AEO Options History — August 2007

In August 2007, AEO traded between $22.04 and $25.85. ATM implied volatility averaged 44.4%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 2.7% (HV 20d: 41.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-08-20: Highest Volume — 15,270 contracts
  • 2007-08-21: Largest IV drop — 16.6% change
  • 2007-08-16: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$22.04$25.85$24.58$25.83
Max Pain$24.02$22.50$25.00$25.00$22.50
ATM IV44.4%36.3%53.5%43.3%37.0%
Expected Move12.7%10.4%15.3%12.4%10.6%
HV 20d41.8%34.5%51.9%39.0%48.4%
HV 60d33.5%29.8%39.0%30.0%38.6%
Term Structure-1.2%-3.9%1.5%-0.3%0.7%
VWIV44.6%36.5%52.2%43.3%37.0%
Skew 25d0.1%-6.7%7.8%-5.9%-1.0%
Skew 10d-0.8%-19.8%21.3%-15.2%-0.5%
Call IV 25d45.3%34.5%55.9%49.3%38.6%
Put IV 25d45.4%36.6%55.4%43.5%37.6%
Bid-Ask Spread %14.745.9422.077.785.94
Gamma HHI0.350.220.470.440.22
Net GEX-57.7K-594.1K502.4K-588.3K312.4K
Net DEX21.2M-24.3M55.6M28.0M-22.1M
Net VEX-322.1K-362.3K-276.3K-322.8K-348.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.092.450.470.30
Total Volume5,039.6521,37815,2702,4962,570
Total OI86,532.1363,107104,31986,96075,220

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$24.58$25.0043.3%12.4%39.0%0.0%43.3%-5.9%-0.3%-588.3K28.0M-322.8K0.477.781,69580142,74144,219
2007-08-02$24.70$25.0042.4%12.2%39.1%0.0%42.4%7.8%0.4%-594.1K24.7M-326.3K2.459.168912,18643,35944,613
2007-08-03$23.50$25.0044.6%12.8%40.4%0.0%46.0%-2.1%1.5%-508.7K41.0M-305.9K0.487.282,03897543,81544,400
2007-08-06$23.60$25.0050.3%13.4%39.9%0.0%46.1%2.7%-3.4%-495.0K40.6M-302.2K0.2121.003,16665944,92944,641
2007-08-07$24.30$25.0043.5%12.3%40.7%0.0%44.3%3.3%-2.3%-457.0K28.0M-322.8K0.2516.732,98573546,28745,068
2007-08-08$23.84$25.0046.4%12.3%40.9%0.0%43.9%1.8%-1.6%-487.5K36.2M-310.0K0.2217.069,9132,22946,64845,256
2007-08-09$22.40$25.0047.0%13.3%37.7%0.0%47.2%0.4%-1.3%-72.1K55.6M-276.3K0.4014.766,4482,57852,75146,241
2007-08-10$22.63$25.0045.5%14.0%38.4%0.0%49.2%-0.2%-1.9%-129.3K49.3M-301.6K0.2118.416,0491,29452,87546,831
2007-08-13$22.81$25.0048.6%14.1%38.9%0.0%49.3%1.2%-3.9%-125.6K47.8M-304.7K0.1317.444,16353753,47747,256
2007-08-14$22.45$25.0050.5%14.5%38.6%0.0%50.7%1.9%-3.2%-123.0K52.6M-294.2K0.7920.053,5342,77653,66347,366
2007-08-15$22.14$25.0051.9%14.6%38.3%0.0%50.8%1.1%-3.3%-114.2K55.4M-303.8K0.3120.283,5231,09555,44248,877
2007-08-16$22.04$25.0053.5%15.3%34.5%0.0%52.2%2.1%-3.6%-152.5K53.5M-285.1K1.0222.071,5421,56654,56647,287
2007-08-17$22.23$25.0051.1%14.6%35.1%0.0%50.4%6.3%-2.4%21.6K53.4M-289.6K1.5414.251,7802,74255,29946,789
2007-08-20$23.01$25.0049.4%14.1%38.5%0.0%51.8%-6.7%-0.6%-381.0K17.9M-303.7K0.1013.4713,8401,43030,28932,818
2007-08-21$22.81$22.5041.2%11.8%38.0%0.0%41.9%2.0%1.3%123.7K12.5M-324.1K0.0911.334,27638640,93733,469
2007-08-22$23.81$22.5037.8%10.8%41.4%0.0%39.1%-1.9%1.0%226.3K686.5K-346.8K0.3916.932,27189641,63433,753
2007-08-23$23.97$22.5036.3%10.4%40.7%0.0%36.5%-3.2%1.5%316.3K-754.2K-348.8K0.558.1188948941,53833,938
2007-08-24$25.85$22.5036.6%10.5%48.7%0.0%37.4%-0.7%0.5%410.0K-24.3M-361.1K0.2211.693,32172741,44534,000
2007-08-27$25.20$22.5040.4%11.6%49.6%0.0%40.9%-1.0%-0.8%356.3K-15.4M-356.9K0.6819.751,7691,20141,36334,072
2007-08-28$24.48$22.5044.9%12.9%50.0%0.0%44.6%-3.7%-2.2%312.2K-6.4M-354.7K0.3517.253,7131,29341,88934,268
2007-08-29$25.50$22.5040.1%11.5%51.9%0.0%40.2%-0.5%-1.4%502.4K-21.4M-362.3K0.1819.935,09893143,33034,754
2007-08-30$25.40$22.5040.2%11.5%51.9%0.0%40.2%-0.6%-1.5%319.8K-18.3M-356.5K0.278.482,29561741,89534,931
2007-08-31$25.83$22.5037.0%10.6%48.4%0.0%37.0%-1.0%0.7%312.4K-22.1M-348.7K0.305.941,98059040,62934,591