350118,365115,738
2010-11-17$15.85$15.0048.5%13.9%29.2%76.7%48.6%-0.2%-5.1%940.6K-47.7M-399.7K0.6227.887,2044,499120,550115,828
2010-11-18$16.29$15.0042.9%12.3%31.1%60.0%42.9%3.6%-3.6%1.1M-76.1M-380.7K0.1129.5419,3042,074122,642116,896
2010-11-19$16.25$15.0042.4%12.1%31.1%58.6%41.8%-0.4%-2.8%1.1M-82.8M-385.1K0.2315.214,051919127,453117,060
2010-11-22$16.46$15.0040.0%11.5%31.3%51.5%40.7%1.6%-2.9%-45.4K-24.9M-365.1K0.0611.1814,04385269,23083,904
2010-11-23$17.16$15.0040.6%11.7%34.2%53.5%37.4%-2.0%-2.3%202.4K-47.1M-353.3K0.3221.183,9971,26871,22384,211
2010-11-24$16.81$15.0040.4%11.6%33.8%52.8%40.6%-0.3%-1.9%151.8K-36.5M-365.5K1.8815.074,3238,13471,38984,655
2010-11-26$16.90$16.0040.8%11.7%31.3%53.8%41.4%1.1%-1.7%-6.6K-34.9M-376.7K0.0916.754864474,37892,284
2010-11-29$16.73$16.0043.7%12.5%31.6%62.6%45.3%0.4%-3.9%166.0K-34.5M-359.1K0.8918.331,3911,24174,49587,301
2010-11-30$16.50$16.0045.9%13.2%30.6%69.1%45.3%3.7%-4.9%114.4K-25.2M-366.0K1.0016.473,2003,18974,97987,679