AEO Options History — November 2007

In November 2007, AEO traded between $21.22 and $23.18. ATM implied volatility averaged 49.9%, placing in the 82.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 9.4% (HV 20d: 40.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-11-27: Highest Volume — 12,626 contracts
  • 2007-11-12: Largest IV spike — 14.7% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.08$21.22$23.18$22.60$22.89
Max Pain$22.50$20.00$25.00$25.00$22.50
ATM IV49.9%42.6%57.9%47.0%43.0%
Expected Move14.6%12.2%16.6%13.5%12.3%
HV 20d40.5%33.5%44.7%37.9%44.1%
HV 60d43.2%41.2%45.3%44.6%43.2%
IV Rank82.8%56.3%100.0%78.9%57.4%
IV Percentile92.3%68.1%100.0%94.6%69.4%
Term Structure0.2%-2.8%4.7%2.5%4.1%
VWIV51.4%43.1%60.5%46.4%43.1%
Skew 25d5.3%2.5%8.3%3.7%4.0%
Skew 10d12.7%2.9%24.5%7.0%11.5%
Call IV 25d49.5%41.6%56.2%46.1%41.6%
Put IV 25d54.9%45.5%64.5%49.8%45.5%
Bid-Ask Spread %13.457.5424.0512.3413.49
Gamma HHI0.270.190.440.260.25
Net GEX108.7K-271.4K587.5K-89.0K587.5K
Net DEX8.3M-14.8M21.6M11.4M-14.8M
Net VEX-342.4K-364.2K-316.8K-362.5K-351.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.120.920.440.21
Total Volume5,464.0952,12712,6264,3936,629
Total OI104,47790,007113,842102,975104,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$22.60$25.0047.0%13.5%37.9%78.9%46.4%3.7%2.5%-89.0K11.4M-362.5K0.4412.343,0431,35061,56141,414
2007-11-02$22.55$25.0046.5%13.3%34.3%77.3%46.5%5.2%3.8%-120.6K12.7M-361.3K0.3215.362,89693862,14841,960
2007-11-05$21.93$22.5051.9%14.8%33.5%94.9%52.2%2.5%-1.3%-97.5K20.8M-338.6K0.4221.673,0271,25763,14542,530
2007-11-06$22.57$22.5048.8%14.8%35.0%84.7%51.3%4.3%-0.7%-94.8K13.1M-362.2K0.569.731,73097664,06343,150
2007-11-07$21.87$22.5053.4%15.3%36.2%99.8%53.8%4.1%-1.3%-66.1K20.8M-342.9K0.7916.971,9841,56064,24343,320
2007-11-08$22.28$22.5048.6%15.1%36.5%83.9%53.6%2.8%-1.5%-74.2K16.8M-350.9K0.9224.053,6673,38065,46644,034
2007-11-09$21.60$22.5048.7%15.8%37.2%84.3%57.8%6.1%-2.8%17.0K21.6M-335.5K0.7316.354,1373,00666,82344,194
2007-11-12$22.00$20.0055.9%15.7%38.0%100.0%55.3%7.1%-2.7%83.2K9.0M-353.8K0.287.895,7981,62168,16043,766
2007-11-13$23.18$22.5051.0%15.0%42.6%85.3%51.8%4.7%-2.0%-20.2K-1.5M-364.2K0.529.805,2022,70667,61543,620
2007-11-14$22.81$22.5046.4%15.2%42.9%71.2%52.2%3.4%-2.3%-88.6K4.9M-355.7K0.4310.851,97785469,14344,296
2007-11-15$22.46$22.5051.1%14.7%42.9%85.6%51.1%3.8%0.6%-271.4K6.9M-353.1K0.2313.334,23397669,41444,428
2007-11-16$22.15$22.5052.4%15.0%42.1%89.5%52.6%4.1%-1.1%-170.2K16.3M-339.9K0.7110.481,5981,12770,54443,199
2007-11-19$21.51$22.5053.8%15.4%43.0%93.8%54.3%5.8%-2.0%281.7K4.8M-316.8K0.547.542,8181,51256,92233,085
2007-11-20$21.52$22.5049.4%14.2%42.2%80.5%51.0%6.3%2.3%320.6K6.4M-319.0K0.6310.223,4752,17558,42734,064
2007-11-21$21.26$22.5051.3%14.7%42.3%86.1%52.5%6.4%1.3%257.7K7.9M-321.5K0.5112.643,1921,61259,00035,787
2007-11-23$22.05$22.5051.4%14.7%44.4%86.5%53.4%7.2%0.4%310.9K643.3K-340.9K0.328.221,60752060,11936,400
2007-11-26$21.37$22.5057.9%16.6%44.7%100.0%60.5%8.3%-2.8%278.8K6.9M-323.4K0.7412.345,4144,00960,51536,535
2007-11-27$21.22$22.5051.5%14.8%41.6%81.8%49.7%8.0%1.6%260.1K11.1M-317.0K0.6211.987,8174,80962,70538,192
2007-11-28$22.06$20.0044.4%12.7%44.5%61.3%46.0%6.6%3.1%457.4K-2.5M-340.3K0.4517.505,2992,38364,49137,506
2007-11-29$21.88$22.5042.6%12.2%44.4%56.3%44.4%8.0%4.7%520.9K528.0K-338.7K0.1219.662,16826465,30838,718
2007-11-30$22.89$22.5043.0%12.3%44.1%57.4%43.1%4.0%4.1%587.5K-14.8M-351.8K0.2113.495,4741,15565,40738,600