AEO Options History — September 2008

In September 2008, AEO traded between $14.25 and $16.69. ATM implied volatility averaged 56.2%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 5.9% (HV 20d: 50.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-09-02: Highest Volume — 10,638 contracts
  • 2008-09-09: Largest IV spike — 29.5% change
  • 2008-09-29: Highest IV Rank — 93.7%
  • 2008-09-29: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.25$16.69$15.72$15.25
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV56.2%46.4%68.0%47.7%62.2%
Expected Move16.1%13.7%19.5%13.7%17.8%
HV 20d50.3%41.1%69.2%54.0%69.2%
HV 60d58.9%53.0%61.9%59.6%59.9%
IV Rank63.9%38.9%93.7%42.3%78.9%
IV Percentile73.2%36.5%97.6%42.5%91.7%
Term Structure0.2%-3.6%5.4%5.4%1.8%
VWIV56.6%46.8%68.7%46.8%58.8%
Skew 25d9.1%2.4%13.8%6.1%13.8%
Skew 10d18.3%0.0%32.3%9.4%27.6%
Call IV 25d52.9%46.9%69.5%47.7%56.6%
Put IV 25d61.9%53.8%79.8%53.8%70.5%
Bid-Ask Spread %16.469.6323.3413.9018.85
Gamma HHI0.250.210.300.210.27
Net GEX386.6K-74.7K723.7K343.2K102.8K
Net DEX-16.8M-33.6M5.7M-16.2M-3.4M
Net VEX-255.7K-272.2K-228.1K-265.1K-235.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.063.750.190.10
Total Volume4,098.52473210,63810,6384,788
Total OI128,277.524112,455138,525126,421119,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$15.72$15.0047.7%13.7%54.0%42.3%46.8%6.1%5.4%343.2K-16.2M-265.1K0.1913.908,9041,73468,02058,401
2008-09-03$15.25$15.0052.1%14.9%52.5%53.4%56.2%2.4%0.6%384.3K-10.4M-267.3K1.909.632,9395,58272,94657,863
2008-09-04$15.71$15.0052.2%15.0%53.3%53.6%51.3%7.1%2.4%477.6K-17.4M-269.7K0.149.815,80184073,34161,552
2008-09-05$16.01$15.0054.0%15.5%45.2%58.3%56.4%8.2%0.7%545.6K-21.2M-268.9K0.1816.786,8051,23172,15161,682
2008-09-08$16.56$15.0046.4%14.1%42.2%38.9%51.7%9.4%0.3%716.9K-30.7M-269.3K0.3013.1498930171,42761,827
2008-09-09$16.02$15.0060.0%16.7%44.3%73.6%54.3%10.0%-0.8%551.8K-23.0M-268.9K0.3820.242,43092771,68161,892
2008-09-10$16.69$15.0053.0%14.7%43.5%55.8%53.6%8.1%0.5%716.8K-33.6M-272.2K0.5811.321,9061,11072,05062,380
2008-09-11$16.63$15.0051.3%14.7%41.1%51.4%53.9%10.2%0.6%720.8K-31.0M-271.5K1.2013.171,1421,36772,36662,955
2008-09-12$16.60$15.0052.0%14.9%41.2%53.2%59.1%10.3%0.2%715.5K-30.8M-269.1K0.8813.391,06994572,62463,158
2008-09-15$15.99$15.0060.5%17.3%43.5%74.7%62.4%6.6%-0.8%554.0K-23.0M-258.9K1.4022.339871,37771,86363,034
2008-09-16$16.58$15.0054.9%15.7%44.8%60.4%59.1%10.3%-0.2%723.7K-31.0M-262.8K0.6017.841,22674171,84463,149
2008-09-17$15.58$15.0065.3%18.7%49.1%87.0%63.9%10.7%-3.6%428.4K-15.9M-254.6K3.7520.511,0253,84771,94163,338
2008-09-18$16.08$15.0062.6%18.0%49.9%80.2%60.8%7.9%-2.1%442.6K-20.3M-256.5K1.3023.342,9883,87371,64665,714
2008-09-19$16.37$15.0053.3%15.3%49.4%56.5%53.5%8.6%-1.9%228.5K-26.8M-254.6K0.0713.496,43045972,58865,937
2008-09-22$15.51$15.0057.8%16.6%53.9%67.9%55.0%7.6%1.2%42.1K-3.9M-240.3K0.2915.9289725658,12654,329
2008-09-23$15.26$15.0058.5%16.8%53.1%69.7%61.1%12.4%-0.8%86.5K-3.2M-239.9K0.3314.4255018261,35254,163
2008-09-24$15.00$15.0057.1%16.4%52.1%66.2%56.2%8.8%-0.7%16.0K-516.9K-234.3K1.0818.531,6001,72861,18354,261
2008-09-25$15.66$15.0054.3%15.6%54.1%59.1%51.2%11.4%1.5%164.5K-6.8M-238.1K0.7518.6458944260,80755,673
2008-09-26$15.90$15.0057.4%16.4%53.4%66.8%54.2%10.7%2.0%231.4K-9.4M-243.7K0.0619.403,77924261,10355,698
2008-09-29$14.25$15.0068.0%19.5%66.5%93.7%68.7%10.3%-1.9%-74.7K5.7M-228.1K1.2020.979271,11462,98455,748
2008-09-30$15.25$15.0062.2%17.8%69.2%78.9%58.8%13.8%1.8%102.8K-3.4M-235.4K0.1018.854,34344563,07955,952