AEO Options History — March 2008

In March 2008, AEO traded between $16.47 and $21.45. ATM implied volatility averaged 55.7%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 22.3% (HV 20d: 78.0%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2008-03-06: Highest Volume — 28,210 contracts
  • 2008-03-06: Largest IV spike — 25.0% change
  • 2008-03-10: Highest IV Rank — 100.0%
  • 2008-03-06: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.08$16.47$21.45$21.05$17.51
Max Pain$19.38$17.50$22.50$22.50$17.50
ATM IV55.7%48.8%70.3%59.4%51.0%
Expected Move15.9%14.0%19.0%17.0%14.6%
HV 20d78.0%46.8%86.1%53.1%83.8%
HV 60d67.9%56.3%71.9%56.4%71.9%
IV Rank69.6%54.6%100.0%78.5%59.2%
IV Percentile87.3%69.4%100.0%98.0%75.8%
Term Structure0.2%-5.6%5.2%-5.2%2.8%
VWIV55.6%49.1%65.1%51.7%50.9%
Skew 25d6.6%-0.6%10.9%8.5%3.4%
Skew 10d12.1%-4.1%22.4%14.7%12.1%
Call IV 25d53.7%47.3%65.8%51.9%51.6%
Put IV 25d60.3%53.3%69.5%60.4%55.0%
Bid-Ask Spread %14.828.5423.6012.8715.17
Gamma HHI0.260.210.300.270.26
Net GEX74.4K-148.8K398.2K186.6K226.7K
Net DEX14.3M-8.3M31.9M-2.8M5.6M
Net VEX-261.4K-348.9K-228.1K-344.8K-244.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.113.163.000.29
Total Volume5,520.3567828,2104,4562,586
Total OI96,663.2580,524107,18195,64787,307

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$21.05$22.5059.4%17.0%53.1%78.5%51.7%8.5%-5.2%186.6K-2.8M-344.8K3.0012.871,1153,34155,46540,182
2008-03-04$21.45$22.5051.0%14.6%47.4%60.6%52.6%9.5%0.7%265.7K-8.3M-348.9K1.5616.9363799454,97439,417
2008-03-05$21.28$22.5053.0%15.2%46.8%64.8%55.9%9.3%0.1%237.0K-5.8M-342.7K3.1610.887822,47354,90339,542
2008-03-06$17.56$22.5066.3%19.0%82.1%93.4%65.1%3.3%-5.6%-97.0K30.2M-239.3K1.5011.6311,29016,92054,96539,856
2008-03-07$16.94$20.0064.1%17.4%80.1%88.8%61.8%3.8%-1.7%-134.0K31.5M-237.4K0.3612.295,2931,90158,77842,080
2008-03-10$16.47$20.0070.3%18.3%80.1%100.0%65.0%6.8%-3.5%-57.5K31.9M-228.1K0.7211.232,1231,52261,36741,763
2008-03-11$17.25$20.0060.8%16.9%81.8%79.8%60.8%10.9%-2.8%-110.1K30.8M-232.3K1.3312.573,5694,73459,91442,449
2008-03-12$17.94$20.0049.7%15.7%83.8%56.4%54.3%7.8%-0.6%-148.8K24.9M-250.9K0.408.545,6932,26660,09442,801
2008-03-13$17.29$20.0056.5%16.2%83.7%70.7%56.3%7.5%-0.7%-92.9K27.6M-241.0K0.7017.102,3841,66962,22542,359
2008-03-14$17.22$20.0055.5%15.9%82.6%68.8%57.4%7.7%0.7%-63.1K26.7M-246.9K1.0520.0780785063,73942,702
2008-03-17$17.00$20.0058.4%16.7%82.5%74.7%59.5%6.4%0.7%-51.6K29.0M-236.6K0.7612.313,5332,67263,87242,691
2008-03-18$17.34$17.5054.6%15.7%83.2%66.8%56.9%9.6%0.0%-89.7K22.1M-243.2K0.3217.342,31073665,30141,504
2008-03-19$16.87$17.5055.0%15.8%81.5%67.6%54.9%6.2%1.0%-127.8K24.6M-238.7K1.5323.602,1163,23865,56041,621
2008-03-20$18.03$17.5052.7%15.1%86.1%62.8%52.7%6.7%3.1%95.3K14.0M-259.8K0.3018.214,7911,43665,50641,598
2008-03-24$18.48$17.5052.6%15.1%85.6%62.6%49.1%6.9%1.3%276.1K-1.4M-262.6K0.1120.886,58673050,08830,436
2008-03-25$18.67$17.5051.6%14.8%84.8%60.5%53.1%6.4%3.1%398.2K-3.7M-270.4K1.1910.4177091752,55930,988
2008-03-26$18.21$17.5050.8%14.6%84.0%58.8%50.2%6.9%2.8%326.9K-295.9K-265.9K0.3019.7852015852,90831,768
2008-03-27$17.94$17.5048.8%14.0%83.7%54.6%49.4%4.3%5.2%287.3K1.7M-254.8K1.2812.6155771353,11831,665
2008-03-28$17.09$17.5052.3%15.0%84.2%61.9%54.9%-0.6%1.8%161.1K8.0M-238.4K0.3012.074,3701,30553,35531,845
2008-03-31$17.51$17.5051.0%14.6%83.8%59.2%50.9%3.4%2.8%226.7K5.6M-244.4K0.2915.172,00957755,00332,304