EA Options History — April 2012

In April 2012, EA traded between $14.76 and $16.71. ATM implied volatility averaged 45.5%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 11.2% (HV 20d: 34.3%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2012-04-19: Highest Volume — 30,224 contracts
  • 2012-04-12: Largest IV spike — 15.8% change
  • 2012-04-30: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.63$14.76$16.71$16.71$15.38
Max Pain$16.05$15.00$17.00$16.00$15.00
ATM IV45.5%33.5%55.8%33.5%55.8%
Expected Move13.4%9.6%16.0%9.6%16.0%
HV 20d34.3%30.2%42.7%35.6%42.7%
HV 60d34.7%32.7%36.4%36.2%34.0%
Term Structure-3.5%-11.6%7.3%6.6%-11.6%
VWIV47.2%35.4%55.2%35.6%55.2%
Skew 25d3.8%2.1%5.8%3.0%5.8%
Skew 10d7.2%2.7%11.5%5.6%11.5%
Call IV 25d45.7%33.8%52.5%33.9%52.4%
Put IV 25d49.5%36.9%58.2%36.9%58.2%
Bid-Ask Spread %6.674.0819.615.6710.33
Gamma HHI0.150.120.170.170.13
Net GEX1.2M486.9K1.9M1.7M1.2M
Net DEX2.9M-28.2M32.1M-22.9M-2.0M
Net VEX-587.8K-707.6K-500.8K-707.6K-574.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.052.310.160.82
Total Volume10,490.0584630,2248,300846
Total OI252,398.65235,148285,926235,148266,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$16.71$16.0033.5%9.6%35.6%0.0%35.6%3.0%6.6%1.7M-22.9M-707.6K0.165.67N/AN/A7,1521,148169,13266,016
2012-04-03$16.65$16.0033.8%9.7%35.6%0.0%35.9%3.5%6.6%1.8M-21.4M-669.4K0.216.64N/AN/A1,839393174,30566,320
2012-04-04$16.26$16.0035.5%10.2%36.6%0.0%35.8%3.0%6.6%1.5M-8.1M-625.2K0.125.86N/AN/A5,317630174,19566,491
2012-04-05$16.27$16.0034.7%10.0%30.7%0.0%35.4%3.6%7.3%1.4M-6.9M-638.5K0.054.78N/AN/A11,747552175,17566,677
2012-04-09$15.90$17.0038.6%13.0%31.5%0.0%45.0%3.6%-4.1%1.3M482.3K-624.6K0.064.52N/AN/A10,393615177,10467,024
2012-04-10$15.55$17.0039.8%13.6%31.3%0.0%47.1%3.6%-4.6%1.2M10.0M-563.1K0.204.12N/AN/A18,5203,685176,02466,962
2012-04-11$15.89$17.0038.5%13.4%30.8%0.0%46.7%4.2%-4.4%1.5M-5.0M-617.2K0.184.45N/AN/A2,924513178,74366,886
2012-04-12$16.52$17.0044.6%12.8%30.2%0.0%45.6%4.0%-3.8%1.9M-28.2M-668.8K0.274.08N/AN/A4,7571,271179,28267,250
2012-04-13$16.18$17.0047.1%13.5%30.7%0.0%47.1%4.3%-4.4%1.7M-15.9M-640.8K0.155.57N/AN/A3,722563180,79967,936
2012-04-16$15.21$17.0049.0%14.1%32.8%0.0%48.3%3.0%-4.8%1.2M19.0M-520.7K0.315.14N/AN/A13,6064,222181,46868,015
2012-04-17$15.28$16.0047.7%13.7%32.8%0.0%48.6%3.9%-4.3%1.3M16.6M-534.5K0.554.98N/AN/A1,8871,042188,14370,578
2012-04-18$15.07$16.0050.0%14.3%32.9%0.0%49.3%4.0%-4.8%1.1M22.0M-530.1K0.055.24N/AN/A19,887959186,61971,148
2012-04-19$14.76$16.0051.1%14.7%33.3%0.0%54.2%3.6%-6.2%1.2M27.6M-500.8K2.317.25N/AN/A9,13821,086192,18771,505
2012-04-20$14.93$16.0049.7%14.3%33.8%0.0%51.3%4.4%-5.8%568.1K32.1M-543.9K1.275.51N/AN/A3,6494,618196,90489,022
2012-04-23$14.87$16.0052.1%14.9%33.8%0.0%51.9%4.3%-6.8%486.9K19.8M-529.4K0.225.00N/AN/A8,1111,803169,26880,724
2012-04-24$14.88$15.0052.3%15.0%33.5%0.0%53.6%3.9%-7.2%551.8K18.7M-519.9K0.235.16N/AN/A4,6551,084171,81382,186
2012-04-25$15.01$15.0051.5%14.8%33.8%0.0%51.0%4.2%-7.5%617.6K15.3M-547.4K0.355.32N/AN/A4,6551,607172,24282,694
2012-04-26$15.93$15.0051.2%14.7%40.9%0.0%53.0%2.1%-8.0%1.2M-15.5M-628.0K0.3219.61N/AN/A11,9113,840175,99183,720
2012-04-27$15.32$15.0053.3%15.3%42.6%0.0%52.7%4.7%-9.2%950.4K3.0M-572.1K0.1814.11N/AN/A13,0592,395177,06283,647
2012-04-30$15.38$15.0055.8%16.0%42.7%0.0%55.2%5.8%-11.6%1.2M-2.0M-574.1K0.8210.33N/AN/A464382182,36484,352