AEO Options History — June 2007

In June 2007, AEO traded between $25.48 and $27.20. ATM implied volatility averaged 33.8%. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.4% (HV 20d: 24.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-06-22: Highest Volume — 24,574 contracts
  • 2007-06-13: Largest IV drop — 44.8% change
  • 2007-06-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$25.48$27.20$27.20$25.66
Max Pain$26.67$25.00$30.00$30.00$25.00
ATM IV33.8%23.0%43.9%36.9%31.2%
Expected Move9.4%8.6%10.6%10.6%9.0%
HV 20d24.4%21.8%28.4%28.4%22.4%
HV 60d25.9%24.8%26.4%26.4%26.3%
Term Structure1.3%-3.5%3.0%-3.5%1.1%
VWIV31.8%24.2%33.7%24.2%31.2%
Skew 25d1.5%-4.2%11.9%11.9%10.0%
Skew 10d6.0%-5.8%17.3%17.3%16.1%
Call IV 25d31.3%22.0%38.0%22.0%23.3%
Put IV 25d32.8%29.9%34.7%33.9%33.3%
Bid-Ask Spread %10.664.1420.997.765.40
Gamma HHI0.600.470.680.470.60
Net GEX-761.5K-948.1K-455.9K-614.8K-827.4K
Net DEX19.6M12.7M27.3M17.8M18.5M
Net VEX-318.6K-384.3K-189.3K-297.9K-373.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0816.500.080.36
Total Volume3,685.04848824,5742,8463,102
Total OI70,376.33346,20589,33359,11389,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$27.20$30.0036.9%10.6%28.4%0.0%24.2%11.9%-3.5%-614.8K17.8M-297.9K0.087.762,62522127,10232,011
2007-06-04$26.93$30.0036.5%9.7%27.7%0.0%33.0%1.3%0.8%-566.3K18.3M-301.6K0.659.802,7911,80328,85432,166
2007-06-05$26.63$30.0035.0%9.7%27.7%0.0%33.3%1.3%1.5%-553.9K19.7M-304.4K0.5111.691,59080530,91232,881
2007-06-06$27.01$30.0043.9%9.9%27.9%0.0%32.4%2.3%0.7%-455.9K15.5M-305.7K0.3817.497,7512,96431,82732,863
2007-06-07$26.24$30.0035.5%9.7%26.0%0.0%31.0%0.4%0.9%-730.5K22.4M-300.5K6.7512.825403,64733,16334,544
2007-06-08$26.05$30.0033.8%9.6%25.5%0.0%33.6%0.5%1.2%-948.1K27.3M-316.1K1.5112.8138858631,95237,342
2007-06-11$26.21$30.0043.2%9.5%23.7%0.0%33.0%0.7%1.9%-779.8K17.8M-189.3K0.4613.641,15052519,26426,941
2007-06-12$26.02$25.0041.6%9.7%22.5%0.0%33.7%1.3%1.3%-925.3K25.7M-306.5K0.1316.711,88524433,05937,802
2007-06-13$26.57$25.0023.0%9.6%24.0%0.0%32.0%1.2%1.4%-742.2K18.2M-317.6K1.5317.2543266034,58637,861
2007-06-14$26.41$25.0032.8%9.4%23.9%0.0%32.8%1.2%1.8%-777.8K18.7M-316.2K1.7120.9918030834,71037,831
2007-06-15$26.01$25.0032.3%9.3%24.2%0.0%32.5%-1.4%2.1%-823.4K21.3M-303.0K0.998.371,1221,11434,69837,395
2007-06-18$26.87$25.0031.1%8.9%26.9%0.0%30.7%0.8%2.4%-703.2K17.4M-314.5K0.7010.051,33493728,67035,058
2007-06-19$26.96$25.0031.1%8.9%26.6%0.0%30.4%0.9%3.0%-661.6K15.9M-310.7K2.909.0324069728,80534,172
2007-06-20$26.72$25.0030.9%8.9%22.1%0.0%30.5%0.9%3.0%-720.0K17.4M-308.7K6.3416.813121,97728,87034,488
2007-06-21$26.42$25.0030.1%8.6%22.2%0.0%30.0%0.2%2.6%-884.9K22.4M-318.0K1.157.4267778028,91836,010
2007-06-22$26.12$25.0029.9%8.6%22.0%0.0%30.9%-0.8%2.3%-867.7K22.2M-305.2K0.996.2912,36612,20829,05834,865
2007-06-25$26.11$25.0032.1%9.2%21.8%0.0%32.1%-0.7%1.0%-867.3K12.7M-384.3K0.604.761,29378241,16146,490
2007-06-26$25.63$25.0031.5%9.0%22.6%0.0%33.5%-3.8%1.5%-924.7K20.9M-374.7K1.254.1459674340,89045,896
2007-06-27$25.48$25.0033.6%9.6%22.4%0.0%33.6%-4.2%0.4%-909.6K22.5M-368.6K0.304.452,38270741,09745,805
2007-06-28$25.49$25.0033.4%9.6%22.4%0.0%33.3%8.0%0.5%-708.1K19.4M-374.4K16.506.101672,75542,84245,711
2007-06-29$25.66$25.0031.2%9.0%22.4%0.0%31.2%10.0%1.1%-827.4K18.5M-373.8K0.365.402,28182142,70046,633