EA Options History — May 2012

In May 2012, EA traded between $13.62 and $15.87. ATM implied volatility averaged 45.9%. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.1% (HV 20d: 40.8%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-05-07: Highest Volume — 88,461 contracts
  • 2012-05-08: Largest IV drop — 36.8% change
  • 2012-05-03: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.57$13.62$15.87$15.54$13.62
Max Pain$15.59$15.00$17.00$15.00$15.00
ATM IV45.9%37.4%75.8%52.1%41.6%
Expected Move12.5%10.7%16.1%14.9%11.9%
HV 20d40.8%34.4%45.8%42.5%35.2%
HV 60d36.1%34.0%38.0%34.0%38.0%
Term Structure-1.0%-12.6%3.7%-9.1%0.4%
VWIV43.6%38.3%56.7%54.3%43.0%
Skew 25d3.6%1.1%6.4%5.9%1.4%
Skew 10d6.2%1.3%11.8%9.9%1.3%
Call IV 25d42.6%36.8%55.3%51.4%43.8%
Put IV 25d46.2%39.9%59.9%57.3%45.3%
Bid-Ask Spread %10.164.3327.2211.418.43
Gamma HHI0.170.120.250.130.16
Net GEX827.5K-730.7K1.6M1.4M452.7K
Net DEX30.1M-20.9M61.0M-8.3M48.3M
Net VEX-465.1K-608.5K-358.2K-584.5K-358.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.170.200.29
Total Volume16,283.45561888,4611,8462,167
Total OI299,386.318253,612360,007270,224267,392

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$15.54$15.0052.1%14.9%42.5%0.0%54.3%5.9%-9.1%1.4M-8.3M-584.5K0.2011.41N/AN/A1,540306185,63484,590
2012-05-02$15.87$15.0052.9%15.2%43.4%0.0%55.6%6.4%-9.7%1.6M-20.9M-608.5K1.1717.87N/AN/A846989186,38384,589
2012-05-03$15.67$15.0056.1%16.1%42.9%0.0%56.7%4.6%-12.6%1.5M-13.3M-594.5K0.1627.22N/AN/A11,9881,950185,06584,565
2012-05-04$15.12$17.0067.5%13.6%44.5%0.0%47.5%1.1%-4.8%1.2M1.6M-560.4K0.2314.56N/AN/A20,8024,751189,12686,098
2012-05-07$15.13$17.0075.8%14.9%43.9%0.0%51.7%4.5%-7.5%1.4M1.2M-561.8K0.2923.68N/AN/A68,50719,954196,81988,797
2012-05-08$14.48$17.0047.9%12.5%45.8%0.0%42.4%6.0%-1.0%1.3M31.8M-487.7K0.2912.28N/AN/A59,73417,434229,75899,302
2012-05-09$14.12$17.0045.5%12.3%45.4%0.0%42.1%4.0%-0.2%271.0K51.5M-405.7K0.6015.63N/AN/A13,1617,950221,147105,474
2012-05-10$14.71$17.0038.9%11.1%45.7%0.0%38.9%5.1%2.5%1.3M29.5M-466.4K0.7911.81N/AN/A13,29410,490221,216110,604
2012-05-11$14.57$16.0037.4%10.7%45.4%0.0%38.3%3.1%3.7%1.2M39.5M-464.5K0.844.33N/AN/A9,7058,143229,508117,891
2012-05-14$14.38$16.0040.8%11.7%40.4%0.0%39.4%3.4%1.8%650.4K50.8M-437.9K0.534.41N/AN/A11,7876,192229,343119,289
2012-05-15$14.31$15.0040.9%11.7%40.3%0.0%39.6%4.0%2.2%459.9K57.1M-433.7K1.134.95N/AN/A2,1022,379233,536124,205
2012-05-16$14.41$15.0041.7%11.9%40.2%0.0%39.9%4.4%2.6%767.4K54.1M-451.9K0.344.38N/AN/A4,9531,692233,299124,434
2012-05-17$14.24$16.0043.0%12.3%39.8%0.0%42.4%3.7%2.4%175.9K59.9M-445.3K0.366.78N/AN/A2,9701,059234,713124,551
2012-05-18$14.10$15.0045.3%13.0%39.6%0.0%44.5%3.2%1.9%-730.7K61.0M-433.2K0.468.32N/AN/A4,0331,864235,478124,529
2012-05-21$14.38$15.0040.6%11.6%40.4%0.0%39.5%4.0%0.9%596.4K31.9M-428.7K0.246.27N/AN/A6,7501,627171,46682,146
2012-05-22$14.26$15.0039.4%11.3%40.4%0.0%39.2%3.4%1.5%630.3K35.2M-406.7K0.625.58N/AN/A2,1151,320174,34582,419
2012-05-23$14.69$15.0039.4%11.3%41.8%0.0%39.6%2.6%0.8%786.0K20.8M-452.5K0.114.94N/AN/A10,6751,163176,10783,298
2012-05-24$14.22$15.0041.2%11.8%36.6%0.0%40.8%2.5%1.0%822.3K31.9M-423.0K0.046.51N/AN/A9,867362180,79283,940
2012-05-25$14.22$15.0040.1%11.5%34.4%0.0%39.6%2.6%1.5%789.4K33.8M-415.5K0.367.07N/AN/A455163180,13484,236
2012-05-29$14.38$15.0040.8%11.7%34.7%0.0%41.4%2.1%-0.1%874.6K30.3M-414.8K0.469.04N/AN/A3,5021,609179,86984,287
2012-05-30$14.15$15.0042.2%12.1%34.6%0.0%42.4%2.0%0.4%802.9K35.4M-396.6K0.477.96N/AN/A4,0151,871181,57884,547
2012-05-31$13.62$15.0041.6%11.9%35.2%0.0%43.0%1.4%0.4%452.7K48.3M-358.2K0.298.43N/AN/A1,682485181,66385,729