EA Options History — March 2012

In March 2012, EA traded between $16.44 and $17.46. ATM implied volatility averaged 35.2%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.6% (HV 20d: 31.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-03-08: Highest Volume — 38,776 contracts
  • 2012-03-08: Largest IV spike — 30.2% change
  • 2012-03-08: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.87$16.44$17.46$16.69$16.48
Max Pain$16.91$16.00$17.00$17.00$16.00
ATM IV35.2%32.5%43.9%33.5%35.1%
Expected Move10.0%9.5%11.0%9.6%10.1%
HV 20d31.6%19.7%37.3%31.4%35.8%
HV 60d37.7%36.0%39.0%37.3%36.2%
Term Structure3.8%-0.3%6.1%-0.3%5.8%
VWIV35.5%33.5%38.7%35.3%34.6%
Skew 25d1.6%-0.1%3.7%-0.1%2.5%
Skew 10d3.4%-0.9%7.7%-0.9%4.6%
Call IV 25d35.2%33.2%39.0%35.7%34.6%
Put IV 25d36.8%34.7%40.1%35.6%37.2%
Bid-Ask Spread %8.566.0718.1013.616.27
Gamma HHI0.170.150.220.180.16
Net GEX2.7M1.5M5.3M2.9M1.5M
Net DEX-30.4M-71.4M-5.5M-14.2M-12.7M
Net VEX-707.6K-837.7K-616.5K-644.5K-653.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.032.751.200.66
Total Volume9,717.36493738,77622,2032,938
Total OI267,576.091206,021333,149273,792233,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$16.69$17.0033.5%9.6%31.4%0.0%35.3%-0.1%-0.3%2.9M-14.2M-644.5K1.2013.61N/AN/A10,07812,125213,05260,740
2012-03-02$16.78$17.0034.5%9.9%20.7%0.0%38.7%0.0%-0.1%3.0M-19.0M-692.5K0.8211.05N/AN/A2,9712,428216,88867,801
2012-03-05$16.49$17.0037.4%10.2%20.7%0.0%34.8%3.7%3.0%2.3M-5.5M-644.2K0.0310.16N/AN/A11,735376217,57065,414
2012-03-06$16.44$17.0037.0%10.7%20.7%0.0%37.1%3.2%3.3%2.4M-9.3M-648.1K0.336.69N/AN/A13,4854,405219,93065,544
2012-03-07$16.51$17.0033.7%10.0%19.7%0.0%35.3%2.8%4.0%2.7M-14.1M-682.4K0.128.16N/AN/A3,753440231,34968,329
2012-03-08$17.40$17.0043.9%11.0%28.3%0.0%38.6%1.1%3.4%4.9M-71.4M-837.7K0.2114.37N/AN/A31,9186,858234,30668,411
2012-03-09$17.26$17.0035.2%10.5%27.5%0.0%37.5%0.3%3.3%5.3M-63.4M-802.6K0.5018.10N/AN/A9,4754,692247,56170,658
2012-03-12$16.84$17.0033.5%10.3%27.4%0.0%36.4%1.3%3.5%3.9M-32.5M-729.3K0.356.97N/AN/A12,3184,341251,30672,048
2012-03-13$17.28$17.0032.5%10.0%29.1%0.0%35.2%1.0%3.4%4.6M-55.8M-764.7K0.218.55N/AN/A1,472307253,49974,604
2012-03-14$16.50$17.0042.1%10.6%33.0%0.0%37.1%1.3%3.0%2.9M-11.4M-689.9K0.237.95N/AN/A4,271965253,11674,415
2012-03-15$16.71$17.0036.3%10.4%33.3%0.0%37.4%1.7%3.1%3.2M-23.7M-718.8K0.636.47N/AN/A7,1674,544255,07774,435
2012-03-16$17.46$17.0034.6%9.9%37.3%0.0%35.4%1.9%3.9%2.5M-68.7M-763.4K0.166.96N/AN/A7,1021,107257,98975,160
2012-03-19$17.17$17.0034.3%9.8%37.2%0.0%34.4%1.7%4.2%2.0M-39.5M-736.8K0.628.35N/AN/A4,5512,815154,13751,884
2012-03-20$17.01$17.0034.0%9.7%37.0%0.0%34.1%1.5%4.4%2.0M-35.6M-727.3K0.567.69N/AN/A3,3411,872157,49254,079
2012-03-21$16.92$17.0033.0%9.5%37.0%0.0%33.5%1.5%4.7%2.0M-33.1M-714.3K0.996.40N/AN/A895890160,48155,672
2012-03-22$16.96$17.0033.1%9.5%37.0%0.0%33.5%1.4%5.1%2.0M-33.7M-709.8K0.357.73N/AN/A692245160,32956,144
2012-03-23$16.86$17.0033.0%9.5%36.7%0.0%34.1%1.5%5.0%2.0M-28.9M-687.5K0.146.14N/AN/A2,180316160,53156,323
2012-03-26$17.00$17.0033.1%9.5%36.7%0.0%33.7%1.6%6.1%2.1M-34.3M-701.0K2.757.45N/AN/A2,5867,106160,78056,460
2012-03-27$17.02$17.0034.3%9.8%36.6%0.0%34.8%1.4%5.3%1.8M-21.9M-616.5K0.316.07N/AN/A4,2801,324162,20461,453
2012-03-28$16.79$17.0034.6%9.9%36.0%0.0%35.3%2.0%5.0%1.9M-24.9M-719.2K0.306.93N/AN/A7,9972,421164,42562,523
2012-03-29$16.49$16.0035.1%10.1%35.8%0.0%34.2%2.6%5.6%1.5M-14.9M-682.5K0.256.23N/AN/A7,1761,824165,40764,141
2012-03-30$16.48$16.0035.1%10.1%35.8%0.0%34.6%2.5%5.8%1.5M-12.7M-653.8K0.666.27N/AN/A1,7671,171167,90765,100