EA Options History — January 2012

In January 2012, EA traded between $17.54 and $21.30. ATM implied volatility averaged 47.8%. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 3.1% (HV 20d: 44.7%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2012-01-19: Highest Volume — 49,646 contracts
  • 2012-01-19: Largest IV spike — 13.2% change
  • 2012-01-27: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.77$17.54$21.30$21.30$18.57
Max Pain$19.20$18.00$21.00$21.00$18.00
ATM IV47.8%38.7%54.8%38.7%53.9%
Expected Move14.0%11.1%15.7%11.1%15.5%
HV 20d44.7%35.9%46.9%35.9%46.9%
Term Structure-4.4%-9.4%5.7%5.7%-9.2%
VWIV49.4%40.3%55.1%40.3%54.9%
Skew 25d3.5%-0.5%6.3%-0.2%0.9%
Skew 10d7.3%-0.5%14.6%-0.5%2.0%
Call IV 25d48.4%40.7%55.5%40.7%55.0%
Put IV 25d51.9%40.5%58.3%40.5%55.9%
Bid-Ask Spread %6.674.179.945.007.64
Gamma HHI0.220.140.310.210.14
Net GEX258.9K-1.3M3.0M1.8M3.0M
Net DEX14.2M-74.8M77.5M-43.8M-74.8M
Net VEX-480.1K-715.5K-349.6K-492.4K-715.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.022.691.932.69
Total Volume17,452.62,94249,6467,33644,610
Total OI254,054.4149,770346,688264,528220,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$21.30$21.0038.7%11.1%0.0%0.0%40.3%-0.2%5.7%1.8M-43.8M-492.4K1.935.00N/AN/A2,5034,833167,60796,921
2012-01-04$20.29$21.0042.1%12.1%0.0%0.0%41.8%0.6%5.0%85.4K3.0M-441.1K1.139.72N/AN/A4,3254,892167,04295,016
2012-01-05$20.53$21.0040.4%11.6%0.0%0.0%42.8%0.6%5.2%361.8K-7.5M-447.7K0.349.94N/AN/A2,189753168,32695,161
2012-01-06$19.67$20.0041.3%13.2%0.0%0.0%46.3%5.4%-3.3%-784.9K31.1M-389.9K0.785.20N/AN/A2,3121,794168,57895,325
2012-01-09$19.42$20.0043.1%13.7%0.0%0.0%47.6%5.2%-4.1%-1.1M42.9M-356.5K0.335.49N/AN/A3,9401,286169,29796,195
2012-01-10$19.45$20.0042.7%13.4%0.0%0.0%46.8%5.2%-3.9%-1.1M42.5M-352.2K1.374.17N/AN/A2,5733,532171,44396,624
2012-01-11$19.38$20.0042.6%13.5%0.0%0.0%46.1%5.0%-3.7%-1.2M46.4M-349.6K0.355.25N/AN/A3,6551,279172,54298,580
2012-01-12$19.51$20.0045.9%13.1%35.9%0.0%45.9%5.4%-4.1%-1.3M42.0M-351.6K0.025.38N/AN/A33,339545173,59599,041
2012-01-13$18.04$20.0049.5%14.2%45.7%0.0%50.0%6.1%-4.3%-291.2K77.5M-389.1K0.675.69N/AN/A11,8807,928204,62599,299
2012-01-17$17.74$19.0049.4%14.2%44.3%0.0%50.3%4.5%-4.8%96.5K74.6M-375.3K1.276.65N/AN/A6,4648,225207,15994,816
2012-01-18$18.26$19.0046.8%13.4%45.3%0.0%47.0%3.4%-3.8%523.3K67.5M-393.7K1.796.41N/AN/A2,0083,590210,75695,752
2012-01-19$17.54$19.0053.0%15.2%45.7%0.0%54.5%6.3%-7.3%-326.5K74.6M-364.9K1.406.51N/AN/A20,70028,946211,37898,017
2012-01-20$17.93$18.0050.3%14.4%45.7%0.0%51.3%5.8%-5.9%-149.8K69.7M-476.0K0.667.24N/AN/A4,8233,177224,670122,018
2012-01-23$17.98$18.0050.9%14.6%45.8%0.0%52.5%3.7%-7.1%-105.7K1.1M-443.7K0.066.46N/AN/A26,5991,55694,04255,728
2012-01-24$17.94$18.0052.2%15.0%45.8%0.0%54.1%4.1%-7.8%279.5K-15.4M-598.7K0.235.94N/AN/A24,6695,656116,29255,935
2012-01-25$18.04$18.0053.3%15.3%44.9%0.0%53.5%4.9%-8.9%1.1M-33.7M-661.8K0.206.22N/AN/A15,4563,155140,24160,151
2012-01-26$17.66$18.0054.2%15.5%44.5%0.0%54.8%2.5%-9.1%1.3M-28.4M-655.9K0.397.93N/AN/A5,0591,982151,14662,031
2012-01-27$18.14$18.0054.8%15.7%45.9%0.0%55.1%1.6%-9.4%1.6M-44.7M-685.6K0.129.33N/AN/A5,793703151,17561,852
2012-01-30$18.03$18.0051.1%14.6%45.2%0.0%52.3%-0.5%-7.0%1.5M-40.4M-660.9K0.517.22N/AN/A28,09514,228150,27261,690
2012-01-31$18.57$18.0053.9%15.5%46.9%0.0%54.9%0.9%-9.2%3.0M-74.8M-715.5K2.697.64N/AN/A12,08532,525166,39954,351