EA Options History — February 2012

In February 2012, EA traded between $16.34 and $19.57. ATM implied volatility averaged 37.8%. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.4% (HV 20d: 39.2%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-02-02: Highest Volume — 81,161 contracts
  • 2012-02-02: Largest IV drop — 39.3% change
  • 2012-02-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.74$16.34$19.57$18.44$16.34
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV37.8%32.7%57.3%57.3%35.7%
Expected Move10.9%9.8%16.4%16.4%10.2%
HV 20d39.2%29.8%47.8%44.7%29.8%
HV 60d37.4%37.2%37.8%37.8%37.2%
Term Structure0.5%-11.2%3.0%-11.2%-0.2%
VWIV38.9%34.9%57.2%57.2%34.9%
Skew 25d2.7%0.5%3.9%0.5%2.9%
Skew 10d5.1%1.6%9.7%1.9%5.2%
Call IV 25d37.9%34.6%56.7%56.7%35.0%
Put IV 25d40.6%36.3%57.3%57.3%37.9%
Bid-Ask Spread %7.313.3113.9013.128.41
Gamma HHI0.170.130.210.130.17
Net GEX1.9M328.0K5.0M2.3M1.8M
Net DEX-28.9M-123.3M8.3M-62.1M2.1M
Net VEX-693.5K-821.3K-610.8K-718.5K-610.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.061.430.650.45
Total Volume18,689.351,74081,16147,3747,406
Total OI260,063.35217,758283,836230,042270,012

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$18.44$18.0057.3%16.4%44.7%0.0%57.2%0.5%-11.2%2.3M-62.1M-718.5K0.6513.12N/AN/A28,79018,584166,84163,201
2012-02-02$19.57$18.0034.8%10.0%47.8%0.0%37.4%3.1%1.3%5.0M-123.3M-753.5K1.088.09N/AN/A39,03342,128184,13967,889
2012-02-03$19.24$18.0035.5%10.1%47.8%0.0%35.4%2.4%2.2%3.5M-85.3M-821.3K0.687.20N/AN/A21,06414,325179,77687,439
2012-02-06$19.00$18.0034.9%10.2%45.6%0.0%36.8%3.3%1.9%3.6M-76.3M-775.0K0.8913.90N/AN/A6,1725,464180,79179,668
2012-02-07$18.49$18.0035.4%10.5%46.3%0.0%36.5%2.9%2.3%2.2M-46.6M-739.3K0.186.60N/AN/A16,1842,942177,74280,167
2012-02-08$18.24$18.0032.7%10.2%46.5%0.0%36.5%3.2%3.0%1.4M-32.5M-723.6K1.437.41N/AN/A4,9337,040180,36481,225
2012-02-09$17.87$18.0038.1%10.9%46.9%0.0%38.6%3.4%1.4%359.2K-8.4M-714.2K0.305.02N/AN/A13,2143,923180,73387,041
2012-02-10$17.42$18.0042.3%12.1%47.3%0.0%42.6%3.9%0.1%328.0K8.3M-696.8K0.276.64N/AN/A22,9516,105188,13286,531
2012-02-13$17.49$18.0041.2%11.8%38.8%0.0%42.0%3.6%0.7%629.4K-3.5M-699.0K0.934.85N/AN/A2,2742,121200,43483,402
2012-02-14$17.66$18.0039.8%11.4%38.5%0.0%41.3%3.3%1.1%754.1K-12.3M-684.8K0.433.31N/AN/A3,9701,691192,22483,056
2012-02-15$17.75$18.0039.4%11.3%37.1%0.0%40.5%3.9%1.5%787.2K-16.4M-689.2K0.314.60N/AN/A4,8401,489193,74884,266
2012-02-16$17.77$18.0038.3%11.0%34.1%0.0%39.7%2.9%1.8%628.8K-15.2M-684.2K0.927.74N/AN/A2,2402,065194,31084,751
2012-02-17$17.47$18.0038.3%11.0%33.7%0.0%38.0%2.9%2.5%1.6M6.9M-649.0K0.145.13N/AN/A11,9441,687195,18185,059
2012-02-21$17.22$18.0036.8%10.6%33.9%0.0%37.5%2.9%0.2%1.9M-22.3M-650.6K0.064.70N/AN/A14,283809161,52656,232
2012-02-22$17.13$18.0036.2%10.4%34.0%0.0%38.8%1.3%0.3%2.2M-22.7M-653.7K0.068.09N/AN/A8,318517172,61856,601
2012-02-23$17.19$18.0034.3%9.8%33.9%0.0%36.4%1.2%0.5%2.5M-23.7M-644.0K0.256.65N/AN/A6,5091,657179,62056,876
2012-02-24$16.93$18.0034.4%9.9%33.5%0.0%35.9%2.3%0.9%2.3M-15.3M-648.8K0.0610.13N/AN/A36,0062,182185,67658,141
2012-02-27$16.81$18.0035.2%10.1%31.8%0.0%35.8%2.6%-0.2%2.7M-16.6M-666.4K0.776.02N/AN/A4,0633,124206,59559,529
2012-02-28$16.71$18.0034.5%9.9%31.8%0.0%35.3%1.4%-0.1%2.5M-12.6M-646.9K0.248.50N/AN/A1,405335209,02760,704
2012-02-29$16.34$18.0035.7%10.2%29.8%0.0%34.9%2.9%-0.2%1.8M2.1M-610.8K0.458.41N/AN/A5,1222,284209,24460,768