AEO Options History — November 2008

In November 2008, AEO traded between $7.11 and $10.91. ATM implied volatility averaged 96.5%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 8.5% (HV 20d: 88.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.58.

Notable Days

  • 2008-11-13: Highest Volume — 9,564 contracts
  • 2008-11-25: Largest IV drop — 27.4% change
  • 2008-11-20: Highest IV Rank — 92.4%
  • 2008-11-20: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.19$7.11$10.91$10.91$9.60
Max Pain$10.53$10.00$12.50$12.50$10.00
ATM IV96.5%75.9%123.3%93.3%77.5%
Expected Move27.8%21.8%35.4%26.8%22.2%
HV 20d88.0%73.9%102.8%93.3%102.8%
HV 60d79.1%72.6%89.8%72.7%89.6%
IV Rank65.5%44.9%92.4%62.3%46.5%
IV Percentile92.7%84.9%99.2%93.3%84.9%
Term Structure-4.1%-19.2%2.4%-1.0%-2.1%
VWIV96.0%73.8%120.5%92.3%97.1%
Skew 25d21.8%11.2%43.1%19.6%43.1%
Skew 10d44.8%14.4%68.5%26.5%57.9%
Call IV 25d86.3%57.6%107.5%78.9%57.6%
Put IV 25d108.1%88.5%134.8%98.5%100.6%
Bid-Ask Spread %15.8510.6524.3415.7710.65
Gamma HHI0.410.270.600.310.36
Net GEX-111.3K-210.9K-47.8K-72.2K-47.8K
Net DEX23.9M11.5M29.7M18.0M11.9M
Net VEX-82.9K-132.4K-50.6K-132.4K-80.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.077.160.570.45
Total Volume2,792.3165779,5642,1991,415
Total OI123,453.42179,047139,172130,98786,764

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$10.91$12.5093.3%26.8%93.3%62.3%92.3%19.6%-1.0%-72.2K18.0M-132.4K0.5715.771,40379681,30049,687
2008-11-04$10.57$12.5092.9%26.6%91.5%62.0%89.7%14.7%-2.4%-107.2K21.7M-119.4K0.6816.171,5721,06481,39750,082
2008-11-05$10.17$12.5088.9%25.5%85.1%57.9%87.2%15.0%2.4%-134.5K25.3M-106.5K0.2318.7579018582,07850,010
2008-11-06$10.02$12.5094.3%27.0%82.9%63.3%93.5%11.2%-0.3%-110.6K23.5M-108.9K0.8017.1647638282,60449,666
2008-11-07$10.15$10.0085.8%25.8%82.9%54.8%81.3%20.8%-3.6%-140.6K25.5M-104.0K4.1317.184151,71482,62949,807
2008-11-10$9.67$10.0089.8%26.5%80.8%58.8%91.1%18.1%-4.4%-154.3K27.2M-92.2K0.3910.7996637782,74650,310
2008-11-11$9.63$10.0089.6%26.5%79.3%58.6%98.1%24.8%-1.5%-162.1K27.9M-88.5K0.2211.011,60035283,14350,133
2008-11-12$8.79$10.0098.9%27.9%73.9%67.9%100.7%22.5%-1.6%-132.0K29.7M-72.4K0.8723.141,8201,58583,59550,067
2008-11-13$9.78$10.0093.5%26.8%80.0%62.6%94.3%28.2%-4.2%-151.7K27.1M-87.2K3.2812.722,2377,32784,49249,116
2008-11-14$8.88$10.0095.5%27.4%86.8%64.5%96.6%20.1%-3.4%-133.5K29.7M-74.8K0.2712.251,12029985,01950,443
2008-11-17$8.56$10.00114.1%32.7%85.3%83.2%97.9%18.9%-7.7%-65.6K29.1M-67.9K0.7820.3132425385,64749,041
2008-11-18$8.37$10.00110.3%31.6%82.1%79.3%105.7%18.0%-11.4%-55.2K29.7M-60.8K7.1618.009837,03485,72848,876
2008-11-19$7.50$10.00111.0%31.8%86.4%80.0%107.0%13.9%-6.2%-94.2K29.4M-57.7K1.3616.4961183485,67853,494
2008-11-20$7.11$10.00123.3%35.4%87.4%92.4%120.5%27.3%-19.2%-92.9K28.1M-50.6K1.8418.7643580185,95452,174
2008-11-21$7.52$10.00113.0%32.4%91.2%82.0%113.7%27.0%-5.3%-210.9K28.5M-55.6K5.4115.892021,09385,77652,160
2008-11-24$8.35$10.00107.6%30.9%100.4%76.7%99.5%21.4%-9.3%-94.1K15.3M-61.3K1.4610.801,7612,57144,55234,495
2008-11-25$9.06$10.0078.1%22.4%97.8%47.1%83.7%35.0%1.7%-101.6K14.9M-70.5K0.0810.874,29736145,49336,456
2008-11-26$9.88$10.0075.9%21.8%102.5%44.9%73.8%14.8%1.7%-53.2K11.5M-82.6K0.0724.343,35824148,55836,445
2008-11-28$9.60$10.0077.5%22.2%102.8%46.5%97.1%43.1%-2.1%-47.8K11.9M-80.9K0.4510.6597344250,29036,474