AEO Options History — June 2008

In June 2008, AEO traded between $13.53 and $17.80. ATM implied volatility averaged 45.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.0% (HV 20d: 48.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-06-27: Highest Volume — 24,991 contracts
  • 2008-06-11: Largest IV spike — 56.6% change
  • 2008-06-30: Highest IV Rank — 71.6%
  • 2008-06-30: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$13.53$17.80$17.80$13.63
Max Pain$17.14$15.00$17.50$17.50$15.00
ATM IV45.0%32.3%59.2%38.6%59.2%
Expected Move13.2%11.1%17.0%11.1%17.0%
HV 20d48.9%42.0%66.2%46.4%66.2%
HV 60d45.8%43.2%53.3%47.3%53.3%
IV Rank41.5%19.6%71.6%33.1%71.6%
IV Percentile45.4%4.8%96.0%17.5%96.0%
Term Structure0.6%-3.1%3.3%3.3%-3.1%
VWIV45.7%38.5%56.9%38.5%56.9%
Skew 25d3.8%-6.0%7.8%-6.0%2.8%
Skew 10d6.8%-11.5%25.9%-11.5%4.7%
Call IV 25d44.4%31.3%56.4%38.5%56.4%
Put IV 25d48.2%31.7%59.2%32.6%59.2%
Bid-Ask Spread %10.287.1418.437.1710.07
Gamma HHI0.260.180.380.370.19
Net GEX255.0K80.3K486.7K486.7K147.2K
Net DEX6.0M-8.5M16.3M-8.5M16.3M
Net VEX-202.1K-241.6K-134.7K-241.6K-170.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.163.230.821.17
Total Volume4,403.28653224,9913,10713,923
Total OI86,087.8164,68999,76082,01199,760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$17.80$17.5038.6%11.1%46.4%33.1%38.5%-6.0%3.3%486.7K-8.5M-241.6K0.827.171,7041,40354,01927,992
2008-06-03$17.55$17.5041.6%11.9%45.8%39.2%42.4%4.4%1.7%454.0K-5.4M-238.8K1.308.093,3844,40654,95728,618
2008-06-04$17.13$17.5041.2%11.8%46.3%38.4%41.2%-0.4%2.7%333.7K49.3K-228.6K1.049.911,3631,42154,89230,521
2008-06-05$17.28$17.5038.7%11.1%46.5%33.2%38.7%0.4%2.9%344.1K-744.7K-232.0K0.758.721,13184555,08331,234
2008-06-06$16.67$17.5040.9%12.6%47.5%37.8%45.1%5.1%0.9%250.5K4.8M-220.1K0.4511.502,08894555,65931,473
2008-06-09$16.37$17.5032.5%12.8%47.8%20.1%46.6%3.6%1.7%173.8K8.9M-207.8K0.3211.331,53849656,28131,739
2008-06-10$16.49$17.5032.3%12.6%45.3%19.6%45.8%3.4%1.4%189.1K7.0M-214.4K1.0310.6643845156,41931,871
2008-06-11$15.95$17.5050.5%14.0%46.2%58.2%47.7%4.0%0.9%80.3K12.9M-195.2K0.2918.431,04330756,40932,030
2008-06-12$15.95$17.5049.9%14.3%45.3%56.9%47.9%5.9%-1.1%85.0K13.1M-194.5K0.7611.2092370057,03832,064
2008-06-13$16.56$17.5043.0%12.3%47.9%32.3%43.3%5.3%1.5%199.3K8.4M-211.0K0.318.4183425657,54132,430
2008-06-16$16.50$17.5044.2%12.7%47.3%35.2%42.5%3.1%1.1%123.7K8.4M-134.7K0.6410.7532520739,52625,163
2008-06-17$16.90$17.5044.3%12.7%46.8%35.5%45.3%3.9%-0.4%337.7K4.4M-215.2K0.3710.721,60758858,20632,567
2008-06-18$16.20$17.5049.0%14.1%48.6%47.2%44.9%4.9%-0.6%173.5K10.9M-199.7K0.289.6372820159,39132,495
2008-06-19$16.82$17.5043.3%12.4%49.9%33.0%43.3%5.3%0.3%356.6K7.9M-208.7K1.217.142,0872,52059,67332,629
2008-06-20$16.12$17.5046.2%13.3%51.3%40.3%45.2%4.1%3.2%236.5K13.5M-196.9K3.2311.457382,38760,63433,937
2008-06-23$15.89$17.5048.4%13.9%51.0%45.8%45.2%6.2%-0.7%205.6K4.6M-190.0K0.169.342,58941750,92425,457
2008-06-24$15.93$17.5049.8%14.3%51.1%47.8%49.1%7.8%-0.3%240.3K3.9M-193.9K0.398.642,9141,12452,61425,759
2008-06-25$16.32$17.5044.3%12.7%42.6%33.8%49.2%7.4%1.1%354.7K-629.0K-206.1K0.229.905,2321,16254,59126,354
2008-06-26$15.80$15.0049.8%14.3%42.0%47.8%47.0%7.8%-0.7%428.8K-421.9K-206.0K0.1910.342,57348058,53126,416
2008-06-27$13.53$15.0056.7%16.2%65.8%65.2%54.1%0.9%-2.3%153.5K15.7M-138.7K0.7912.5513,98411,00758,53126,416
2008-06-30$13.63$15.0059.2%17.0%66.2%71.6%56.9%2.8%-3.1%147.2K16.3M-170.0K1.1710.076,4107,51365,52534,235