EA Options History — September 2012

In September 2012, EA traded between $12.60 and $14.50. ATM implied volatility averaged 42.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 9.5% (HV 20d: 32.8%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-09-24: Highest Volume — 25,563 contracts
  • 2012-09-07: Largest IV drop — 8.6% change
  • 2012-09-04: Highest IV Rank — 42.8%
  • 2012-09-04: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.53$12.60$14.50$13.03$12.69
Max Pain$13.37$13.00$14.00$13.00$13.00
ATM IV42.3%38.2%49.2%49.2%38.2%
Expected Move12.2%11.0%14.1%14.1%11.0%
HV 20d32.8%28.3%35.2%35.2%34.8%
HV 60d40.4%39.4%41.6%41.6%40.1%
IV Rank28.0%19.3%42.8%42.8%19.3%
IV Percentile56.1%33.8%80.8%80.8%33.8%
Term Structure2.8%-1.7%6.2%-1.7%6.0%
VWIV44.3%38.8%58.2%58.2%38.8%
Skew 25d-2.7%-10.7%0.9%-10.7%-0.6%
Skew 10d-4.7%-21.6%2.6%-21.6%-1.1%
Call IV 25d45.1%40.5%56.9%56.9%40.5%
Put IV 25d42.4%39.5%46.2%46.2%39.9%
Bid-Ask Spread %11.244.3815.5410.0913.30
Gamma HHI0.210.120.310.160.22
Net GEX1.5M237.9K3.0M1.5M268.1K
Net DEX-26.1M-64.5M14.5M-18.1M13.4M
Net VEX-332.8K-389.6K-278.8K-372.4K-290.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.031.750.420.12
Total Volume6,827.10592125,5638,4502,371
Total OI264,174.158182,160300,197281,266212,490

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$13.03$13.0049.2%14.1%35.2%42.8%58.2%-10.7%-1.7%1.5M-18.1M-372.4K0.4210.09N/AN/A5,9472,503199,68181,585
2012-09-05$13.14$13.0046.8%13.4%31.2%37.7%56.5%-8.8%-0.3%1.5M-19.2M-368.7K0.0513.62N/AN/A3,895190196,53883,112
2012-09-06$13.63$13.0046.8%13.4%33.5%37.6%48.7%-9.3%-1.7%1.9M-35.3M-376.9K0.9415.54N/AN/A3,1022,904195,94583,157
2012-09-07$14.04$13.0042.7%12.4%34.7%29.0%43.5%-2.6%1.8%2.3M-49.1M-389.6K0.2111.57N/AN/A5,9231,216196,44185,354
2012-09-10$13.84$13.0044.7%12.6%35.2%33.2%43.8%-3.1%1.3%2.0M-40.7M-360.9K0.1210.41N/AN/A1,004122195,24783,951
2012-09-11$13.81$13.0041.0%12.3%34.5%25.4%44.0%-2.3%2.7%2.0M-38.6M-349.3K0.3411.60N/AN/A4,4721,507195,55183,980
2012-09-12$13.99$13.0041.9%12.5%34.1%27.2%43.9%-2.1%1.7%2.1M-46.6M-347.2K0.2111.02N/AN/A9,4461,948197,09584,900
2012-09-13$14.24$14.0041.5%11.9%33.2%26.5%41.8%-1.5%2.6%2.7M-56.5M-349.7K0.1212.59N/AN/A2,999346199,96286,161
2012-09-14$14.50$14.0042.8%12.3%28.3%29.1%43.2%-0.3%1.5%3.0M-64.5M-354.2K0.039.57N/AN/A15,160528198,50786,130
2012-09-17$14.21$14.0043.0%12.3%29.3%29.6%43.4%-1.4%2.2%2.6M-53.7M-346.4K1.754.38N/AN/A9201,613204,35086,256
2012-09-18$14.00$14.0043.0%12.3%29.3%29.5%43.0%-1.8%1.8%2.0M-43.0M-337.1K0.448.64N/AN/A3,0721,343204,21386,885
2012-09-19$13.93$14.0042.1%12.1%29.4%27.7%43.0%-1.6%2.4%1.6M-39.7M-320.6K0.4112.94N/AN/A654267205,13087,645
2012-09-20$13.48$14.0042.8%12.3%31.7%29.1%43.3%-1.1%3.5%815.7K-21.6M-303.6K0.0312.99N/AN/A11,747371205,19488,104
2012-09-21$13.24$14.0039.4%11.3%31.9%21.9%40.1%-1.4%5.9%534.1K-19.3M-296.7K0.6313.31N/AN/A3,5212,222212,84187,356
2012-09-24$13.31$13.0038.8%11.1%31.9%20.6%40.3%-1.9%5.3%515.2K-580.5K-278.8K0.906.26N/AN/A13,46012,103131,04851,112
2012-09-25$12.68$13.0039.5%11.3%34.7%22.1%40.4%-0.4%5.3%269.8K12.0M-291.9K0.8612.43N/AN/A3,4392,972142,77662,218
2012-09-26$12.60$13.0039.6%11.3%34.6%22.2%41.9%0.9%5.9%237.9K14.5M-289.2K0.8910.78N/AN/A1,5871,418144,52263,847
2012-09-27$12.78$13.0039.3%11.3%35.1%21.7%44.1%-1.2%6.2%288.9K10.9M-298.8K0.0412.51N/AN/A3,280143145,01665,009
2012-09-28$12.69$13.0038.2%11.0%34.8%19.3%38.8%-0.6%6.0%268.1K13.4M-290.7K0.1213.30N/AN/A2,117254147,49264,998