AEO Options History — March 2007

In March 2007, AEO traded between $29.58 and $30.90. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.0% (HV 20d: 24.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 17 trading days. Term structure was in contango for 17 of 17 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-03-19: Highest Volume — 6,967 contracts
  • 2007-03-12: Largest IV spike — 13.3% change
  • 2007-03-15: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.28$29.58$30.90$30.25$29.99
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.6%28.7%34.7%30.0%29.8%
Expected Move9.0%8.2%9.9%9.6%8.5%
HV 20d24.6%24.2%25.0%25.0%24.2%
Term Structure1.9%0.5%3.0%1.0%1.7%
VWIV30.8%28.7%34.4%32.8%29.8%
Skew 25d4.0%-1.8%12.3%6.3%2.1%
Skew 10d5.6%-5.3%19.6%10.4%2.7%
Call IV 25d27.4%21.4%35.3%30.6%23.6%
Put IV 25d31.4%25.3%39.6%36.9%25.7%
Bid-Ask Spread %10.193.2524.0224.025.14
Gamma HHI0.390.260.720.600.60
Net GEX-847.9K-5.7M222.3K222.3K-1.6M
Net DEX14.9M-6.0M34.2M-6.0M8.8M
Net VEX-280.9K-328.9K-159.8K-159.8K-234.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.132.150.571.54
Total Volume1,9802456,9676,102656
Total OI68,684.52916,88981,32816,88968,782

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-08$30.25$0.0030.0%9.6%0.0%0.0%32.8%6.3%1.0%222.3K-6.0M-159.8K0.5724.023,8772,22511,6935,196
2007-03-09$30.26$30.0030.1%9.2%0.0%0.0%31.2%5.2%2.3%-605.4K16.4M-310.2K0.8623.471,05990640,09237,201
2007-03-12$30.72$30.0034.1%9.6%0.0%0.0%0.0%2.3%1.3%-737.6K8.2M-307.7K0.6110.981,22574639,36537,624
2007-03-13$29.58$30.0031.4%9.7%0.0%0.0%31.3%4.3%0.9%-1.5M34.2M-285.2K1.4815.951,0411,53839,91637,799
2007-03-14$30.50$30.0030.9%9.7%0.0%0.0%33.9%4.1%1.8%-1.3M13.3M-314.4K2.0519.321,5653,21440,28638,114
2007-03-15$29.98$30.0034.7%9.9%0.0%0.0%34.0%2.4%0.5%-2.1M25.3M-316.4K2.1517.1641489040,83840,337
2007-03-16$29.89$30.0033.9%9.7%0.0%0.0%34.4%3.5%1.4%-5.7M30.1M-320.1K2.0017.051,0572,11840,65440,674
2007-03-19$30.00$30.0031.6%9.1%0.0%0.0%31.6%3.3%2.1%-174.9K22.8M-302.5K0.943.253,5943,37327,65133,725
2007-03-20$30.27$30.0030.1%8.6%0.0%0.0%30.1%12.3%2.1%-245.2K8.6M-234.9K0.604.9260336230,80836,812
2007-03-21$30.44$30.0029.3%8.4%0.0%0.0%29.3%4.9%2.3%-133.0K7.7M-232.2K1.494.9923935730,94836,927
2007-03-22$30.52$30.0028.9%8.3%0.0%0.0%28.7%5.1%2.3%-102.4K18.5M-326.6K0.134.626077931,08937,206
2007-03-23$30.90$30.0028.8%8.2%0.0%0.0%28.8%-1.8%2.5%73.8K13.1M-328.9K1.103.9028631631,37737,210
2007-03-26$30.63$30.0029.1%8.3%0.0%0.0%29.0%4.6%2.5%-41.5K16.9M-324.1K0.814.6413511031,53437,189
2007-03-27$30.51$30.0029.5%8.5%0.0%0.0%29.6%4.2%2.2%-102.5K6.0M-235.3K0.214.112084431,59237,184
2007-03-28$30.34$30.0028.7%8.2%0.0%0.0%28.7%4.3%3.0%-102.9K6.9M-234.1K1.784.9013524031,69737,202
2007-03-29$29.94$30.0029.9%8.6%25.0%0.0%29.9%1.6%1.6%-233.6K22.9M-309.3K0.974.7622421731,75037,165
2007-03-30$29.99$30.0029.8%8.5%24.2%0.0%29.8%2.1%1.7%-1.6M8.8M-234.0K1.545.1425839831,80636,976