AEO Options History — August 2008

In August 2008, AEO traded between $13.40 and $15.05. ATM implied volatility averaged 54.5%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 2.0% (HV 20d: 56.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-08-26: Highest Volume — 12,165 contracts
  • 2008-08-14: Largest IV spike — 48.2% change
  • 2008-08-25: Highest IV Rank — 100.0%
  • 2008-08-25: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.12$13.40$15.05$13.87$15.05
Max Pain$14.29$12.50$15.00$15.00$15.00
ATM IV54.5%39.9%70.4%56.5%44.7%
Expected Move16.4%12.3%20.2%16.2%12.8%
HV 20d56.6%50.5%64.9%56.3%53.9%
HV 60d59.5%56.8%61.2%56.8%59.2%
IV Rank59.7%22.5%100.0%64.7%34.6%
IV Percentile68.8%7.5%100.0%83.3%31.3%
Term Structure1.7%-5.4%10.4%5.8%4.7%
VWIV57.8%43.2%66.0%57.3%43.2%
Skew 25d9.5%5.2%20.7%6.3%5.2%
Skew 10d21.0%9.4%35.6%14.0%9.4%
Call IV 25d53.4%31.7%61.6%54.3%44.9%
Put IV 25d62.9%48.2%71.1%60.6%50.1%
Bid-Ask Spread %10.725.6318.999.765.86
Gamma HHI0.270.240.300.240.24
Net GEX29.8K-122.3K330.8K67.4K183.0K
Net DEX4.3M-6.6M11.3M6.5M-6.6M
Net VEX-247.6K-261.4K-235.4K-256.1K-259.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.091.890.190.46
Total Volume4,023.57174612,1657465,752
Total OI123,149.81106,082137,083125,809123,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$13.87$15.0056.5%16.2%56.3%64.7%57.3%6.3%5.8%67.4K6.5M-256.1K0.199.7662512172,71053,099
2008-08-04$13.46$12.5063.5%19.1%57.4%82.5%65.1%8.6%-1.2%-22.0K11.1M-238.7K1.0211.821,5571,59573,00753,121
2008-08-05$14.23$12.5056.5%17.5%60.5%64.8%62.8%10.7%0.4%121.1K2.4M-257.2K0.0912.934,86045973,49153,518
2008-08-06$14.40$12.5055.4%17.4%57.4%62.0%61.8%9.0%0.3%269.2K-924.4K-261.4K0.1710.902,49843576,45353,587
2008-08-07$13.40$12.5057.5%18.8%62.2%67.2%62.9%7.7%0.8%-21.6K11.3M-236.6K0.5713.671,65994776,79853,802
2008-08-08$14.22$12.5053.5%17.2%63.6%57.1%61.2%6.2%-0.1%220.1K1.7M-259.3K0.7412.392,1461,58576,73354,104
2008-08-11$14.51$12.5060.8%17.8%63.5%75.8%62.1%10.2%-2.8%330.8K-1.6M-258.9K0.4610.235,3912,47577,36055,028
2008-08-12$14.02$15.0061.1%17.6%64.9%76.5%66.0%8.6%-2.0%117.2K6.1M-250.7K1.8917.686591,24479,21356,176
2008-08-13$13.58$15.0039.9%19.0%56.8%22.5%64.4%8.6%-1.2%-122.3K11.3M-235.4K0.4012.911,86673979,57356,582
2008-08-14$13.82$15.0059.1%16.9%55.4%71.4%59.3%7.6%-1.2%-85.0K10.0M-241.8K1.6518.991,1871,96079,80056,671
2008-08-15$14.25$15.0054.9%15.7%56.6%60.6%53.6%10.3%2.8%-86.3K5.6M-248.8K0.6111.471,23075080,34456,739
2008-08-18$14.42$15.0055.6%15.9%55.8%62.5%56.8%10.1%2.5%-40.0K2.3M-245.0K0.4510.971,81782256,51749,565
2008-08-19$13.94$15.0057.5%16.5%56.2%67.3%60.6%10.1%0.5%-84.4K5.9M-237.2K0.587.711,38881157,69149,849
2008-08-20$14.12$15.0056.7%16.2%54.8%65.2%58.1%6.4%1.4%-65.8K3.8M-245.8K0.4610.641,02246857,81450,076
2008-08-21$13.90$15.0056.1%16.1%50.6%63.8%60.5%8.8%1.9%-90.7K6.4M-238.1K0.625.7556534858,12050,235
2008-08-22$14.13$15.0055.0%15.8%50.5%61.0%56.9%9.0%2.7%-61.6K4.6M-242.3K0.697.132,8311,95958,48750,472
2008-08-25$13.74$15.0070.4%20.2%51.3%100.0%65.3%9.6%-5.4%-91.4K7.2M-236.9K0.935.636,0865,68160,54352,294
2008-08-26$14.29$15.0043.9%12.6%53.1%32.6%46.7%14.4%10.4%-62.4K4.0M-249.5K1.248.715,4276,73863,54256,171
2008-08-27$14.35$15.0043.5%12.5%53.0%31.7%46.0%11.2%7.9%18.0K2.4M-247.3K1.679.829341,56365,41455,842
2008-08-28$14.79$15.0042.9%12.3%53.8%30.1%43.6%20.7%7.8%132.0K-3.1M-253.7K0.5710.232,7411,55465,97355,888
2008-08-29$15.05$15.0044.7%12.8%53.9%34.6%43.2%5.2%4.7%183.0K-6.6M-259.4K0.465.863,9361,81666,69957,045