EA Options History — July 2012

In July 2012, EA traded between $10.95 and $12.59. ATM implied volatility averaged 45.7%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 7.4% (HV 20d: 38.3%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-07-31: Highest Volume — 22,950 contracts
  • 2012-07-12: Largest IV spike — 35.7% change
  • 2012-07-31: Highest IV Rank — 75.1%
  • 2012-07-31: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.71$10.95$12.59$12.28$11.02
Max Pain$12.14$12.00$13.00$13.00$12.00
ATM IV45.7%30.9%64.6%34.1%64.6%
Expected Move13.7%8.9%18.5%9.8%18.5%
HV 20d38.3%33.9%44.1%40.2%42.0%
HV 60d38.4%37.1%40.0%39.6%38.7%
IV Rank32.8%0.0%75.1%4.6%75.1%
IV Percentile62.4%0.0%98.7%11.3%98.7%
Term Structure-3.7%-15.3%10.7%9.7%-15.3%
VWIV48.3%31.6%65.4%32.9%65.4%
Skew 25d4.0%1.6%6.9%3.6%3.5%
Skew 10d6.9%2.8%12.4%2.8%6.7%
Call IV 25d47.0%31.2%65.0%32.4%65.0%
Put IV 25d51.1%34.3%68.5%36.0%68.5%
Bid-Ask Spread %8.455.5817.098.3511.45
Gamma HHI0.180.170.260.190.17
Net GEX33.0K-289.7K249.3K100.8K116.2K
Net DEX21.3M12.4M28.5M17.5M23.4M
Net VEX-242.8K-277.6K-205.3K-243.6K-216.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.102.070.240.61
Total Volume4,890.71439422,95098222,950
Total OI194,403.905180,431209,633184,856185,192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$12.28$13.0034.1%9.8%40.2%4.6%32.9%3.6%9.7%100.8K17.5M-243.6K0.248.35N/AN/A793189133,62551,231
2012-07-03$12.59$13.0030.9%8.9%41.3%0.0%31.6%1.6%10.7%249.3K13.2M-259.2K0.108.01N/AN/A1,810178133,84351,206
2012-07-05$12.39$13.0033.4%9.6%38.0%5.5%32.1%3.9%10.1%121.4K16.5M-246.3K0.218.99N/AN/A2,664562134,35651,295
2012-07-06$12.02$12.0033.1%12.8%38.7%4.9%44.8%4.3%-2.1%-5.8K20.6M-234.3K0.5711.76N/AN/A5,5753,165136,82151,609
2012-07-09$11.94$12.0035.6%13.4%38.5%10.4%45.1%4.3%-3.0%-49.1K22.0M-234.7K0.326.29N/AN/A11,5003,730137,22453,841
2012-07-10$11.59$12.0036.9%13.6%36.1%13.3%50.4%4.7%-3.8%-29.9K24.0M-249.0K0.695.79N/AN/A2,0341,400145,58956,563
2012-07-11$11.68$12.0035.8%13.5%36.4%10.9%48.0%4.7%-3.6%-39.6K23.1M-254.8K1.136.78N/AN/A185209146,64657,573
2012-07-12$11.59$12.0048.6%13.9%34.0%39.3%49.4%5.3%-4.0%-62.1K23.8M-252.9K0.846.01N/AN/A2,4012,028146,56957,630
2012-07-13$11.71$12.0047.4%13.6%34.2%36.8%48.6%5.3%-4.0%-58.2K23.1M-256.7K0.357.27N/AN/A686241148,14258,626
2012-07-16$11.53$12.0048.6%13.9%34.2%39.4%49.3%4.6%-5.0%-76.8K25.6M-235.7K0.506.41N/AN/A2,3561,184148,48858,542
2012-07-17$11.36$12.0048.6%13.9%34.4%39.5%48.6%3.6%-4.9%-90.3K28.5M-228.9K0.925.58N/AN/A1,0991,006149,95959,072
2012-07-18$11.50$12.0048.3%13.9%33.9%38.8%48.4%3.9%-4.8%-47.3K26.2M-231.3K2.076.19N/AN/A1,0392,153150,77558,858
2012-07-19$12.27$12.0047.9%13.7%42.0%37.9%47.5%3.2%-4.9%70.7K12.4M-277.6K0.805.76N/AN/A2,2101,777147,49159,672
2012-07-20$11.98$12.0047.6%13.7%38.2%37.3%47.9%2.2%-4.7%-289.7K17.6M-264.5K0.477.98N/AN/A4,1851,983147,83959,672
2012-07-23$11.82$12.0050.3%14.4%37.6%43.3%51.6%2.3%-6.0%213.1K16.9M-258.9K0.768.33N/AN/A1,050795126,41254,019
2012-07-24$11.54$12.0050.1%14.4%38.3%42.9%52.7%3.9%-5.9%166.6K20.1M-240.4K0.266.31N/AN/A2,756708126,72454,089
2012-07-25$11.51$12.0049.5%14.2%38.1%41.4%50.7%3.3%-5.9%173.0K20.0M-241.4K0.816.79N/AN/A434351128,16854,324
2012-07-26$10.95$12.0054.5%15.6%41.3%52.6%55.2%5.0%-8.6%60.5K26.4M-205.3K1.2414.41N/AN/A3,8644,797128,39554,318
2012-07-27$11.41$12.0054.9%15.8%44.1%53.6%54.3%6.9%-9.0%121.5K21.7M-237.9K1.0217.09N/AN/A1,8951,940131,25256,918
2012-07-30$11.23$12.0058.1%16.7%41.7%60.5%59.8%4.6%-11.6%49.4K23.9M-228.5K0.5511.92N/AN/A1,827996131,70858,206
2012-07-31$11.02$12.0064.6%18.5%42.0%75.1%65.4%3.5%-15.3%116.2K23.4M-216.8K0.6111.45N/AN/A14,2868,664130,82954,363