AEO Options History — February 2008

In February 2008, AEO traded between $20.62 and $23.52. ATM implied volatility averaged 53.2%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 10.9% (HV 20d: 64.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-02-29: Highest Volume — 13,437 contracts
  • 2008-02-07: Largest IV drop — 21.9% change
  • 2008-02-06: Highest IV Rank — 100.0%
  • 2008-02-06: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.96$20.62$23.52$23.52$21.37
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV53.2%45.3%69.3%55.0%48.0%
Expected Move15.2%13.0%17.8%15.8%13.7%
HV 20d64.1%49.7%78.1%73.6%53.9%
HV 60d55.3%53.4%56.4%53.4%56.4%
IV Rank66.8%48.1%100.0%78.9%53.9%
IV Percentile84.6%63.8%100.0%95.2%72.5%
Term Structure-2.1%-7.1%2.9%0.0%2.9%
VWIV53.9%46.0%61.5%57.2%47.7%
Skew 25d9.8%7.1%14.1%14.1%10.9%
Skew 10d23.2%14.4%36.5%34.3%19.1%
Call IV 25d49.2%40.1%57.6%46.6%45.5%
Put IV 25d59.0%49.5%66.5%60.7%56.5%
Bid-Ask Spread %11.067.7116.2910.9311.40
Gamma HHI0.290.240.430.430.29
Net GEX320.5K8.8K756.0K462.4K156.5K
Net DEX-23.1M-43.7M-7.2M-43.7M-7.2M
Net VEX-335.2K-357.2K-302.9K-355.8K-339.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.373.060.520.80
Total Volume5,139.81,29213,4374,37913,437
Total OI87,345.169,03096,05487,39190,175

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$23.52$22.5055.0%15.8%73.6%78.9%57.2%14.1%0.0%462.4K-43.7M-355.8K0.5210.932,8771,50252,07735,314
2008-02-04$21.88$22.5059.6%16.0%77.5%90.4%58.8%11.4%-4.6%208.5K-24.1M-333.4K1.5916.012,2523,57752,65435,928
2008-02-05$21.38$22.5063.1%16.7%78.1%99.0%60.3%10.2%-6.2%82.9K-15.5M-335.2K0.479.555,0772,38253,50638,149
2008-02-06$20.62$22.5069.3%17.8%76.5%100.0%61.5%8.9%-7.1%15.3K-11.7M-342.7K1.369.353,1934,33154,72539,349
2008-02-07$21.59$22.5054.1%16.2%77.5%67.2%57.4%9.9%-4.6%8.8K-19.2M-343.1K2.6011.542,2435,82555,11840,667
2008-02-08$21.65$22.5051.6%16.3%74.4%61.8%57.6%8.8%-5.4%291.6K-21.1M-343.7K0.4311.042,5071,07855,63738,258
2008-02-11$22.20$22.5056.3%16.1%69.0%71.8%56.3%9.8%-4.3%414.3K-31.5M-343.4K0.3710.061,10040857,33438,236
2008-02-12$21.94$22.5052.9%15.8%64.3%64.7%56.4%11.4%-3.9%379.0K-26.3M-333.6K0.6911.121,15179657,49838,107
2008-02-13$22.29$22.5050.8%15.9%63.8%60.0%57.8%12.6%-4.6%490.3K-33.2M-334.9K1.0910.3061967357,58538,207
2008-02-14$21.21$22.5058.8%16.9%66.9%77.3%56.9%7.7%-5.2%232.9K-15.3M-307.9K2.0016.291,2432,48357,45638,598
2008-02-15$21.28$22.5052.8%15.1%66.8%64.3%57.2%10.3%-3.1%218.7K-16.9M-310.9K0.8611.261,4251,22957,45438,138
2008-02-19$20.97$22.5057.5%16.5%66.4%74.5%53.9%8.1%-4.3%192.3K-10.4M-302.9K0.7912.301,5611,23441,74827,282
2008-02-20$21.78$22.5051.1%14.7%56.8%60.7%52.5%8.3%-0.6%280.6K-17.7M-319.5K0.8710.283,1572,73842,69528,198
2008-02-21$21.38$22.5049.1%14.1%55.4%56.3%52.0%7.1%-0.1%230.3K-13.3M-319.3K1.3712.022,2703,12144,48230,254
2008-02-22$22.12$22.5048.3%13.9%55.2%54.7%49.1%10.0%2.2%392.1K-22.2M-333.2K0.659.333,6582,39546,02830,754
2008-02-25$22.76$22.5046.4%13.3%55.7%50.4%47.5%9.0%2.5%529.1K-29.3M-343.4K0.5010.013,7501,86147,98531,747
2008-02-26$23.27$22.5047.4%13.6%49.7%52.7%46.3%9.6%0.7%692.6K-38.5M-351.5K0.397.711,87673850,26432,997
2008-02-27$23.45$22.5045.7%13.1%49.7%49.1%46.1%9.4%0.9%756.0K-40.4M-352.4K3.0612.252,4297,42650,56133,320
2008-02-28$22.55$22.5045.3%13.0%50.9%48.1%46.0%7.7%2.9%375.1K-24.2M-357.2K1.268.451,4021,77251,20837,209
2008-02-29$21.37$22.5048.0%13.7%53.9%53.9%47.7%10.9%2.9%156.5K-7.2M-339.8K0.8011.407,4745,96352,00638,169