AEO Options History — October 2007

In October 2007, AEO traded between $22.31 and $25.86. ATM implied volatility averaged 44.2%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.4% (HV 20d: 38.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-10-10: Highest Volume — 11,475 contracts
  • 2007-10-11: Largest IV drop — 20.3% change
  • 2007-10-10: Highest IV Rank — 94.5%
  • 2007-10-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.00$22.31$25.86$25.86$23.78
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV44.2%41.3%51.8%46.1%42.1%
Expected Move12.5%11.8%13.2%13.2%12.1%
HV 20d38.9%28.8%49.5%48.1%34.4%
HV 60d44.5%43.6%45.6%45.6%43.6%
IV Rank69.7%60.1%94.5%75.7%62.6%
IV Percentile83.7%72.4%98.7%92.3%72.7%
Term Structure3.1%-2.0%6.7%-0.6%6.0%
VWIV43.9%40.5%47.1%47.1%42.7%
Skew 25d1.4%-6.1%9.5%-3.1%2.8%
Skew 10d4.7%-19.1%22.6%-2.0%-1.7%
Call IV 25d44.5%36.8%51.3%50.5%40.9%
Put IV 25d46.0%43.3%49.1%47.4%43.7%
Bid-Ask Spread %9.787.0914.5911.167.09
Gamma HHI0.300.210.480.250.25
Net GEX-322.6K-1.0M172.5K172.5K-118.9K
Net DEX4.5M-19.3M26.5M-19.3M-4.4M
Net VEX-366.6K-402.7K-319.9K-379.2K-385.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.211.941.941.05
Total Volume5,611.0873,05011,47510,9123,740
Total OI101,151.1390,129110,91490,764102,446

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$25.86$25.0046.1%13.2%48.1%75.7%47.1%-3.1%-0.6%172.5K-19.3M-379.2K1.9411.163,7087,20452,61038,154
2007-10-02$25.55$25.0045.6%13.1%48.0%74.2%44.4%-2.9%-2.0%-281.3K-11.4M-390.9K0.3114.592,44074753,17842,921
2007-10-03$24.99$25.0045.3%13.0%48.5%73.1%46.1%-3.1%-1.4%-439.1K-2.8M-382.4K0.327.714,0681,28253,86642,916
2007-10-04$24.44$25.0044.9%12.9%48.7%71.7%44.8%-6.1%-1.9%-420.7K3.5M-376.7K0.827.101,8901,55255,88943,479
2007-10-05$25.43$25.0044.5%12.3%48.8%70.6%43.1%1.6%0.9%-316.8K-12.0M-392.2K0.579.833,1441,78657,10044,313
2007-10-08$24.55$25.0046.5%12.8%49.5%77.1%44.8%0.0%-0.3%-466.8K997.9K-376.2K0.387.613,9651,52157,77744,549
2007-10-09$24.90$25.0049.1%12.8%38.2%85.7%45.0%1.0%0.7%-441.0K-4.7M-389.3K0.877.233,4112,96358,74545,570
2007-10-10$24.58$25.0051.8%13.1%38.4%94.5%46.0%0.2%0.2%-563.8K845.4K-386.7K1.828.344,0707,40559,81447,063
2007-10-11$24.95$25.0041.3%11.8%38.7%60.1%41.8%2.1%3.9%-735.6K-5.3M-402.7K0.7412.176,3354,70261,64849,266
2007-10-12$24.43$25.0041.5%11.9%39.3%60.7%42.1%-0.3%4.1%-1.0M9.8M-382.4K1.8313.652,5184,60960,25449,243
2007-10-15$24.05$25.0043.1%12.4%39.5%66.0%45.7%0.4%3.2%-811.8K15.0M-365.6K1.229.352,2482,74260,81248,076
2007-10-16$23.62$25.0044.3%12.7%35.8%69.9%43.5%1.5%2.5%-428.6K19.8M-349.9K0.429.013,7231,56660,66046,010
2007-10-17$23.69$25.0042.3%12.1%35.8%63.4%40.5%1.1%4.1%-350.8K19.4M-348.9K0.629.763,2382,01261,03645,865
2007-10-18$23.30$25.0042.3%12.1%35.2%63.3%42.2%1.3%5.1%-243.5K22.5M-351.6K0.938.062,7302,52761,69845,725
2007-10-19$22.68$25.0042.1%12.1%35.7%62.6%42.6%1.8%6.2%-297.8K26.5M-328.5K0.588.171,9321,11862,34044,565
2007-10-22$22.93$25.0044.0%12.6%36.2%69.0%44.0%3.6%6.7%-179.3K12.1M-331.9K0.369.613,0921,11852,30037,829
2007-10-23$22.36$25.0043.7%12.5%36.1%67.8%44.0%1.6%4.6%-159.3K17.6M-319.9K0.218.313,98282653,53237,801
2007-10-24$22.31$25.0044.6%12.8%28.8%71.0%44.7%3.9%5.4%-71.2K16.3M-327.4K0.6714.253,5012,34955,98338,035
2007-10-25$22.50$25.0044.9%12.9%29.4%71.8%45.5%5.2%5.2%-75.9K12.1M-341.5K0.9710.581,6131,56557,29338,915
2007-10-26$23.02$25.0043.0%12.3%31.2%65.8%42.9%3.0%6.3%-113.1K6.0M-357.8K0.2310.512,85765857,84939,742
2007-10-29$23.96$25.0041.8%12.0%35.0%61.6%42.2%9.5%6.5%-98.4K-7.7M-373.9K0.4313.653,5131,52358,58639,747
2007-10-30$24.07$25.0042.9%12.3%35.0%65.2%44.1%8.0%5.9%29.4K-11.8M-390.8K1.317.292,4063,15660,96240,314
2007-10-31$23.78$25.0042.1%12.1%34.4%62.6%42.7%2.8%6.0%-118.9K-4.4M-385.3K1.057.091,8221,91861,18641,260