EA Options History — November 2012

In November 2012, EA traded between $12.75 and $15.03. ATM implied volatility averaged 33.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 7.6% (HV 20d: 41.5%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-11-19: Highest Volume — 28,011 contracts
  • 2012-11-05: Largest IV spike — 7.3% change
  • 2012-11-07: Highest IV Rank — 16.6%
  • 2012-11-07: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.67$12.75$15.03$13.00$14.81
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV33.8%31.3%37.0%34.8%32.4%
Expected Move9.8%9.0%10.6%10.0%9.3%
HV 20d41.5%33.8%47.2%39.2%33.8%
HV 60d35.9%34.6%36.9%36.1%35.9%
IV Rank9.9%4.4%16.6%11.9%6.9%
IV Percentile11.7%0.9%30.8%15.7%3.8%
Term Structure2.2%0.2%3.4%0.8%2.1%
VWIV34.7%31.9%37.3%36.7%32.8%
Skew 25d2.1%-0.3%3.5%1.7%-0.3%
Skew 10d4.2%-4.5%11.9%11.9%-0.2%
Call IV 25d34.1%31.4%36.6%35.8%33.4%
Put IV 25d36.3%33.0%39.0%37.5%33.1%
Bid-Ask Spread %17.709.0823.1423.1419.95
Gamma HHI0.340.240.820.260.26
Net GEX161.1K-7.3M2.0M-9.4K1.9M
Net DEX-9.8M-61.5M25.5M12.6M-52.3M
Net VEX-235.2K-259.3K-199.8K-249.8K-237.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.143.371.270.14
Total Volume4,907.38176528,01112,0631,346
Total OI232,846.095205,691237,328229,329235,577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$13.00$13.0034.8%10.0%39.2%11.9%36.7%1.7%0.8%-9.4K12.6M-249.8K1.2723.14N/AN/A5,3176,746151,49877,831
2012-11-02$12.99$13.0033.8%9.7%38.8%9.7%33.8%2.3%1.8%-32.0K13.1M-247.4K0.9918.03N/AN/A678672153,63478,330
2012-11-05$13.20$13.0036.2%10.4%38.9%15.0%36.8%3.4%2.0%295.2K7.0M-252.4K0.5116.56N/AN/A1,829924154,14380,439
2012-11-06$13.76$13.0035.2%10.2%41.4%12.9%36.3%2.7%1.1%1.1M-13.2M-259.3K0.2216.87N/AN/A3,564795154,35678,874
2012-11-07$13.44$13.0037.0%10.6%42.5%16.6%37.1%2.9%0.2%712.5K-2.9M-252.5K3.3717.81N/AN/A5691,918154,77479,188
2012-11-08$12.91$13.0035.4%10.5%45.0%13.4%36.6%2.4%2.1%-222.9K16.2M-230.4K1.4914.70N/AN/A1,1811,762153,97779,928
2012-11-09$12.89$13.0035.1%10.4%44.9%12.7%36.8%2.6%2.4%-353.4K20.2M-230.0K0.5818.59N/AN/A1,156666154,32183,007
2012-11-12$13.02$13.0036.5%10.5%44.8%15.6%36.5%2.4%2.6%-594.1K15.3M-220.2K0.6015.31N/AN/A479286154,02081,037
2012-11-13$12.98$13.0034.9%10.2%43.7%12.2%35.4%2.4%3.0%-950.4K16.8M-215.4K0.6818.41N/AN/A490333154,20081,048
2012-11-14$12.75$13.0033.4%10.2%43.2%8.9%37.3%3.2%2.8%-1.2M25.5M-199.8K2.8316.47N/AN/A343970154,40281,148
2012-11-15$13.05$13.0035.5%10.2%43.4%13.4%35.7%3.2%2.9%-2.1M16.0M-203.9K0.8219.25N/AN/A1,062875154,15081,462
2012-11-16$13.05$13.0034.1%9.8%43.3%10.5%34.3%3.5%3.3%-7.3M11.6M-200.8K1.2619.07N/AN/A1,6822,116154,46281,661
2012-11-19$13.71$13.0031.8%9.1%47.2%5.4%32.1%2.7%3.1%486.5K-4.2M-207.6K0.2219.22N/AN/A23,0354,976138,45067,241
2012-11-20$13.86$13.0031.3%9.0%42.5%4.4%31.9%2.5%3.4%1.2M-17.0M-250.2K0.1818.73N/AN/A2,621461159,05171,294
2012-11-21$13.97$13.0031.8%9.1%42.5%5.5%32.5%1.5%3.2%1.3M-21.3M-252.3K0.5518.61N/AN/A5,1202,828159,96471,312
2012-11-23$14.37$13.0032.7%9.4%42.3%7.5%32.5%2.5%2.5%1.7M-35.9M-257.6K1.109.08N/AN/A614678163,46871,273
2012-11-26$14.60$13.0031.7%9.1%40.5%5.3%33.3%2.4%2.8%1.7M-43.8M-250.1K0.3019.22N/AN/A4,9621,511163,37171,676
2012-11-27$14.74$13.0032.0%9.2%39.4%6.0%33.6%0.9%1.8%1.9M-49.5M-247.9K0.1517.36N/AN/A7,1481,095164,41371,442
2012-11-28$15.03$13.0032.5%9.3%37.3%7.0%33.3%-0.3%1.4%1.9M-58.5M-239.8K0.7718.85N/AN/A3,7292,857162,07171,404
2012-11-29$15.03$13.0032.4%9.3%36.4%6.7%32.8%0.1%1.6%2.0M-61.5M-235.1K0.1616.55N/AN/A3,161500163,66772,204
2012-11-30$14.81$13.0032.4%9.3%33.8%6.9%32.8%-0.3%2.1%1.9M-52.3M-237.2K0.1419.95N/AN/A1,177169163,29972,278