EA Options History — August 2012

In August 2012, EA traded between $11.37 and $13.81. ATM implied volatility averaged 38.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 8.9% (HV 20d: 47.3%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.53.

Notable Days

2012-08-16: Highest Volume — 84,195 contracts
2012-08-16: Largest IV spike — 44.7% change
2012-08-31: Highest IV Rank — 48.1%
2012-08-31: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.93	$11.37	$13.81	$11.68	$13.33
Max Pain	$12.35	$11.00	$13.00	$11.00	$13.00
ATM IV	38.3%	29.2%	51.6%	44.5%	51.6%
Expected Move	11.1%	10.0%	14.8%	12.8%	14.8%
HV 20d	47.3%	34.2%	52.1%	46.6%	34.2%
HV 60d	42.2%	40.2%	44.0%	40.8%	41.4%
IV Rank	18.2%	0.0%	48.1%	30.3%	48.1%
IV Percentile	36.9%	0.0%	88.6%	64.3%	88.6%
Term Structure	2.9%	-5.3%	7.0%	-4.8%	-5.3%
VWIV	40.6%	35.0%	62.7%	46.0%	62.7%
Skew 25d	-0.8%	-15.9%	4.1%	2.1%	-15.9%
Skew 10d	-1.9%	-29.5%	8.3%	2.2%	-29.5%
Call IV 25d	40.8%	33.7%	64.8%	45.2%	64.8%
Put IV 25d	40.0%	36.8%	48.9%	47.3%	48.9%
Bid-Ask Spread %	11.96	3.67	20.71	3.67	13.05
Gamma HHI	0.17	0.14	0.24	0.14	0.14
Net GEX	1.1M	155.8K	2.2M	273.5K	1.3M
Net DEX	-15.6M	-48.5M	19.1M	14.5M	-25.8M
Net VEX	-343.1K	-419.0K	-258.5K	-258.5K	-396.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.08	1.58	0.97	0.08
Total Volume	8,820.348	359	84,195	35,172	27,602
Total OI	243,580	201,740	281,034	201,740	264,583

