EA Options History — December 2011

Name: EA Options Analytics - December 2011
Creator: Options Analysis Suite

In December 2011, EA traded between $20.30 and $21.01. ATM implied volatility averaged 41.9%. The 30-day expected move averaged 12.0%. Max pain ranged from $21.00 to $21.00. Net GEX was positive for 8 of 8 trading days. Term structure was in contango for 8 of 8 days. Put/call ratio averaged 0.44.

Notable Days

2011-12-27: Highest Volume — 6,380 contracts
2011-12-23: Largest IV drop — 5.2% change
2011-12-28: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.61	$20.30	$21.01	$20.57	$20.60
Max Pain	$21.00	$21.00	$21.00	$21.00	$21.00
ATM IV	41.9%	40.2%	43.2%	42.3%	40.8%
Expected Move	12.0%	11.5%	12.4%	12.1%	11.7%
Term Structure	4.9%	4.0%	5.6%	4.8%	5.4%
VWIV	43.2%	41.0%	44.5%	44.4%	42.4%
Skew 25d	0.9%	0.2%	1.6%	1.3%	0.2%
Skew 10d	2.3%	1.1%	4.6%	4.6%	1.7%
Call IV 25d	43.5%	41.9%	44.8%	44.0%	43.0%
Put IV 25d	44.4%	42.8%	45.9%	45.3%	43.2%
Bid-Ask Spread %	7.31	3.51	9.29	6.69	3.51
Gamma HHI	0.18	0.18	0.19	0.19	0.19
Net GEX	990.8K	749.7K	1.5M	996.1K	749.7K
Net DEX	-16.2M	-34.3M	-2.9M	-15.2M	-13.8M
Net VEX	-556.6K	-587.3K	-511.3K	-567.5K	-511.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.16	0.70	0.41	0.60
Total Volume	4,414	1,958	6,380	5,725	5,889
Total OI	263,856.5	251,253	268,271	251,253	264,046

Daily Data (8 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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-12-20	$20.57	$21.00	42.3%	12.1%	0.0%	0.0%	44.4%	1.3%	4.8%	996.1K	-15.2M	-567.5K	0.41	6.69	N/A	N/A	4,071	1,654	158,611	92,642
2011-12-21	$20.30	$21.00	43.0%	12.3%	0.0%	0.0%	43.4%	1.6%	5.1%	761.9K	-3.5M	-575.5K	0.16	7.54	N/A	N/A	3,479	545	166,044	97,796
2011-12-22	$20.30	$21.00	42.4%	12.2%	0.0%	0.0%	44.5%	1.1%	5.2%	806.3K	-2.9M	-556.8K	0.32	7.51	N/A	N/A	1,482	476	168,094	98,011
2011-12-23	$20.71	$21.00	40.2%	11.5%	0.0%	0.0%	41.0%	0.9%	5.6%	1.1M	-21.2M	-587.3K	0.57	9.29	N/A	N/A	2,993	1,699	167,923	98,141
2011-12-27	$21.01	$21.00	41.6%	11.9%	0.0%	0.0%	42.5%	0.6%	4.6%	1.5M	-34.3M	-578.5K	0.70	8.83	N/A	N/A	3,751	2,629	168,683	99,588
2011-12-28	$20.54	$21.00	43.2%	12.4%	0.0%	0.0%	44.3%	1.1%	4.0%	842.9K	-11.1M	-530.7K	0.42	8.75	N/A	N/A	2,112	890	167,567	98,244
2011-12-29	$20.86	$21.00	41.9%	12.0%	0.0%	0.0%	43.2%	0.5%	4.8%	1.2M	-27.8M	-545.0K	0.35	6.36	N/A	N/A	2,704	938	168,286	97,176
2011-12-30	$20.60	$21.00	40.8%	11.7%	0.0%	0.0%	42.4%	0.2%	5.4%	749.7K	-13.8M	-511.3K	0.60	3.51	N/A	N/A	3,689	2,200	167,374	96,672