AEO Options History — October 2008 In October 2008, AEO traded between $9.40 and $15.49. ATM implied volatility averaged 101.7%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 14.5% (HV 20d: 87.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.26.
Notable Days 2008-10-03 : Highest Volume — 22,470 contracts2008-10-03 : Largest IV spike — 31.7% change2008-10-02 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 30.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.27 $9.40 $15.49 $15.49 $11.12 Max Pain $13.59 $12.50 $15.00 $15.00 $12.50 ATM IV 101.7% 65.2% 130.9% 65.2% 100.1% Expected Move 26.8% 18.7% 30.3% 18.7% 28.7% HV 20d 87.2% 68.6% 100.4% 68.6% 93.3% HV 60d 68.3% 59.6% 75.7% 59.9% 73.8% IV Rank 78.9% 54.9% 100.0% 86.7% 69.1% IV Percentile 97.6% 95.2% 100.0% 96.0% 95.6% Term Structure -4.7% -13.4% 1.7% -1.7% -4.2% VWIV 87.5% 70.9% 101.1% 72.4% 90.9% Skew 25d 20.9% 3.6% 31.1% 10.2% 31.1% Skew 10d 39.8% 9.6% 70.1% 31.1% 62.9% Call IV 25d 81.2% 61.5% 95.7% 61.5% 71.6% Put IV 25d 102.1% 71.8% 115.4% 71.8% 102.7% Bid-Ask Spread % 17.89 9.41 38.29 15.27 17.00 Gamma HHI 0.27 0.23 0.31 0.26 0.28 Net GEX -49.9K -234.5K 203.4K 203.4K -32.4K Net DEX 17.5M -7.5M 30.2M -7.5M 15.6M Net VEX -166.9K -246.6K -119.2K -245.6K -143.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.04 5.77 1.68 3.28 Total Volume 6,546.261 862 22,470 1,057 1,109 Total OI 136,329.435 120,670 150,534 121,188 131,091
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-10-01 $15.49 $15.00 65.2% 18.7% 68.6% 86.7% 72.4% 10.2% -1.7% 203.4K -7.5M -245.6K 1.68 15.27 394 663 65,136 56,052 2008-10-02 $14.86 $15.00 70.9% 20.3% 69.3% 100.0% 70.9% 3.6% -4.0% 88.1K -1.9M -238.9K 0.04 20.45 4,484 180 65,235 55,435 2008-10-03 $13.63 $15.00 93.4% 26.8% 74.8% 100.0% 84.1% 15.3% -10.0% -49.2K 8.2M -230.5K 0.60 22.41 14,066 8,404 68,357 55,362 2008-10-06 $13.33 $15.00 117.6% 27.2% 73.2% 100.0% 90.2% 21.8% -6.4% 72.6K 6.3M -246.6K 0.26 14.89 13,277 3,403 76,479 60,500 2008-10-07 $12.51 $15.00 105.5% 27.3% 75.2% 86.0% 96.3% 15.3% -9.0% 46.9K 8.7M -239.2K 0.85 25.17 2,619 2,239 85,292 62,217 2008-10-08 $11.27 $15.00 113.3% 27.7% 79.1% 95.1% 96.2% 16.5% -6.8% -75.6K 19.0M -210.0K 1.47 20.00 7,957 11,680 87,204 63,034 2008-10-09 $10.63 $15.00 130.9% 30.0% 80.1% 100.0% 92.6% 16.7% -13.4% -117.2K 24.2M -183.3K 5.77 38.29 1,837 10,605 87,766 62,768 2008-10-10 $10.47 $15.00 130.6% 30.3% 79.7% 99.7% 93.2% 28.8% -9.8% -111.7K 24.5M -170.8K 2.86 29.72 3,687 10,539 88,332 60,367 2008-10-13 $11.15 $15.00 119.5% 25.9% 85.1% 88.6% 77.8% 21.3% -1.6% -166.8K 23.9M -158.9K 0.45 24.98 3,878 1,729 88,995 58,216 2008-10-14 $10.62 $15.00 116.2% 24.3% 83.3% 85.2% 71.2% 21.7% -1.6% -234.5K 28.5M -140.4K 0.12 13.17 8,954 1,079 86,437 58,620 2008-10-15 $9.40 $12.50 119.3% 26.4% 89.5% 88.4% 82.5% 24.2% -3.2% -173.5K 30.2M -119.2K 0.09 18.47 5,260 477 90,028 56,943 2008-10-16 $10.05 $12.50 99.5% 28.5% 93.3% 68.5% 101.1% 26.6% -6.3% -75.6K 24.3M -140.5K 3.36 13.91 1,806 6,060 92,685 56,222 2008-10-17 $10.04 $12.50 99.1% 28.4% 92.4% 68.1% 93.1% 21.3% -8.6% 25.5K 24.1M -133.9K 1.87 19.75 1,177 2,202 93,133 54,975 2008-10-20 $10.50 $12.50 88.6% 25.4% 94.9% 57.7% 80.4% 23.4% -1.6% -160.2K 23.6M -132.7K 0.15 10.81 3,972 614 73,639 50,403 2008-10-21 $11.06 $12.50 85.9% 24.6% 98.2% 54.9% 73.3% 18.5% -0.6% -86.2K 17.8M -148.7K 0.19 14.23 6,377 1,210 76,957 49,432 2008-10-22 $10.26 $12.50 92.3% 26.5% 100.4% 61.3% 85.2% 24.1% 1.0% -52.3K 20.7M -136.8K 0.88 14.57 458 404 81,520 49,769 2008-10-23 $10.08 $12.50 92.8% 26.6% 97.7% 61.8% 91.6% 21.6% 1.7% -65.4K 21.9M -128.4K 2.11 13.26 304 641 81,211 49,767 2008-10-24 $9.90 $12.50 96.2% 27.6% 96.7% 65.2% 94.4% 23.5% -2.8% -50.3K 21.1M -129.9K 1.04 9.41 1,109 1,149 81,410 50,099 2008-10-27 $9.75 $12.50 101.1% 29.0% 91.3% 70.1% 99.8% 18.1% -4.7% -62.4K 21.7M -124.3K 0.41 10.79 896 371 81,290 49,865 2008-10-28 $10.79 $12.50 99.3% 28.5% 96.1% 68.3% 91.6% 30.9% -3.1% -44.1K 18.2M -141.5K 0.53 11.77 593 313 81,639 49,729 2008-10-29 $11.17 $12.50 101.9% 29.2% 97.2% 70.9% 94.5% 20.9% -6.2% 3.5K 13.4M -151.3K 0.34 19.22 1,049 353 81,202 49,754 2008-10-30 $11.02 $12.50 100.9% 28.9% 96.8% 69.9% 89.5% 24.3% -5.1% -30.2K 15.7M -144.3K 0.62 14.03 608 378 81,247 49,763 2008-10-31 $11.12 $12.50 100.1% 28.7% 93.3% 69.1% 90.9% 31.1% -4.2% -32.4K 15.6M -143.4K 3.28 17.00 259 850 81,261 49,830
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