AEO Options History — December 2010

In December 2010, AEO traded between $14.35 and $16.84. ATM implied volatility averaged 37.0%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.3% (HV 20d: 33.7%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2010-12-01: Highest Volume — 18,755 contracts
  • 2010-12-13: Largest IV spike — 26.0% change
  • 2010-12-01: Highest IV Rank — 68.6%
  • 2010-12-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.20$14.35$16.84$16.84$14.63
Max Pain$16.05$15.50$17.00$16.00$15.50
ATM IV37.0%31.6%45.8%45.8%35.6%
Expected Move10.3%9.0%13.1%13.1%10.2%
HV 20d33.7%22.9%37.7%30.7%22.9%
HV 60d34.1%33.4%36.0%33.7%34.3%
IV Rank42.8%26.8%68.6%68.6%38.7%
IV Percentile30.7%2.4%81.7%81.7%21.4%
Term Structure0.5%-4.4%2.9%-4.4%0.3%
VWIV36.4%31.9%46.3%46.3%35.7%
Skew 25d2.0%-0.7%5.6%4.9%2.3%
Skew 10d3.6%-6.3%12.3%3.0%8.3%
Call IV 25d35.9%31.6%44.2%44.2%34.6%
Put IV 25d37.9%32.3%49.2%49.2%36.9%
Bid-Ask Spread %14.528.5240.1714.258.99
Gamma HHI0.300.130.480.130.37
Net GEX-493.7K-1.5M1.3M273.6K-1.5M
Net DEX10.8M-34.8M33.5M-34.8M25.0M
Net VEX-292.2K-369.1K-251.5K-369.1K-258.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.113.813.430.50
Total Volume6,390.95578718,75518,7551,096
Total OI154,076.818131,185170,900165,892141,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$16.84$16.0045.8%13.1%30.7%68.6%46.3%4.9%-4.4%273.6K-34.8M-369.1K3.4314.254,23214,52377,27688,616
2010-12-02$15.88$16.0040.0%11.5%37.7%51.7%39.8%0.7%-1.7%112.0K-3.0M-348.1K0.3518.0112,6164,46178,73982,530
2010-12-03$15.78$16.0040.1%11.5%37.1%52.0%40.1%-0.4%-1.9%-24.4K148.9K-343.8K0.1128.1912,9581,42578,05383,958
2010-12-06$15.78$16.0042.8%10.9%36.7%59.9%38.6%2.0%0.8%235.2K-1.4M-340.3K0.7713.592,8272,18082,60884,715
2010-12-07$15.85$16.0040.4%10.9%36.7%52.7%40.0%2.3%0.7%163.0K-2.4M-340.5K1.2610.538741,10580,89586,012
2010-12-08$15.99$16.0040.9%10.4%35.1%54.4%36.6%3.2%1.1%270.7K-5.3M-333.5K1.3712.202,1852,99981,41385,986
2010-12-09$15.40$15.5038.1%10.8%37.5%46.0%37.7%3.3%0.9%366.5K-5.8M-315.1K0.2140.1771714881,41385,986
2010-12-10$15.43$17.0032.9%10.4%37.3%30.8%36.9%3.7%1.8%406.7K-2.2M-302.9K0.1725.963,39258378,72886,954
2010-12-13$15.37$17.0041.4%10.1%36.8%55.9%37.8%0.9%1.2%284.7K-193.8K-291.2K0.3912.038,4403,33178,10587,354
2010-12-14$15.12$17.0043.3%10.5%37.1%61.3%36.2%1.6%0.7%-219.2K13.6M-285.9K1.1513.718861,01977,84189,084
2010-12-15$15.19$17.0035.4%10.1%37.2%38.1%36.1%0.7%1.2%51.9K11.1M-283.4K3.3312.313811,26776,87789,323
2010-12-16$15.43$17.0034.8%10.0%35.2%36.3%35.5%0.8%1.8%1.3M1.7M-277.1K0.3315.365,0571,66676,88290,080
2010-12-17$15.22$17.0033.8%9.7%33.7%33.5%34.1%0.6%1.5%-1.1M16.9M-276.4K0.5211.652,1201,09880,09490,806
2010-12-20$14.76$15.5032.0%9.2%35.1%28.1%32.4%0.3%2.9%-1.3M22.8M-262.6K3.8110.932,0297,72254,12777,058
2010-12-21$14.77$15.5031.6%9.0%34.5%26.8%31.9%-0.7%1.7%-1.4M22.4M-264.5K0.6910.555,2283,61454,53078,941
2010-12-22$14.46$15.5033.2%9.5%30.1%31.6%32.9%4.1%0.3%-1.4M32.6M-255.5K0.748.526,7365,00454,66178,771
2010-12-23$14.45$15.5032.2%9.2%29.9%28.8%32.4%2.4%1.8%-1.5M31.6M-261.0K1.4611.111,5932,32156,25280,014
2010-12-27$14.47$15.5034.7%9.9%29.7%36.0%34.8%2.0%0.5%-1.5M30.6M-255.9K0.2710.7461916857,18680,917
2010-12-28$14.35$15.5035.4%10.1%29.7%38.1%36.8%2.1%-1.0%-1.5M33.5M-251.5K1.839.111,2762,33557,34480,923
2010-12-29$14.52$15.5034.3%9.8%30.3%35.0%34.5%1.8%1.5%-1.5M28.6M-253.1K3.4210.979583,27257,65480,887
2010-12-30$14.77$15.5034.9%10.0%30.0%36.7%34.8%5.6%-0.7%-1.4M22.7M-257.8K0.5810.532,6211,51957,96681,082
2010-12-31$14.63$15.5035.6%10.2%22.9%38.7%35.7%2.3%0.3%-1.5M25.0M-258.5K0.508.9972936759,32281,727