AEO Options History — April 2008

In April 2008, AEO traded between $15.79 and $18.87. ATM implied volatility averaged 49.5%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 3.9% (HV 20d: 53.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2008-04-03: Highest Volume — 15,944 contracts
  • 2008-04-03: Largest IV spike — 15.1% change
  • 2008-04-03: Highest IV Rank — 69.9%
  • 2008-04-03: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$15.79$18.87$18.42$18.37
Max Pain$18.30$17.50$20.00$17.50$17.50
ATM IV49.5%38.3%56.1%53.0%43.7%
Expected Move14.1%11.0%16.1%15.2%12.5%
HV 20d53.3%43.2%86.8%86.5%43.2%
HV 60d66.5%61.3%72.0%72.0%61.3%
IV Rank55.9%32.3%69.9%63.4%43.8%
IV Percentile66.8%23.4%91.7%84.5%44.8%
Term Structure2.6%-1.3%8.5%1.3%4.1%
VWIV49.1%37.9%55.4%50.6%42.7%
Skew 25d5.1%-1.1%9.1%6.1%2.4%
Skew 10d7.9%-16.9%34.3%27.0%-0.8%
Call IV 25d47.4%35.5%55.3%49.0%39.2%
Put IV 25d52.5%41.6%60.0%55.2%41.6%
Bid-Ask Spread %11.066.6418.977.738.99
Gamma HHI0.300.230.430.330.33
Net GEX522.9K94.9K905.5K432.2K891.6K
Net DEX-852.7K-19.9M17.7M-4.3M-18.0M
Net VEX-245.9K-310.4K-196.1K-271.1K-254.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.063.030.063.03
Total Volume5,816.18288315,94411,8888,956
Total OI101,861.81888,479115,31488,47998,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$18.42$17.5053.0%15.2%86.5%63.4%50.6%6.1%1.3%432.2K-4.3M-271.1K0.067.7311,22666256,15532,324
2008-04-02$18.87$17.5048.7%14.0%86.7%54.4%51.1%9.1%2.8%706.0K-15.3M-307.2K0.496.902,6641,30963,61632,265
2008-04-03$18.60$17.5056.1%16.1%86.8%69.9%54.2%-1.1%1.9%693.7K-13.7M-303.6K0.2110.1913,1722,77264,88032,281
2008-04-04$18.50$20.0055.6%15.9%52.3%69.0%54.9%4.8%1.5%816.7K-13.1M-310.4K0.5815.361,51887570,83033,936
2008-04-07$17.75$20.0055.1%16.0%52.9%67.9%55.4%4.6%0.2%613.6K-3.4M-289.6K0.8315.012,3081,91971,45634,591
2008-04-08$17.20$20.0054.3%15.3%53.1%66.1%53.7%7.0%2.6%421.5K5.3M-269.1K0.4518.978,5833,90371,78535,438
2008-04-09$16.93$20.0056.0%15.3%50.8%69.7%54.0%5.5%2.0%593.7K2.1M-275.3K0.7916.563,6802,90278,26235,077
2008-04-10$16.62$17.5051.9%14.9%48.9%61.1%53.7%5.6%0.4%464.0K8.1M-257.8K0.2912.1512,2243,54678,87736,437
2008-04-11$16.23$20.0055.7%16.0%47.9%69.0%54.4%4.6%-0.5%243.9K14.9M-220.9K0.3713.402,39489574,13435,810
2008-04-14$15.80$20.0054.4%15.6%48.6%66.3%52.0%4.7%1.4%94.9K17.7M-201.7K0.7013.231,7291,21474,09035,213
2008-04-15$15.79$20.0055.2%15.8%48.5%68.0%55.0%7.5%0.8%98.4K17.4M-196.9K0.0915.374,57440574,20635,098
2008-04-16$16.26$17.5048.4%13.9%49.3%53.7%52.0%7.4%1.2%335.9K12.0M-209.9K1.2113.862,3442,84775,48434,554
2008-04-17$15.89$17.5053.7%15.4%49.0%64.9%51.4%6.0%-1.3%287.7K11.9M-202.8K0.5414.3557430976,33233,571
2008-04-18$16.69$17.5046.5%13.3%46.0%49.6%46.9%5.3%1.6%448.3K5.1M-221.9K0.088.253,36727676,59332,883
2008-04-21$16.43$17.5045.4%13.0%44.9%47.3%46.4%1.2%3.6%435.5K2.1M-212.0K1.317.361,9502,55762,71526,533
2008-04-22$16.12$17.5049.2%14.1%44.7%55.4%46.7%3.5%3.1%360.9K5.1M-196.1K0.837.6693678062,71526,533
2008-04-23$16.75$17.5043.5%12.5%47.0%43.3%44.6%4.9%4.0%517.4K-978.1K-222.8K0.467.0661728164,49628,737
2008-04-24$17.21$17.5043.4%12.4%48.1%43.1%43.7%3.9%4.2%617.1K-5.4M-232.1K1.509.051,9852,97164,69028,881
2008-04-25$17.96$17.5038.3%11.0%47.3%32.3%38.3%7.7%8.5%743.7K-12.4M-246.3K0.357.515,0091,77264,90330,221
2008-04-28$18.02$17.5039.4%11.3%46.6%34.7%37.9%8.5%7.5%782.7K-13.9M-250.1K0.116.641,80819166,24731,224
2008-04-29$18.52$17.5040.4%11.6%44.0%36.9%40.1%2.0%7.3%905.5K-19.9M-258.0K0.327.702,98496866,65231,290
2008-04-30$18.37$17.5043.7%12.5%43.2%43.8%42.7%2.4%4.1%891.6K-18.0M-254.7K3.038.992,2216,73567,18331,762