AEO Options History — December 2007

In December 2007, AEO traded between $20.27 and $22.94. ATM implied volatility averaged 46.0%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 6.0% (HV 20d: 40.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2007-12-14: Highest Volume — 4,334 contracts
  • 2007-12-13: Largest IV spike — 21.9% change
  • 2007-12-19: Highest IV Rank — 78.4%
  • 2007-12-19: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.48$20.27$22.94$22.94$20.77
Max Pain$24.50$22.50$25.00$22.50$25.00
ATM IV46.0%40.1%50.3%45.6%48.5%
Expected Move13.4%11.8%14.4%13.1%13.9%
HV 20d40.0%31.7%44.1%44.1%31.7%
HV 60d38.9%37.8%42.5%42.5%37.8%
IV Rank66.1%49.1%78.4%64.8%73.1%
IV Percentile78.0%50.5%92.0%81.8%85.4%
Term Structure0.4%-1.7%3.6%1.0%0.1%
VWIV46.5%40.2%50.2%45.4%46.5%
Skew 25d4.8%1.9%8.4%2.9%8.4%
Skew 10d10.1%-2.5%24.9%11.5%7.8%
Call IV 25d45.1%39.6%48.0%44.5%47.6%
Put IV 25d49.9%46.7%56.0%47.3%56.0%
Bid-Ask Spread %11.308.1214.459.9613.02
Gamma HHI0.280.170.430.270.17
Net GEX356.0K30.5K709.0K597.4K210.1K
Net DEX10.3M-13.6M29.2M-13.6M1.9M
Net VEX-279.3K-343.5K-230.8K-343.5K-266.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.092.310.210.15
Total Volume2,567.71,2304,3343,2112,347
Total OI101,874.5587,037109,173103,65487,037

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$22.94$22.5045.6%13.1%44.1%64.8%45.4%2.9%1.0%597.4K-13.6M-343.5K0.219.962,65455764,99438,660
2007-12-04$22.61$22.5046.7%13.4%43.1%68.0%49.0%3.8%1.2%568.3K-7.5M-334.1K0.668.882,1961,45364,97538,626
2007-12-05$22.11$22.5044.1%12.6%42.7%60.5%45.9%3.4%3.3%605.4K-570.2K-324.1K1.4511.831,0121,47266,55838,662
2007-12-06$22.33$22.5041.3%11.8%41.3%52.3%40.2%8.3%3.6%634.4K-3.1M-324.7K0.148.122,16331166,88839,269
2007-12-07$22.21$25.0040.3%12.6%40.8%49.6%43.5%5.2%1.1%633.8K-1.3M-315.3K0.2212.912,24749966,82639,314
2007-12-10$22.86$25.0041.1%12.6%40.3%51.9%42.9%7.6%0.1%709.0K-9.3M-312.5K0.5510.871,39376866,09939,464
2007-12-11$22.07$25.0040.7%12.7%42.0%50.8%44.7%3.3%0.2%634.6K3.2M-300.1K0.4511.7498244265,91939,500
2007-12-12$21.66$25.0040.1%13.0%37.7%49.1%46.1%3.2%-0.2%605.0K12.0M-288.7K0.4912.101,61478866,10539,691
2007-12-13$21.06$25.0048.9%14.0%38.4%74.2%47.0%5.0%-1.7%354.5K21.1M-266.5K0.358.322,46085165,93239,807
2007-12-14$20.27$25.0047.3%13.6%40.2%69.8%46.7%1.9%0.5%181.7K29.2M-245.3K0.3910.753,1181,21666,44840,062
2007-12-17$21.14$25.0049.9%14.3%43.3%77.1%48.9%3.1%0.1%385.2K17.7M-269.3K0.4612.461,93089467,66540,662
2007-12-18$21.29$25.0047.5%13.6%42.2%70.2%50.2%4.8%0.8%348.2K18.7M-270.8K1.4412.011,4382,07167,75440,765
2007-12-19$21.21$25.0050.3%14.4%42.2%78.4%47.9%5.6%0.3%320.9K17.9M-269.4K0.6611.6373949167,79341,380
2007-12-20$21.15$25.0049.9%14.3%42.0%77.0%49.4%6.0%-1.1%52.3K22.3M-253.9K2.3110.825861,35367,68841,256
2007-12-21$21.18$25.0048.5%13.9%39.8%73.2%46.5%5.7%-0.2%44.1K19.4M-255.8K0.6314.451,12970667,81040,573
2007-12-24$20.85$25.0046.9%13.4%38.6%68.4%45.5%3.1%0.7%30.5K20.8M-239.8K0.3610.271,52055454,55233,549
2007-12-26$20.83$25.0048.8%14.0%38.5%74.1%49.9%6.7%-1.0%58.3K20.7M-239.8K0.6512.571,35988055,38133,897
2007-12-27$20.46$25.0048.4%13.9%35.9%72.7%48.2%2.9%-0.8%62.8K19.1M-235.1K0.2212.722,32052155,88232,340
2007-12-28$20.55$25.0046.2%13.3%36.0%66.6%45.4%4.9%0.5%83.3K17.8M-230.8K0.0910.602,12020056,25831,450
2007-12-31$20.77$25.0048.5%13.9%31.7%73.1%46.5%8.4%0.1%210.1K1.9M-266.2K0.1513.022,04430355,70731,330