EA Options History — June 2012

In June 2012, EA traded between $11.89 and $13.71. ATM implied volatility averaged 40.3%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 2.3% (HV 20d: 38.0%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2012-06-01: Highest Volume — 35,955 contracts
2012-06-21: Largest IV spike — 12.9% change
2012-06-25: Highest IV Rank — 9.8%
2012-06-01: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.62	$11.89	$13.71	$13.12	$12.35
Max Pain	$13.57	$13.00	$15.00	$15.00	$13.00
ATM IV	40.3%	32.1%	48.3%	47.8%	33.1%
Expected Move	11.5%	9.2%	13.7%	13.7%	9.5%
HV 20d	38.0%	32.9%	40.4%	36.7%	40.2%
HV 60d	37.7%	36.1%	39.6%	38.6%	39.6%
IV Rank	7.4%	2.3%	9.8%	9.5%	2.3%
IV Percentile	22.3%	4.5%	28.9%	27.0%	4.5%
Term Structure	5.6%	0.1%	9.9%	0.1%	9.9%
VWIV	40.7%	32.4%	49.4%	49.4%	32.4%
Skew 25d	3.7%	0.8%	5.0%	0.8%	2.6%
Skew 10d	6.5%	1.7%	11.5%	1.7%	2.8%
Call IV 25d	39.1%	31.6%	50.1%	50.1%	32.3%
Put IV 25d	42.7%	34.9%	50.9%	50.9%	34.9%
Bid-Ask Spread %	8.92	5.33	29.29	7.98	15.80
Gamma HHI	0.17	0.12	0.28	0.14	0.18
Net GEX	398.8K	38.2K	1.3M	230.8K	125.7K
Net DEX	38.5M	12.3M	69.9M	55.7M	16.9M
Net VEX	-287.7K	-374.7K	-237.4K	-326.0K	-249.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.03	4.02	0.11	0.22
Total Volume	5,516.571	420	35,955	35,955	1,617
Total OI	238,653.476	171,168	303,516	268,340	184,428

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$13.12	$15.00	47.8%	13.7%	36.7%	0.0%	49.4%	0.8%	0.1%	230.8K	55.7M	-326.0K	0.11	7.98	N/A	N/A	32,412	3,543	182,261	86,079
2012-06-04	$13.07	$14.00	48.3%	13.5%	35.3%	0.0%	47.4%	4.5%	2.3%	681.5K	55.4M	-345.4K	0.18	29.29	N/A	N/A	6,645	1,206	201,370	88,576
2012-06-05	$13.14	$14.00	45.4%	13.1%	35.5%	0.0%	45.3%	4.5%	2.8%	910.9K	53.1M	-344.0K	0.21	12.22	N/A	N/A	2,333	496	206,598	89,002
2012-06-06	$13.71	$14.00	41.6%	12.0%	36.8%	0.0%	43.2%	5.0%	3.6%	1.3M	42.8M	-374.7K	0.12	11.09	N/A	N/A	3,426	396	204,679	88,914
2012-06-07	$13.42	$14.00	43.6%	12.5%	36.5%	0.0%	45.0%	4.6%	3.3%	1.0M	52.0M	-343.9K	4.02	8.01	N/A	N/A	357	1,436	204,586	88,328
2012-06-08	$13.47	$14.00	42.6%	12.2%	32.9%	0.0%	41.7%	4.3%	4.1%	1.0M	51.0M	-349.1K	0.84	7.85	N/A	N/A	228	192	204,704	88,239
2012-06-11	$12.82	$14.00	47.4%	12.6%	36.5%	0.0%	46.7%	4.0%	3.3%	466.4K	63.2M	-286.5K	2.50	6.61	N/A	N/A	1,025	2,566	204,639	88,148
2012-06-12	$12.79	$14.00	42.6%	12.4%	36.5%	0.0%	43.8%	4.2%	3.5%	229.5K	65.2M	-283.0K	1.14	6.06	N/A	N/A	1,474	1,676	205,020	88,772
2012-06-13	$12.29	$14.00	47.4%	13.0%	38.4%	0.0%	45.9%	3.5%	3.3%	38.2K	69.9M	-253.0K	0.47	6.32	N/A	N/A	13,983	6,601	205,309	88,670
2012-06-14	$12.32	$14.00	44.8%	12.9%	38.2%	0.0%	45.8%	3.4%	3.4%	80.3K	68.7M	-282.3K	0.76	5.47	N/A	N/A	987	750	210,826	92,690
2012-06-15	$12.44	$14.00	42.1%	12.1%	38.7%	0.0%	41.0%	4.4%	4.4%	257.7K	67.1M	-279.9K	0.97	6.85	N/A	N/A	2,776	2,687	211,137	90,893
2012-06-18	$12.43	$13.00	38.4%	11.0%	38.7%	0.0%	37.5%	2.6%	7.0%	238.8K	14.5M	-284.4K	0.70	8.08	N/A	N/A	829	581	123,746	47,511
2012-06-19	$12.67	$13.00	33.9%	9.7%	38.7%	0.0%	34.6%	3.4%	8.4%	322.7K	12.3M	-279.9K	0.17	5.33	N/A	N/A	1,618	274	124,195	46,973
2012-06-20	$12.66	$13.00	32.1%	9.2%	38.7%	0.0%	34.7%	3.5%	8.8%	255.1K	13.5M	-269.6K	0.16	5.84	N/A	N/A	7,135	1,126	125,144	46,823
2012-06-21	$12.00	$13.00	36.3%	10.4%	39.8%	9.5%	35.9%	4.1%	7.6%	174.0K	18.9M	-245.0K	0.07	6.11	N/A	N/A	2,070	136	131,626	47,614
2012-06-22	$12.26	$13.00	34.9%	10.0%	40.4%	6.3%	36.1%	3.3%	8.1%	300.3K	15.5M	-259.7K	0.57	8.34	N/A	N/A	1,409	802	131,804	47,454
2012-06-25	$12.12	$13.00	36.4%	10.4%	40.3%	9.8%	38.8%	2.6%	7.9%	259.7K	16.6M	-256.0K	1.20	8.27	N/A	N/A	1,653	1,982	132,902	48,038
2012-06-26	$11.97	$13.00	35.7%	10.2%	39.7%	8.2%	38.4%	3.5%	8.4%	182.2K	18.7M	-245.5K	0.70	7.08	N/A	N/A	930	648	134,075	49,754
2012-06-27	$12.11	$13.00	35.3%	10.1%	40.3%	7.3%	34.5%	4.4%	8.7%	192.2K	17.7M	-245.8K	3.17	7.17	N/A	N/A	515	1,635	134,562	49,926
2012-06-28	$11.89	$13.00	35.8%	10.3%	38.9%	8.4%	36.1%	3.8%	9.2%	73.6K	20.6M	-237.4K	0.03	7.56	N/A	N/A	3,588	105	134,362	51,346
2012-06-29	$12.35	$13.00	33.1%	9.5%	40.2%	2.3%	32.4%	2.6%	9.9%	125.7K	16.9M	-249.6K	0.22	15.80	N/A	N/A	1,326	291	133,208	51,220