AEO Options History — January 2008

In January 2008, AEO traded between $17.70 and $23.16. ATM implied volatility averaged 55.1%, placing in the 81.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 1.0% (HV 20d: 56.1%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-01-22: Highest Volume — 11,454 contracts
  • 2008-01-10: Largest IV drop — 21.3% change
  • 2008-01-08: Highest IV Rank — 100.0%
  • 2008-01-28: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.25$17.70$23.16$20.61$22.98
Max Pain$21.07$17.50$25.00$25.00$22.50
ATM IV55.1%50.0%63.5%50.2%55.6%
Expected Move15.5%14.3%16.8%14.4%15.9%
HV 20d56.1%31.6%76.1%31.6%76.1%
HV 60d46.2%36.7%54.2%36.7%53.5%
IV Rank81.9%66.7%100.0%78.0%80.4%
IV Percentile96.5%88.7%100.0%91.3%95.6%
Term Structure-1.9%-3.7%1.0%-1.4%-0.5%
VWIV55.3%49.3%63.8%50.1%52.2%
Skew 25d7.6%2.8%14.5%2.8%10.8%
Skew 10d18.4%1.0%39.9%1.0%29.0%
Call IV 25d51.6%48.9%54.4%49.9%50.1%
Put IV 25d59.3%52.7%65.3%52.7%60.9%
Bid-Ask Spread %10.587.5516.9216.929.82
Gamma HHI0.250.190.480.200.35
Net GEX207.9K30.4K689.4K43.4K277.7K
Net DEX-2.4M-37.7M22.7M16.2M-36.0M
Net VEX-250.4K-343.7K-185.8K-224.8K-343.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.203.473.470.24
Total Volume6,487.4292,97911,4543,8543,869
Total OI85,206.61959,367100,97485,93485,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$20.61$25.0050.2%14.4%31.6%78.0%50.1%2.8%-1.4%43.4K16.2M-224.8K3.4716.928622,99255,24530,689
2008-01-03$19.64$25.0050.7%14.5%35.0%79.5%49.3%2.9%-1.9%30.4K22.7M-210.9K0.5711.043,6782,10955,86631,263
2008-01-04$18.93$22.5052.9%14.6%36.2%85.7%52.4%6.9%-2.3%31.5K21.4M-200.3K0.687.554,6503,16557,12629,270
2008-01-07$18.77$22.5056.2%14.5%35.6%95.2%54.0%6.7%-2.0%94.4K18.2M-206.8K1.209.221,6201,95259,63128,737
2008-01-08$17.78$22.5060.5%15.8%39.0%100.0%52.7%3.1%-3.7%98.9K22.4M-190.8K0.719.291,7461,23359,95029,527
2008-01-09$17.72$22.5063.5%15.7%36.2%100.0%52.2%7.0%-3.5%75.5K19.4M-185.8K0.8813.813,3802,96559,93927,746
2008-01-10$18.97$22.5050.0%14.3%45.2%66.7%51.1%5.5%-1.5%96.6K12.5M-210.4K0.668.006,1034,03761,12328,463
2008-01-11$17.70$20.0053.1%15.2%50.1%74.3%53.0%5.6%-1.2%219.0K12.8M-209.6K1.1110.671,7931,98563,48529,807
2008-01-14$19.19$20.0052.7%15.1%59.1%73.3%53.7%4.1%-2.4%194.1K8.3M-225.7K0.949.393,2293,02364,09130,414
2008-01-15$18.88$20.0053.8%15.4%57.9%76.0%54.3%3.1%-2.2%112.3K12.7M-222.8K0.6911.093,3142,29364,76131,622
2008-01-16$18.77$20.0053.6%15.4%55.4%75.5%58.4%8.0%-2.2%133.6K12.5M-221.6K0.959.032,9722,81065,51831,312
2008-01-17$19.10$20.0055.0%15.8%55.8%78.9%58.8%6.3%-3.1%190.8K7.2M-232.4K0.2012.645,9391,17067,28831,836
2008-01-18$19.69$17.5055.9%16.0%57.2%81.2%56.6%10.2%-3.7%689.4K-982.5K-244.4K0.3910.696,2852,44669,99230,982
2008-01-22$21.82$20.0054.9%15.8%68.6%78.9%57.4%7.4%-1.5%221.4K-21.4M-263.5K0.369.818,3983,05636,42922,938
2008-01-23$22.64$20.0057.3%16.4%69.7%84.7%59.3%9.6%-0.8%350.0K-30.9M-287.2K2.298.463,4607,94040,51224,541
2008-01-24$21.78$20.0054.4%15.6%71.0%77.5%55.6%9.7%-0.7%215.7K-22.0M-293.6K0.5910.033,7722,22541,97928,841
2008-01-25$21.46$20.0052.9%15.2%71.3%73.9%57.1%9.4%1.0%228.3K-18.9M-298.0K0.8912.213,2532,89443,79029,550
2008-01-28$23.11$20.0058.7%16.8%75.3%88.2%59.9%13.7%-1.7%390.9K-36.3M-315.9K0.679.505,6313,79545,56529,707
2008-01-29$23.16$20.0057.9%16.6%75.3%86.2%63.8%14.5%-1.7%372.6K-37.7M-333.4K0.9012.172,3912,14748,36432,598
2008-01-30$22.59$20.0057.9%16.6%76.1%86.1%58.6%13.6%-2.2%299.0K-32.2M-336.1K0.9410.822,9102,74449,47433,847
2008-01-31$22.98$22.5055.6%15.9%76.1%80.4%52.2%10.8%-0.5%277.7K-36.0M-343.7K0.249.823,13073950,22535,296