AEO Options History — May 2007

In May 2007, AEO traded between $26.94 and $29.56. ATM implied volatility averaged 36.5%. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.6% (HV 20d: 29.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2007-05-10: Highest Volume — 6,568 contracts
  • 2007-05-10: Largest IV drop — 23.6% change
  • 2007-05-09: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.33$26.94$29.56$29.45$27.00
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV36.5%29.8%46.9%33.7%34.8%
Expected Move10.2%8.6%11.0%9.7%10.0%
HV 20d29.9%24.7%33.0%25.0%31.7%
HV 60d27.0%26.3%27.8%27.1%26.6%
Term Structure-2.1%-6.0%2.1%0.8%-1.3%
VWIV34.9%30.3%38.5%33.7%31.7%
Skew 25d3.4%-3.0%12.2%4.6%-3.0%
Skew 10d6.5%-2.9%22.2%7.2%-2.9%
Call IV 25d34.9%29.6%41.4%33.5%35.0%
Put IV 25d38.3%32.0%41.9%38.1%32.0%
Bid-Ask Spread %11.435.8123.617.617.73
Gamma HHI0.370.280.490.310.49
Net GEX-388.0K-682.4K173.5K42.3K-638.8K
Net DEX20.5M4.0M34.4M9.4M19.8M
Net VEX-307.2K-331.3K-292.3K-323.6K-292.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.028.810.120.48
Total Volume2,630.2737066,568874706
Total OI72,499.63650,63585,10978,88359,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$29.45$30.0033.7%9.7%25.0%0.0%33.7%4.6%0.8%42.3K9.4M-323.6K0.127.617799539,33539,548
2007-05-02$29.56$30.0033.1%9.5%24.7%0.0%33.1%5.8%2.1%173.5K4.0M-331.3K4.735.813201,51539,84938,269
2007-05-03$28.31$30.0037.0%10.6%28.9%0.0%37.3%3.5%-0.5%-333.6K23.2M-312.8K1.1112.261,9522,17539,87338,893
2007-05-04$28.78$30.0036.7%10.3%29.7%0.0%35.6%5.0%-1.8%-105.7K21.7M-324.9K0.0323.614,37714540,55339,811
2007-05-07$28.48$30.0042.0%10.5%29.7%0.0%36.3%3.6%-2.4%-289.7K21.7M-313.9K0.0216.384,0059341,57139,904
2007-05-08$28.00$30.0046.5%10.9%28.0%0.0%38.5%3.3%-3.7%-682.4K29.6M-299.6K0.3416.062,46184239,80439,965
2007-05-09$28.98$30.0046.9%11.0%31.0%0.0%37.5%2.7%-3.9%-294.8K15.1M-320.1K0.5711.232,1511,22741,54240,219
2007-05-10$28.46$30.0035.8%10.3%28.0%0.0%36.7%2.7%-2.8%-499.4K30.8M-295.6K1.9823.282,2074,36140,93340,779
2007-05-11$29.14$30.0035.1%10.1%28.9%0.0%33.5%2.6%-2.7%-42.2K18.8M-321.3K0.3411.491,48151142,21841,217
2007-05-14$28.42$30.0036.9%10.6%29.8%0.0%36.9%1.6%-3.9%-465.1K28.1M-301.6K8.816.744023,54241,78341,344
2007-05-15$28.59$30.0035.3%10.1%29.9%0.0%35.3%10.5%-2.3%-486.9K34.4M-295.9K0.377.7882430641,97143,138
2007-05-16$28.66$30.0035.4%10.1%30.0%0.0%36.3%12.2%-2.6%-471.9K29.5M-304.5K1.957.2329156841,97141,894
2007-05-17$28.66$30.0035.6%10.2%30.0%0.0%36.2%2.9%-2.9%-488.2K31.1M-303.7K0.279.171,05228842,01642,140
2007-05-18$29.05$30.0035.7%10.2%29.3%0.0%35.9%0.4%-2.9%-421.5K27.7M-304.3K1.0414.681,1901,23342,61042,146
2007-05-21$29.33$30.0038.0%10.9%29.4%0.0%38.3%0.5%-4.3%-395.1K5.2M-305.3K0.4010.774,0221,60122,74327,892
2007-05-22$28.06$30.0032.0%9.2%32.9%0.0%33.1%6.1%-1.8%-382.1K12.6M-304.6K0.467.692,11797625,66628,815
2007-05-23$27.78$30.0029.8%8.6%33.0%0.0%30.3%4.5%0.4%-408.4K13.3M-311.1K0.4015.8455121926,12329,318
2007-05-24$27.39$30.0034.7%9.9%32.2%0.0%32.2%4.3%0.5%-469.0K17.1M-297.0K3.3410.124011,34126,22329,331
2007-05-25$27.13$30.0035.3%10.1%31.9%0.0%30.9%2.9%-1.7%-562.7K19.4M-300.0K2.928.527362,14926,24530,540
2007-05-29$26.94$30.0035.6%10.2%31.7%0.0%34.8%0.1%-1.9%-662.1K20.0M-294.1K1.186.6571584626,54931,730
2007-05-30$27.09$30.0037.8%10.8%31.8%0.0%33.1%-1.1%-6.0%-652.7K19.1M-300.1K0.3210.8383026326,99532,477
2007-05-31$27.00$30.0034.8%10.0%31.7%0.0%31.7%-3.0%-1.3%-638.8K19.8M-292.3K0.487.7347822827,08531,964