EA Options History — October 2012

In October 2012, EA traded between $11.91 and $13.98. ATM implied volatility averaged 41.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 8.4% (HV 20d: 32.7%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-10-25: Highest Volume — 25,164 contracts
  • 2012-10-11: Largest IV spike — 25.6% change
  • 2012-10-24: Highest IV Rank — 42.1%
  • 2012-10-24: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.97$11.91$13.98$12.35$12.35
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV41.1%34.2%48.8%39.9%37.5%
Expected Move12.3%10.2%14.0%11.4%10.8%
HV 20d32.7%29.8%35.6%34.5%35.6%
HV 60d38.2%34.7%40.3%40.0%34.7%
IV Rank25.5%10.7%42.1%22.8%17.8%
IV Percentile51.2%11.0%83.1%45.9%32.9%
Term Structure0.3%-4.4%8.9%6.6%0.5%
VWIV43.5%36.0%51.1%40.8%37.2%
Skew 25d3.4%0.4%5.9%0.4%5.4%
Skew 10d6.3%-0.4%10.7%-0.4%8.6%
Call IV 25d42.2%35.7%46.1%40.7%35.7%
Put IV 25d45.6%38.0%52.0%41.1%41.1%
Bid-Ask Spread %14.587.7426.3420.2926.34
Gamma HHI0.250.190.390.220.22
Net GEX398.1K-418.7K1.6M134.2K-418.7K
Net DEX8.8M-18.3M35.2M20.0M31.0M
Net VEX-262.0K-294.9K-198.4K-261.6K-212.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.085.252.420.85
Total Volume3,167.8146325,1642,0636,548
Total OI214,190.905198,202226,075214,124226,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$12.35$13.0039.9%11.4%34.5%22.8%40.8%0.4%6.6%134.2K20.0M-261.6K2.4220.29N/AN/A6031,460149,05465,070
2012-10-02$12.65$13.0037.2%10.7%35.1%17.2%37.0%3.4%7.7%222.4K15.0M-281.4K0.1021.19N/AN/A1,823180148,84766,144
2012-10-03$12.85$13.0036.9%10.6%35.5%16.4%37.9%1.3%7.4%350.4K10.2M-289.4K0.2122.92N/AN/A4,9891,049149,36466,162
2012-10-04$13.03$13.0035.6%10.2%33.1%13.7%36.0%0.7%8.9%420.0K6.5M-294.9K0.4022.87N/AN/A870349148,62266,710
2012-10-05$12.95$13.0034.2%12.7%30.9%10.7%43.8%3.2%-0.6%344.0K8.3M-289.6K2.457.74N/AN/A4531,108149,00766,793
2012-10-08$12.98$13.0037.2%12.8%30.8%17.1%44.8%2.7%-0.6%352.9K7.9M-282.8K0.428.88N/AN/A1,576666149,21167,540
2012-10-09$13.01$13.0035.2%12.6%30.8%12.9%44.0%2.7%-0.1%348.1K8.0M-281.0K0.468.80N/AN/A866396149,15267,461
2012-10-10$12.89$13.0034.4%12.5%30.3%11.1%43.8%2.6%-0.3%219.8K11.0M-271.4K0.088.21N/AN/A43033149,43567,650
2012-10-11$13.05$13.0043.2%12.4%29.8%30.0%44.7%2.8%0.1%321.1K7.4M-275.1K1.957.88N/AN/A191372149,67467,666
2012-10-12$13.41$13.0043.6%12.5%30.9%30.9%45.5%3.8%-0.6%673.7K-1.5M-286.6K0.848.82N/AN/A525439149,75567,696
2012-10-15$13.69$13.0042.8%12.3%31.4%29.0%44.0%3.6%-0.8%1.0M-9.9M-282.3K0.6015.29N/AN/A787476149,93467,656
2012-10-16$13.98$13.0042.2%12.1%32.0%27.9%43.3%3.6%-0.8%1.5M-18.3M-289.1K0.1213.01N/AN/A1,764214150,00767,866
2012-10-17$13.87$13.0042.5%12.2%32.1%28.4%43.0%3.1%-1.3%1.5M-14.2M-284.7K0.428.80N/AN/A413175149,79967,996
2012-10-18$13.83$13.0042.4%12.1%29.8%28.2%44.2%3.5%-1.2%1.6M-12.5M-279.4K0.4214.99N/AN/A602254149,60767,611
2012-10-19$13.08$13.0044.8%12.8%35.5%33.3%45.0%3.8%-2.1%-296.2K6.8M-249.7K4.5213.54N/AN/A3311,497149,44867,652
2012-10-22$13.05$13.0045.4%13.0%35.4%34.7%45.9%4.5%-2.8%267.8K9.9M-239.4K2.9814.13N/AN/A257766136,78561,417
2012-10-23$12.77$13.0045.6%13.1%31.7%35.1%47.0%5.1%-2.7%129.8K15.9M-227.7K1.4413.92N/AN/A307443136,87562,049
2012-10-24$12.42$13.0048.8%14.0%33.2%42.1%49.1%5.9%-3.7%13.4K21.1M-208.0K0.9117.09N/AN/A2,8252,561137,02361,444
2012-10-25$12.21$13.0047.3%13.6%33.2%38.9%51.1%5.5%-4.4%-92.2K26.2M-198.4K1.3915.07N/AN/A10,51214,652139,20963,802
2012-10-26$11.91$13.0046.2%13.2%34.1%36.5%46.2%4.1%-4.0%-223.2K35.2M-216.2K5.2516.30N/AN/A4422,320149,16175,580
2012-10-31$12.35$13.0037.5%10.8%35.6%17.8%37.2%5.4%0.5%-418.7K31.0M-212.8K0.8526.34N/AN/A3,5433,005149,21976,856