AEO Options History — April 2007

In April 2007, AEO traded between $29.47 and $31.18. ATM implied volatility averaged 33.0%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.4% (HV 20d: 22.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2007-04-05: Highest Volume — 20,747 contracts
  • 2007-04-12: Largest IV drop — 18.6% change
  • 2007-04-09: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.25$29.47$31.18$29.94$29.47
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.0%30.1%40.6%30.1%33.9%
Expected Move9.3%8.6%10.3%8.6%9.7%
HV 20d22.6%19.9%25.0%23.4%25.0%
Term Structure1.5%-1.0%3.4%3.0%0.5%
VWIV32.2%30.1%36.1%30.1%35.7%
Skew 25d5.5%-0.3%18.0%2.3%4.1%
Skew 10d11.0%1.0%32.1%3.1%6.9%
Call IV 25d29.8%24.3%33.9%24.5%32.9%
Put IV 25d35.3%26.8%50.6%26.8%37.0%
Bid-Ask Spread %8.474.5226.715.287.93
Gamma HHI0.370.250.740.740.33
Net GEX965.7K-3.1M4.3M-3.1M6.9K
Net DEX-11.4M-48.9M20.0M9.6M8.5M
Net VEX-336.1K-375.4K-230.6K-239.3K-330.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.117.447.440.99
Total Volume4,267.4528320,7473,4352,538
Total OI80,993.3568,87889,91568,87877,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$29.94$30.0030.1%8.6%23.4%0.0%30.1%2.3%3.0%-3.1M9.6M-239.3K7.445.284073,02831,94436,934
2007-04-03$30.24$30.0030.7%8.8%23.1%0.0%30.7%3.8%2.5%-99.5K6.3M-230.6K0.895.121,1311,00632,18038,885
2007-04-04$30.13$30.0032.6%9.3%22.5%0.0%32.6%3.7%1.2%-817.8K5.0M-235.8K0.715.253,1332,23433,07839,884
2007-04-05$29.90$30.0034.3%9.8%22.0%0.0%34.3%2.7%-0.7%43.8K20.0M-328.7K0.164.5917,8572,89035,61241,059
2007-04-09$29.63$30.0040.6%10.3%22.2%0.0%36.1%-0.3%-1.0%1.6M-12.4M-351.8K0.6118.654,5472,78751,57532,695
2007-04-10$30.45$30.0038.6%9.7%23.8%0.0%33.9%7.3%-0.1%2.0M-29.9M-352.9K0.8826.716,0675,31148,57534,025
2007-04-11$30.07$30.0039.0%10.0%19.9%0.0%34.4%18.0%-0.0%1.7M-17.9M-372.9K0.5514.826,3633,51948,00136,974
2007-04-12$31.18$30.0031.8%9.1%21.1%0.0%30.9%5.1%1.3%2.3M-48.9M-373.2K0.629.086,0793,77951,14738,768
2007-04-13$30.51$30.0031.9%9.2%21.6%0.0%31.9%12.3%1.2%2.0M-25.4M-375.4K6.839.942471,68848,64040,041
2007-04-16$30.67$30.0032.4%9.3%21.6%0.0%30.8%5.2%1.1%1.8M-28.8M-373.7K1.315.0831841848,25141,024
2007-04-17$30.37$30.0032.1%9.2%22.0%0.0%31.2%5.7%1.4%2.0M-20.9M-366.4K0.564.5238921948,33141,030
2007-04-18$30.27$30.0032.1%9.2%21.8%0.0%32.0%5.0%1.8%3.3M-20.6M-360.7K0.726.5677155948,44039,440
2007-04-19$30.25$30.0032.4%9.3%21.7%0.0%32.1%5.5%1.7%4.3M-21.5M-355.1K3.185.635411,72248,09239,494
2007-04-20$30.89$30.0031.9%9.2%22.9%0.0%31.9%5.9%2.2%694.3K-41.7M-357.3K0.118.427238248,00840,547
2007-04-23$30.50$30.0031.4%9.0%23.0%0.0%31.5%5.1%3.4%481.6K-6.5M-344.9K1.085.4543947537,42936,983
2007-04-24$30.14$30.0030.8%8.8%23.1%0.0%30.7%5.5%2.3%355.5K-2.1M-344.5K2.975.545741,70337,68637,163
2007-04-25$29.93$30.0031.4%9.0%23.2%0.0%31.4%4.3%2.0%198.6K2.6M-341.7K1.737.1633257438,02838,391
2007-04-26$30.46$30.0031.0%8.9%24.0%0.0%30.8%4.0%2.6%333.5K-5.3M-348.1K0.517.3240720938,25838,787
2007-04-27$29.93$30.0030.6%8.8%24.4%0.0%30.6%4.3%2.6%169.0K1.8M-338.3K2.416.428320038,52938,899
2007-04-30$29.47$30.0033.9%9.7%25.0%0.0%35.7%4.1%0.5%6.9K8.5M-330.1K0.997.931,2761,26238,49938,541