AEO Options History — July 2008

In July 2008, AEO traded between $12.13 and $14.94. ATM implied volatility averaged 62.1%, placing in the 79.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 6.7% (HV 20d: 68.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-07-09: Highest Volume — 18,522 contracts
  • 2008-07-07: Largest IV spike — 13.0% change
  • 2008-07-09: Highest IV Rank — 99.8%
  • 2008-07-15: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$12.13$14.94$13.48$14.00
Max Pain$15.23$15.00$17.50$15.00$15.00
ATM IV62.1%56.7%70.3%62.0%57.0%
Expected Move17.6%16.3%19.9%17.8%16.3%
HV 20d68.8%56.2%79.5%66.2%56.2%
HV 60d55.0%52.6%57.4%52.8%56.8%
IV Rank79.1%65.3%99.8%78.9%66.0%
IV Percentile94.0%84.9%99.6%97.6%84.9%
Term Structure0.4%-4.9%5.2%-4.9%5.2%
VWIV61.8%54.7%69.9%61.0%58.2%
Skew 25d5.5%-6.0%16.7%2.3%9.5%
Skew 10d8.0%-9.0%30.4%1.3%16.7%
Call IV 25d59.8%50.1%69.9%56.8%51.5%
Put IV 25d65.2%54.6%74.5%59.2%60.9%
Bid-Ask Spread %10.376.4416.9310.789.42
Gamma HHI0.230.170.280.230.24
Net GEX130.3K-72.3K504.5K141.8K78.8K
Net DEX9.3M-7.2M23.8M17.5M5.3M
Net VEX-241.5K-282.2K-191.2K-191.2K-259.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.113.620.590.35
Total Volume4,935.63683918,5223,841839
Total OI124,346.955107,761143,891107,761125,464

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$13.48$15.0062.0%17.8%66.2%78.9%61.0%2.3%-4.9%141.8K17.5M-191.2K0.5910.782,4171,42468,76039,001
2008-07-02$13.24$15.0057.6%16.5%66.1%67.5%59.3%-6.0%1.4%100.5K18.5M-193.3K0.6710.373,2692,19569,12440,447
2008-07-03$13.37$15.0056.8%16.3%66.2%65.4%56.5%-1.4%0.5%96.4K19.2M-197.1K0.7813.501,05682270,93741,705
2008-07-07$13.42$17.5064.1%17.0%65.8%84.2%56.0%5.5%-1.9%92.7K18.6M-192.7K0.2316.931,86743870,54141,299
2008-07-08$13.65$17.5064.8%16.9%66.5%85.8%54.7%6.8%0.0%183.2K15.4M-197.8K1.946.443,2616,34071,81041,356
2008-07-09$12.99$15.0070.3%18.0%67.7%99.8%62.2%6.7%-1.8%76.0K15.6M-198.7K3.6212.474,01314,50973,79443,072
2008-07-10$12.55$15.0062.9%18.0%67.7%81.0%62.9%5.6%-0.9%-50.5K22.1M-222.5K1.129.492,1762,43677,06553,683
2008-07-11$12.13$15.0065.9%18.9%68.0%88.7%66.0%1.8%-2.2%-72.3K23.8M-217.8K1.1610.912,2632,62478,31654,886
2008-07-14$12.41$15.0068.7%19.7%66.7%95.7%69.4%7.4%-3.3%5.8K20.4M-225.7K0.349.017,9282,71679,99354,249
2008-07-15$12.70$15.0069.5%19.9%67.9%97.9%69.9%4.5%-3.7%327.0K14.2M-239.2K0.7811.892,3251,80687,24555,875
2008-07-16$13.96$15.0064.0%18.4%77.1%83.9%66.3%6.9%-1.2%401.4K-3.0M-273.2K0.1116.276,11867386,98555,831
2008-07-17$14.49$15.0064.2%18.4%77.8%84.4%68.9%8.3%-2.4%504.5K-7.2M-280.5K0.2610.405,2071,36785,17056,013
2008-07-18$14.44$15.0062.1%17.8%76.1%79.0%64.4%9.6%-0.7%403.6K-6.6M-280.3K0.337.851,41046087,55556,336
2008-07-21$14.03$15.0062.9%18.0%75.4%81.0%64.2%5.4%2.1%60.0K5.6M-266.3K0.5210.4093449067,05850,908
2008-07-22$14.42$15.0059.0%16.9%76.3%71.0%60.1%8.3%3.0%92.0K3.4M-264.5K1.2613.831,6722,10367,43751,216
2008-07-23$14.94$15.0058.7%16.8%77.6%70.5%59.9%6.7%1.9%167.4K-3.0M-282.2K0.559.084,5012,46668,30752,872
2008-07-24$14.05$15.0059.8%17.1%79.5%73.1%59.2%4.8%1.7%13.2K6.8M-266.4K0.607.702,6631,60567,37352,601
2008-07-25$14.29$15.0056.7%16.3%79.4%65.3%56.9%5.4%4.5%45.4K4.6M-268.7K0.517.991,13058167,85752,829
2008-07-28$14.10$15.0061.4%17.6%56.5%77.3%63.2%1.8%3.5%32.4K5.4M-265.0K0.157.752,84241568,48153,244
2008-07-29$14.27$15.0060.6%17.4%56.6%75.1%60.5%3.7%3.6%84.1K3.6M-268.8K0.189.132,28140270,48453,203
2008-07-30$14.12$15.0058.2%16.7%56.6%69.1%59.7%16.7%4.6%83.8K4.8M-261.3K0.126.582,26327771,92453,327
2008-07-31$14.00$15.0057.0%16.3%56.2%66.0%58.2%9.5%5.2%78.8K5.3M-259.5K0.359.4262321672,37653,088