Daily Data (23 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
2012-08-01	$11.68	$11.00	44.5%	12.8%	46.6%	30.3%	46.0%	2.1%	-4.8%	273.5K	14.5M	-258.5K	0.97	3.67	N/A	N/A	17,898	17,274	140,396	61,344
2012-08-02	$11.37	$11.00	45.0%	12.9%	47.1%	31.5%	45.5%	2.8%	-3.4%	155.8K	19.1M	-274.2K	0.79	10.21	N/A	N/A	1,555	1,231	152,466	72,031
2012-08-03	$11.97	$11.00	38.9%	11.1%	50.0%	17.7%	40.1%	2.8%	0.9%	460.5K	5.5M	-300.9K	0.39	8.92	N/A	N/A	3,258	1,283	152,538	71,813
2012-08-06	$12.20	$12.00	41.6%	11.4%	50.4%	23.8%	40.6%	4.0%	3.5%	590.0K	425.3K	-301.2K	1.01	13.36	N/A	N/A	1,556	1,574	153,105	71,909
2012-08-07	$12.79	$12.00	37.9%	10.7%	51.5%	15.5%	37.7%	3.9%	4.8%	937.4K	-14.4M	-329.1K	0.27	13.76	N/A	N/A	7,053	1,923	152,860	71,483
2012-08-08	$12.94	$12.00	36.6%	10.6%	51.6%	12.7%	37.3%	3.5%	4.8%	1.1M	-19.0M	-332.1K	0.12	14.00	N/A	N/A	1,582	193	155,452	71,525
2012-08-09	$13.12	$12.00	34.4%	10.4%	51.4%	7.7%	36.6%	2.8%	5.2%	1.2M	-25.0M	-330.5K	0.92	6.78	N/A	N/A	1,456	1,342	156,131	71,632
2012-08-10	$13.08	$12.00	32.8%	10.1%	51.5%	4.3%	35.1%	3.3%	5.8%	1.3M	-23.2M	-326.4K	0.13	7.88	N/A	N/A	1,273	168	156,311	71,552
2012-08-13	$12.87	$12.00	35.8%	10.1%	51.5%	10.9%	36.2%	3.8%	6.1%	1.3M	-16.8M	-313.1K	0.39	6.03	N/A	N/A	788	309	156,535	71,646
2012-08-14	$12.71	$12.00	33.6%	10.1%	51.4%	6.0%	36.3%	4.1%	6.1%	1.2M	-12.7M	-304.5K	0.69	6.03	N/A	N/A	642	445	156,651	71,753
2012-08-15	$13.09	$12.00	29.2%	10.0%	52.1%	0.0%	35.0%	3.4%	7.0%	1.5M	-23.5M	-313.3K	0.30	6.95	N/A	N/A	2,165	655	156,825	71,723
2012-08-16	$13.81	$12.00	42.3%	12.1%	50.5%	28.1%	45.1%	-5.6%	0.3%	1.5M	-46.5M	-344.1K	0.43	20.71	N/A	N/A	58,825	25,370	156,280	72,040
2012-08-17	$13.77	$13.00	39.0%	11.2%	49.4%	20.9%	39.2%	-4.4%	4.2%	2.2M	-48.5M	-419.0K	1.58	12.67	N/A	N/A	3,518	5,558	195,101	85,933
2012-08-20	$13.56	$13.00	39.1%	11.2%	49.5%	21.3%	41.4%	-2.7%	2.3%	1.4M	-27.9M	-397.5K	0.56	12.00	N/A	N/A	4,743	2,679	178,860	78,133
2012-08-21	$13.56	$13.00	38.5%	11.0%	48.3%	20.0%	41.3%	-3.0%	1.9%	1.4M	-27.5M	-403.5K	0.38	14.28	N/A	N/A	699	264	181,163	80,083
2012-08-22	$13.44	$13.00	36.1%	10.4%	48.5%	14.9%	40.2%	-3.8%	4.3%	1.4M	-24.9M	-395.6K	0.56	16.12	N/A	N/A	1,602	903	181,565	79,910
2012-08-23	$13.25	$13.00	36.8%	10.6%	44.4%	16.3%	42.0%	-3.6%	4.1%	1.2M	-17.1M	-374.8K	0.60	13.51	N/A	N/A	708	426	182,059	80,380
2012-08-24	$13.33	$13.00	36.4%	10.4%	42.8%	15.4%	37.5%	-4.0%	4.2%	1.3M	-19.7M	-394.7K	0.47	13.92	N/A	N/A	332	155	182,622	80,522
2012-08-27	$12.93	$13.00	37.2%	10.7%	44.1%	17.1%	38.9%	-3.4%	4.0%	1.1M	-8.3M	-348.9K	0.44	17.03	N/A	N/A	688	306	182,649	80,586
2012-08-28	$12.83	$13.00	37.1%	10.6%	43.4%	16.9%	39.0%	-3.1%	4.1%	941.6K	-4.1M	-346.9K	0.47	13.22	N/A	N/A	244	115	183,048	80,831
2012-08-29	$12.85	$13.00	38.3%	11.0%	39.1%	19.5%	38.2%	-3.3%	2.8%	947.1K	-4.2M	-341.4K	0.58	16.03	N/A	N/A	1,014	587	183,126	80,835
2012-08-30	$13.00	$13.00	38.4%	11.0%	37.3%	19.7%	41.1%	-2.9%	3.3%	1.0M	-8.9M	-345.8K	0.14	14.90	N/A	N/A	799	108	183,235	81,115
2012-08-31	$13.33	$13.00	51.6%	14.8%	34.2%	48.1%	62.7%	-15.9%	-5.3%	1.3M	-25.8M	-396.5K	0.08	13.05	N/A	N/A	25,453	2,149	183,421	81,162