AEO Options History — May 2008

In May 2008, AEO traded between $17.22 and $19.05. ATM implied volatility averaged 42.9%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 2.3% (HV 20d: 40.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-05-27: Highest Volume — 11,697 contracts
  • 2008-05-15: Largest IV spike — 35.4% change
  • 2008-05-27: Highest IV Rank — 55.0%
  • 2008-05-05: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.19$17.22$19.05$18.99$18.22
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV42.9%31.1%49.0%37.6%39.2%
Expected Move12.8%10.7%14.1%10.8%11.2%
HV 20d40.6%35.2%46.1%44.5%46.1%
HV 60d60.3%58.5%61.6%61.6%61.4%
IV Rank42.1%17.1%55.0%30.9%34.3%
IV Percentile39.1%2.0%64.7%20.6%17.9%
Term Structure0.5%-4.5%8.1%8.1%3.3%
VWIV44.2%37.0%48.9%41.2%37.0%
Skew 25d5.6%0.4%9.5%6.0%0.4%
Skew 10d9.6%-2.6%25.9%19.0%-2.6%
Call IV 25d41.7%34.1%46.8%36.8%36.8%
Put IV 25d47.2%37.2%53.3%42.8%37.2%
Bid-Ask Spread %14.179.1825.339.1813.19
Gamma HHI0.340.280.450.410.44
Net GEX611.5K353.8K1.0M1.0M608.1K
Net DEX-15.0M-26.4M-3.6M-26.4M-14.7M
Net VEX-239.5K-265.3K-214.3K-265.3K-252.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.061.780.660.40
Total Volume3,441.2861,23511,6971,6894,478
Total OI90,651.8167,210105,38799,79281,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$18.99$17.5037.6%10.8%44.5%30.9%41.2%6.0%8.1%1.0M-26.4M-265.3K0.669.181,01567467,35232,440
2008-05-02$18.67$17.5045.8%13.1%44.9%48.1%42.6%3.4%2.9%933.9K-21.8M-264.5K0.3410.751,50950767,72332,879
2008-05-05$18.20$17.5045.1%14.1%43.3%46.6%48.5%5.7%-2.0%818.0K-15.4M-247.0K0.5115.312,0761,06967,74433,085
2008-05-06$18.37$17.5048.8%13.9%41.6%54.5%48.2%5.9%-2.2%864.8K-17.3M-250.4K0.6712.961,8221,22668,89833,613
2008-05-07$18.36$17.5048.7%14.1%41.0%54.4%48.3%5.7%-2.3%846.4K-17.4M-249.9K1.4913.991,1771,75069,30434,260
2008-05-08$17.97$17.5045.1%13.8%41.3%46.7%48.8%5.7%-1.1%693.4K-11.1M-240.9K1.7818.5454396669,07034,768
2008-05-09$17.93$17.5038.4%13.7%40.0%32.5%47.8%3.4%-1.5%717.3K-10.7M-235.4K1.3416.9963685368,93634,468
2008-05-12$18.63$17.5047.4%13.7%39.8%51.6%45.0%7.8%-1.6%819.2K-21.3M-239.4K0.3513.521,49452069,07834,736
2008-05-13$18.33$17.5044.4%13.8%40.7%45.2%47.0%7.6%-1.3%701.9K-17.2M-235.0K0.709.541,27688769,38634,807
2008-05-14$18.67$17.5031.1%13.3%40.1%17.1%43.9%5.1%0.5%456.7K-23.2M-232.7K0.1825.331,85432969,52335,026
2008-05-15$18.79$17.5042.0%12.0%38.5%40.2%45.9%7.1%0.3%470.2K-24.0M-236.4K0.4922.0683040570,07335,091
2008-05-16$18.30$17.5045.2%13.0%37.2%46.9%44.5%9.5%1.4%444.2K-20.6M-229.3K0.2913.573,8861,13470,40034,987
2008-05-19$17.63$17.5043.1%12.4%39.5%42.6%43.1%6.8%-0.9%353.8K-5.4M-214.3K0.6513.951,6941,09645,08622,124
2008-05-20$17.80$17.5042.6%12.2%38.6%41.5%39.9%8.8%0.7%378.9K-7.3M-219.7K0.0611.413,07018145,61822,613
2008-05-21$17.29$17.5044.7%12.8%38.3%45.9%43.9%4.7%0.1%366.7K-4.9M-221.5K0.7311.852,1841,60147,72122,653
2008-05-22$17.63$17.5043.2%12.4%37.7%42.6%43.0%5.8%2.3%406.6K-7.3M-227.1K0.6814.521,5781,07248,05623,280
2008-05-23$17.23$17.5044.2%12.7%35.3%44.9%44.3%5.2%-0.1%359.8K-3.6M-223.8K0.3615.061,21743648,48424,102
2008-05-27$17.22$17.5049.0%14.1%35.2%55.0%48.9%6.5%-4.5%356.3K-3.6M-221.2K1.1914.315,3436,35448,47524,417
2008-05-28$18.61$17.5037.8%10.8%44.2%31.4%37.9%1.5%5.3%502.0K-18.0M-262.8K1.1411.584,7675,43852,70229,154
2008-05-29$19.05$17.5037.3%10.7%44.8%30.3%37.7%4.3%2.4%713.3K-23.5M-260.8K0.159.872,89542553,20827,132
2008-05-30$18.22$17.5039.2%11.2%46.1%34.3%37.0%0.4%3.3%608.1K-14.7M-252.3K0.4013.193,1961,28253,94527,271