AEO Options History — July 2007

In July 2007, AEO traded between $24.26 and $27.82. ATM implied volatility averaged 37.2%. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.2% (HV 20d: 31.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-07-02: Highest Volume — 9,620 contracts
  • 2007-07-12: Largest IV drop — 23.8% change
  • 2007-07-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.34$24.26$27.82$25.82$24.26
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.2%31.8%43.9%32.4%43.9%
Expected Move10.4%9.1%12.6%9.3%12.6%
HV 20d31.0%21.4%38.6%22.4%38.6%
HV 60d28.5%25.6%30.9%26.3%29.8%
Term Structure-0.5%-2.6%1.6%1.0%-2.6%
VWIV36.1%30.1%45.4%32.3%45.4%
Skew 25d1.7%-7.3%10.7%10.7%-7.3%
Skew 10d4.7%-22.1%18.6%18.6%-22.1%
Call IV 25d35.4%24.0%49.4%24.0%49.4%
Put IV 25d37.1%34.1%43.5%34.7%42.1%
Bid-Ask Spread %7.954.0220.906.307.09
Gamma HHI0.500.370.680.590.51
Net GEX-528.9K-835.6K-212.2K-835.6K-621.5K
Net DEX-1.8M-30.9M33.0M16.2M33.0M
Net VEX-335.4K-378.3K-293.1K-378.3K-293.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.051.680.050.47
Total Volume3,333.7626039,6209,6206,535
Total OI83,759.61978,11188,85388,38781,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$25.82$25.0032.4%9.3%22.4%0.0%32.3%10.7%1.0%-835.6K16.2M-378.3K0.056.309,15346742,13846,249
2007-07-03$25.75$25.0032.5%9.3%22.2%0.0%32.5%10.3%0.0%-795.2K12.4M-347.9K0.556.5190950138,01643,950
2007-07-05$25.72$25.0032.0%9.2%21.4%0.0%32.0%9.5%1.0%-833.7K13.2M-348.4K0.125.156968237,11244,003
2007-07-06$26.56$25.0036.9%9.8%22.3%0.0%30.1%4.2%-0.8%-634.6K-1.1M-350.8K0.199.854,54086837,55744,029
2007-07-09$25.88$25.0040.6%10.0%24.1%0.0%31.4%4.1%-1.1%-526.0K6.2M-349.4K0.2811.8586924039,95244,593
2007-07-10$26.41$25.0043.0%9.9%25.1%0.0%34.7%4.9%-1.1%-433.3K-4.0M-343.7K0.4410.921,97387140,41644,621
2007-07-11$26.03$25.0041.7%10.5%25.5%0.0%36.5%3.0%-2.4%-498.1K2.2M-344.9K1.338.121,9502,59939,90744,654
2007-07-12$27.71$25.0031.8%9.1%33.2%0.0%33.6%2.6%-0.4%-212.2K-29.4M-334.2K0.567.345,6323,15240,99245,731
2007-07-13$27.62$25.0033.4%9.6%33.1%0.0%33.7%2.6%-1.6%-232.5K-25.2M-340.1K0.186.421,44826040,53644,500
2007-07-16$27.32$25.0036.8%10.5%32.8%0.0%38.7%-1.7%-1.5%-468.5K-21.4M-333.0K0.344.023,4261,15841,20344,563
2007-07-17$27.47$25.0036.5%10.5%30.9%0.0%35.5%1.1%-1.8%-269.1K-26.5M-337.7K0.494.102,2061,08743,52945,324
2007-07-18$26.85$25.0037.2%10.7%32.0%0.0%37.0%0.7%-1.5%-435.8K-17.1M-334.7K0.467.521,59972943,09744,695
2007-07-19$27.82$25.0035.3%10.1%34.2%0.0%36.4%1.6%-2.2%-248.6K-30.9M-328.3K0.155.711,59224043,50045,292
2007-07-20$27.33$25.0037.5%10.8%34.6%0.0%37.2%0.6%-1.4%-384.1K-21.6M-330.7K0.577.281,02158242,80545,335
2007-07-23$27.26$25.0037.3%10.7%34.3%0.0%37.2%0.2%0.2%-367.1K-13.6M-325.8K0.426.6442617736,64341,653
2007-07-24$26.60$25.0036.6%10.5%35.6%0.0%37.8%-1.0%1.5%-475.6K-4.1M-325.3K1.686.208311,39436,81241,299
2007-07-25$25.93$25.0037.2%10.7%36.2%0.0%37.2%-0.9%1.6%-646.5K7.5M-329.2K1.3811.211,0041,38337,38942,024
2007-07-26$25.26$25.0038.5%11.0%37.4%0.0%38.4%-3.6%0.6%-763.6K17.2M-327.3K0.6420.902,3161,48237,69142,893
2007-07-27$24.76$25.0039.3%11.3%38.0%0.0%39.3%-3.1%0.7%-747.9K25.0M-324.0K0.607.0855433438,72142,924
2007-07-30$24.85$25.0041.2%11.8%37.9%0.0%41.2%-2.7%0.5%-678.0K23.6M-317.3K0.576.832,3721,35139,05342,520
2007-07-31$24.26$25.0043.9%12.6%38.6%0.0%45.4%-7.3%-2.6%-621.5K33.0M-293.1K0.477.094,4432,09239,18541,846