AEO Options History — December 2008

In December 2008, AEO traded between $8.49 and $10.38. ATM implied volatility averaged 77.8%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 23.6% (HV 20d: 101.4%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2008-12-02: Highest Volume — 8,668 contracts
  • 2008-12-03: Largest IV drop — 23.2% change
  • 2008-12-02: Highest IV Rank — 67.5%
  • 2008-12-02: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.54$8.49$10.38$8.86$9.36
Max Pain$12.50$7.50$15.00$7.50$12.50
ATM IV77.8%69.9%98.5%94.5%72.3%
Expected Move22.1%20.0%28.2%27.1%20.7%
HV 20d101.4%72.4%118.3%105.8%72.4%
HV 60d94.0%90.4%96.4%90.6%91.0%
IV Rank46.9%38.9%67.5%63.5%41.3%
IV Percentile81.7%75.4%91.3%90.5%76.6%
Term Structure0.2%-11.5%4.2%-11.5%-1.6%
VWIV79.5%70.4%97.0%97.0%80.3%
Skew 25d11.2%1.2%26.7%25.1%9.8%
Skew 10d19.9%-4.5%63.8%36.7%7.9%
Call IV 25d73.8%61.6%83.8%79.8%79.6%
Put IV 25d85.0%75.5%105.0%105.0%89.4%
Bid-Ask Spread %9.495.5115.8012.247.69
Gamma HHI0.480.290.690.440.69
Net GEX-18.0K-174.6K382.5K-57.9K-119.0K
Net DEX9.9M4.0M14.5M13.0M10.6M
Net VEX-71.4K-85.1K-53.6K-74.0K-58.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.052.450.170.92
Total Volume2,725.51548,6683,3702,573
Total OI94,867.40987,805103,53887,80593,382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$8.86$7.5094.5%27.1%105.8%63.5%97.0%25.1%-11.5%-57.9K13.0M-74.0K0.1712.242,87749350,97636,829
2008-12-02$8.49$7.5098.5%28.2%106.3%67.5%96.5%13.7%-10.0%-54.4K14.5M-64.4K1.4612.003,5285,14052,89736,840
2008-12-03$9.38$7.5075.6%21.7%113.2%44.6%82.5%26.7%-0.1%-41.0K11.0M-79.5K0.6312.7646529554,73541,176
2008-12-04$8.99$7.5078.3%22.4%113.3%47.3%81.8%25.4%-1.0%-62.1K12.4M-75.8K0.1115.802,31925454,49741,272
2008-12-05$9.73$15.0078.7%21.6%117.2%47.7%73.4%13.1%1.9%-20.4K8.9M-81.2K0.058.613,42817455,04741,401
2008-12-08$10.17$15.0083.6%21.9%118.3%52.6%76.9%10.5%1.5%45.9K5.2M-85.0K0.089.591,85315256,87641,337
2008-12-09$9.93$15.0079.6%22.1%117.2%48.6%81.1%7.7%2.0%-2.8K6.7M-84.5K1.928.956791,30155,43841,359
2008-12-10$10.38$15.0078.1%21.5%118.2%47.1%75.2%10.2%3.4%27.6K4.4M-85.1K0.417.421,04042255,50441,349
2008-12-11$9.56$15.0075.9%21.8%117.3%44.9%80.8%9.3%2.7%-30.3K9.6M-75.2K0.6510.6664041355,83341,324
2008-12-12$9.99$15.0074.0%21.2%112.0%43.0%74.4%4.0%4.2%2.4K6.8M-78.1K0.2510.861,70843256,19641,309
2008-12-15$9.56$15.0078.5%22.5%107.4%47.5%91.1%13.2%1.8%-5.2K9.1M-73.6K2.458.895681,39457,08541,612
2008-12-16$9.96$15.0078.6%22.5%107.1%47.6%71.6%12.4%-0.3%62.8K7.1M-74.5K0.209.412,10041857,37841,749
2008-12-17$10.20$12.5076.8%22.0%106.6%45.8%74.0%10.4%0.4%122.6K4.9M-76.1K0.147.906749458,50941,833
2008-12-18$10.25$12.5073.6%21.1%96.9%42.6%79.8%6.2%3.0%290.6K4.0M-73.6K1.0511.742,6402,76658,81241,761
2008-12-19$9.81$12.5078.4%22.5%96.0%47.4%78.1%5.9%-1.0%382.5K9.3M-70.4K0.318.673,7011,13360,51443,024
2008-12-22$9.42$12.5075.4%21.6%96.8%44.4%80.7%7.0%1.0%-144.7K13.5M-65.7K0.495.511,29764150,09240,305
2008-12-23$9.30$12.5074.0%21.2%90.5%42.9%71.9%20.1%0.5%-144.3K14.0M-64.5K0.306.6939011850,25040,180
2008-12-24$9.20$12.5073.6%21.1%86.1%42.6%73.6%2.5%1.2%-138.6K13.3M-63.7K0.548.671005450,18840,267
2008-12-26$9.12$12.5069.9%20.0%79.9%38.9%70.4%1.2%4.0%-161.7K13.4M-58.8K0.177.661,51425750,05739,078
2008-12-29$9.11$12.5073.7%21.1%79.3%42.7%86.1%5.3%1.6%-174.6K13.8M-53.6K0.118.533,19933849,85838,917
2008-12-30$9.13$12.5071.1%20.4%73.8%40.1%72.1%5.7%1.3%-173.1K12.8M-55.9K0.228.495,2451,13451,60238,435
2008-12-31$9.36$12.5072.3%20.7%72.4%41.3%80.3%9.8%-1.6%-119.0K10.6M-58.7K0.927.691,3381,23554,52838,854