EA Options History — December 2012

In December 2012, EA traded between $13.89 and $15.42. ATM implied volatility averaged 34.7%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.8% (HV 20d: 27.9%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-12-11: Highest Volume — 35,625 contracts
  • 2012-12-13: Largest IV spike — 10.8% change
  • 2012-12-28: Highest IV Rank — 16.3%
  • 2012-12-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.62$13.89$15.42$14.53$14.52
Max Pain$14.60$13.00$15.00$13.00$15.00
ATM IV34.7%31.3%36.8%33.7%36.2%
Expected Move10.1%9.3%10.6%9.7%10.4%
HV 20d27.9%23.5%35.0%35.0%30.6%
HV 60d34.8%33.8%36.1%36.1%34.5%
IV Rank11.7%4.5%16.3%9.7%15.1%
IV Percentile22.1%1.2%39.3%11.8%35.3%
Term Structure3.8%1.3%6.1%1.3%5.2%
VWIV35.7%32.5%37.2%34.8%36.3%
Skew 25d1.9%0.0%4.2%0.3%4.2%
Skew 10d3.9%0.6%8.8%0.6%7.3%
Call IV 25d35.6%33.7%37.1%34.5%36.5%
Put IV 25d37.5%33.7%41.1%34.8%40.7%
Bid-Ask Spread %18.853.9324.9720.5818.67
Gamma HHI0.280.240.360.280.29
Net GEX2.1M1.5M3.3M1.8M2.2M
Net DEX-42.7M-84.0M-4.6M-41.7M-20.7M
Net VEX-223.3K-280.4K-184.8K-226.0K-205.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.015.960.470.28
Total Volume4,397.0521335,6251,6373,477
Total OI238,875.25207,470270,028236,119208,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$14.53$13.0033.7%9.7%35.0%9.7%34.8%0.3%1.3%1.8M-41.7M-226.0K0.4720.58N/AN/A1,115522163,81372,306
2012-12-04$14.44$13.0034.0%9.7%35.0%10.1%36.9%0.7%1.6%1.8M-38.2M-221.8K5.9620.68N/AN/A4162,481163,96072,295
2012-12-05$14.63$13.0033.0%9.5%32.3%8.1%33.5%0.4%1.9%1.8M-44.5M-218.5K0.2824.97N/AN/A664189163,81273,294
2012-12-06$14.82$13.0032.5%9.3%30.9%7.1%32.5%0.0%2.8%1.5M-46.6M-208.6K1.0321.35N/AN/A741761153,98873,309
2012-12-07$14.84$15.0031.3%10.1%26.0%4.5%35.3%1.6%3.0%1.6M-47.7M-205.3K4.1820.16N/AN/A174727154,13373,602
2012-12-10$14.82$15.0033.4%10.3%26.0%9.0%36.0%1.2%3.3%1.6M-48.0M-197.8K1.2215.01N/AN/A649789154,23873,661
2012-12-11$15.15$15.0032.5%10.0%26.5%7.1%34.8%0.6%3.3%1.7M-58.0M-196.0K0.0120.89N/AN/A35,257368154,31373,780
2012-12-12$15.33$15.0031.9%10.0%26.3%5.8%34.9%1.3%3.3%2.7M-80.4M-280.4K0.5519.24N/AN/A1,395768185,47673,959
2012-12-13$15.25$15.0035.4%10.1%24.9%13.2%35.8%0.7%3.4%2.6M-76.2M-273.6K0.0918.26N/AN/A2,640226185,65574,072
2012-12-14$15.30$15.0035.0%10.0%24.4%12.3%34.7%0.9%3.9%2.7M-79.2M-277.4K1.2221.51N/AN/A497604187,09074,148
2012-12-17$15.42$15.0035.1%10.1%24.2%12.5%35.5%0.8%3.8%2.7M-84.0M-264.9K0.0520.23N/AN/A5,768272187,19974,543
2012-12-18$14.91$15.0035.3%10.1%23.5%13.0%36.4%2.3%3.5%2.8M-64.1M-251.2K0.1518.53N/AN/A4,917749191,61174,673
2012-12-19$14.40$15.0035.9%10.3%27.1%14.2%35.8%2.0%3.7%2.7M-45.2M-232.9K3.3718.71N/AN/A1,0193,433194,39274,578
2012-12-20$13.94$15.0036.2%10.4%29.6%15.1%36.7%2.8%4.0%2.3M-25.6M-214.3K1.1017.85N/AN/A3,3423,672193,89876,130
2012-12-21$13.89$15.0036.2%10.4%27.6%15.0%36.4%2.8%4.1%3.3M-21.9M-201.7K0.6118.52N/AN/A1,518931194,83074,751
2012-12-24$14.11$15.0036.1%10.3%27.6%14.7%36.3%3.2%5.8%1.7M-9.5M-204.1K0.113.93N/AN/A3,914430161,67246,138
2012-12-26$14.16$15.0036.4%10.4%27.4%15.5%36.9%3.6%6.1%1.8M-10.7M-205.0K0.1519.26N/AN/A2,081311161,43646,034
2012-12-27$14.02$15.0036.3%10.4%26.3%15.2%37.2%3.8%5.3%1.7M-7.6M-196.0K0.7518.92N/AN/A522389162,27945,913
2012-12-28$13.92$15.0036.8%10.6%26.3%16.3%37.1%4.0%5.8%1.6M-4.6M-184.8K0.5819.72N/AN/A13578162,45745,775
2012-12-31$14.52$15.0036.2%10.4%30.6%15.1%36.3%4.2%5.2%2.2M-20.7M-205.2K0.2818.67N/AN/A2,715762162,51045,782