AEO Options History — September 2007

In September 2007, AEO traded between $23.17 and $26.74. ATM implied volatility averaged 41.1%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 9.8% (HV 20d: 50.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-09-28: Highest Volume — 17,987 contracts
  • 2007-09-06: Largest IV drop — 13.2% change
  • 2007-09-17: Highest IV Rank — 67.0%
  • 2007-09-10: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.46$23.17$26.74$25.41$26.31
Max Pain$23.82$22.50$25.00$22.50$25.00
ATM IV41.1%37.6%43.4%41.5%43.1%
Expected Move11.8%10.8%12.5%11.9%12.3%
HV 20d50.9%44.4%55.1%49.0%48.0%
HV 60d42.9%38.8%45.9%38.8%45.9%
IV Rank59.0%47.8%67.0%47.8%65.9%
IV Percentile76.3%67.4%87.2%68.3%84.5%
Term Structure0.4%-2.9%2.2%-2.1%-1.2%
VWIV42.6%37.6%49.1%41.6%49.1%
Skew 25d2.5%-5.3%12.5%-4.4%-5.3%
Skew 10d6.6%-10.4%16.4%-8.0%-10.4%
Call IV 25d40.7%32.1%49.9%44.9%49.9%
Put IV 25d43.2%39.3%46.4%40.5%44.6%
Bid-Ask Spread %12.085.5918.545.5910.51
Gamma HHI0.250.210.350.260.24
Net GEX205.8K-61.0K673.1K378.1K-10.7K
Net DEX-19.5M-44.5M10.7M-17.7M-24.1M
Net VEX-347.8K-373.4K-306.2K-341.3K-373.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.081.540.470.18
Total Volume4,825.84270317,9873,53217,987
Total OI80,739.42175,10288,04675,41082,393

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$25.41$22.5041.5%11.9%49.0%0.0%41.6%-4.4%-2.1%378.1K-17.7M-341.3K0.475.592,4041,12840,96534,445
2007-09-05$25.15$22.5043.3%12.4%48.3%0.0%43.8%12.5%-2.9%183.2K-12.5M-337.2K1.1011.391,4541,60240,35034,752
2007-09-06$24.71$22.5037.6%10.8%48.2%47.8%37.6%7.1%2.2%271.8K-8.2M-334.3K0.348.911,94065541,10135,195
2007-09-07$23.82$25.0040.1%11.8%44.4%56.1%42.1%2.8%-0.2%149.3K3.0M-323.8K0.3517.203,1101,08041,04735,352
2007-09-10$23.17$25.0043.1%12.5%45.6%66.1%43.6%1.3%-1.2%61.1K10.7M-306.2K0.227.811,77838642,34835,336
2007-09-11$25.31$22.5040.8%11.9%55.1%58.3%44.3%1.9%-0.2%449.4K-19.0M-339.7K0.1712.447,2371,22142,87735,411
2007-09-12$25.25$22.5041.5%11.9%54.6%60.6%41.7%1.5%0.6%553.4K-20.2M-344.8K0.6013.784,1252,48844,27635,451
2007-09-13$25.49$25.0042.4%12.2%54.1%63.8%44.5%3.6%0.2%499.6K-23.3M-357.5K0.3114.393,02194945,04537,185
2007-09-14$25.55$22.5041.7%12.0%54.0%61.5%44.6%2.0%0.9%531.1K-23.9M-355.7K0.829.6274661445,60137,351
2007-09-17$25.61$22.5043.4%12.4%54.0%67.0%45.5%3.0%0.1%673.1K-26.2M-350.2K0.5514.0545424946,12137,613
2007-09-18$26.74$22.5039.3%11.3%54.7%53.5%41.2%2.3%1.3%63.0K-44.5M-341.7K0.0816.325,75245846,13237,681
2007-09-19$26.30$22.5041.4%11.9%55.1%60.5%41.4%2.5%0.3%9.9K-39.7M-346.9K1.5411.501,2982,00246,51837,896
2007-09-20$25.62$25.0040.6%11.6%54.6%57.9%41.4%1.6%1.0%42.8K-27.0M-338.6K0.1410.046,61094744,68939,143
2007-09-21$25.80$25.0040.5%11.6%54.6%57.4%40.9%5.1%1.5%26.9K-29.7M-353.9K0.4816.434,5242,17548,63439,412
2007-09-24$25.75$25.0040.7%11.7%47.5%58.2%41.7%1.1%1.3%-34.2K-13.0M-358.7K0.5212.662,7141,40343,80034,688
2007-09-25$25.07$25.0040.6%11.6%47.6%57.9%42.4%2.0%2.1%-61.0K-8.2M-361.2K0.476.661,82286545,57435,390
2007-09-26$26.43$25.0040.0%11.5%49.9%55.8%42.9%2.9%1.5%86.5K-24.1M-372.3K0.5211.642,4281,27446,10135,806
2007-09-27$26.22$25.0039.8%11.4%48.1%55.1%39.8%3.2%1.8%37.8K-23.5M-370.5K1.2718.541,2311,56046,04736,323
2007-09-28$26.31$25.0043.1%12.3%48.0%65.9%49.1%-5.3%-1.2%-10.7K-24.1M-373.4K0.1810.5115,2342,75345,69336,700