EA Options History — January 2013

In January 2013, EA traded between $13.70 and $15.73. ATM implied volatility averaged 38.9%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.7% (HV 20d: 33.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-01-25: Highest Volume — 30,708 contracts
  • 2013-01-31: Largest IV drop — 35.9% change
  • 2013-01-30: Highest IV Rank — 49.3%
  • 2013-01-30: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.54$13.70$15.73$14.55$15.73
Max Pain$14.33$14.00$15.00$15.00$15.00
ATM IV38.9%30.0%52.2%34.0%33.4%
Expected Move11.6%9.6%15.0%9.8%9.6%
HV 20d33.3%29.8%36.6%29.8%34.0%
HV 60d34.7%31.6%36.6%34.4%32.6%
IV Rank20.9%1.6%49.3%10.3%9.0%
IV Percentile46.4%0.4%94.4%15.9%12.7%
Term Structure-3.1%-10.6%6.0%5.5%-0.6%
VWIV40.6%33.6%52.7%34.7%33.8%
Skew 25d2.6%-0.1%3.6%3.3%0.4%
Skew 10d7.0%2.4%17.7%7.4%10.2%
Call IV 25d40.0%33.6%52.3%34.3%33.8%
Put IV 25d42.6%34.2%53.9%37.6%34.2%
Bid-Ask Spread %12.606.1626.0520.786.89
Gamma HHI0.330.230.420.310.36
Net GEX2.2M715.5K4.3M2.4M4.3M
Net DEX-21.0M-60.9M5.0M-20.7M-60.9M
Net VEX-163.7K-226.6K-109.8K-194.5K-226.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.073.570.070.12
Total Volume7,417.09552130,7084,34415,012
Total OI165,855.66765,596214,362208,572125,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$14.55$15.0034.0%9.8%29.8%10.3%34.7%3.3%5.5%2.4M-20.7M-194.5K0.0720.78N/AN/A4,075269163,10745,465
2013-01-03$14.74$15.0033.3%9.6%30.1%8.8%33.6%1.3%6.0%2.7M-27.1M-192.8K0.1420.29N/AN/A1,986269165,39645,479
2013-01-04$14.88$14.0030.8%10.9%29.9%3.3%38.8%3.2%-1.3%3.0M-32.4M-200.1K3.577.78N/AN/A8282,959165,67745,650
2013-01-07$14.45$14.0034.7%11.6%31.4%11.8%39.7%2.9%-1.8%2.3M-14.2M-174.8K2.477.01N/AN/A4061,003165,88548,477
2013-01-08$13.77$14.0030.6%11.2%35.5%3.0%38.9%3.6%-1.4%1.4M5.0M-133.3K2.808.19N/AN/A1,6444,601165,82145,495
2013-01-09$13.70$14.0030.0%11.2%35.5%1.6%39.0%3.2%-1.8%1.4M-366.5K-124.4K0.228.08N/AN/A1,979431166,81839,709
2013-01-10$14.00$14.0038.8%11.1%35.4%20.6%38.8%2.8%-1.7%2.1M-7.7M-133.2K0.138.29N/AN/A1,041134167,80839,714
2013-01-11$14.24$14.0040.0%11.5%35.8%23.1%40.5%3.1%-2.2%2.6M-15.4M-148.4K0.499.83N/AN/A8,8944,333168,68039,713
2013-01-14$14.43$14.0040.9%11.7%36.3%25.1%40.7%2.7%-2.8%3.0M-19.4M-157.4K0.956.16N/AN/A442422169,88542,372
2013-01-15$14.61$14.0039.2%11.2%36.6%21.4%40.2%3.1%-2.2%3.6M-26.2M-160.3K0.569.06N/AN/A333188169,85842,036
2013-01-16$14.60$14.0039.1%11.2%36.4%21.3%40.0%3.2%-2.4%3.5M-24.7M-154.8K1.2910.12N/AN/A388500169,65642,087
2013-01-17$14.51$14.0039.3%11.3%34.6%21.6%40.5%3.0%-2.7%3.2M-21.0M-146.8K1.6310.84N/AN/A443724169,25042,088
2013-01-18$14.46$14.0039.8%11.4%32.3%22.6%39.5%3.0%-2.9%987.1K-16.5M-130.9K0.3812.75N/AN/A679258169,27541,970
2013-01-22$14.43$14.0040.0%11.5%29.9%23.0%39.2%3.5%-4.0%947.1K-11.6M-126.7K0.2815.22N/AN/A1,53843353,85411,742
2013-01-23$14.05$14.0039.5%11.3%31.6%22.0%39.3%3.0%-4.2%715.5K-7.4M-109.8K0.9513.87N/AN/A8,2437,82854,09911,765
2013-01-24$14.26$14.0039.3%11.3%31.5%21.7%38.2%3.1%-4.4%792.3K-10.1M-142.4K0.9711.29N/AN/A36135162,03519,144
2013-01-25$14.77$15.0044.8%12.9%33.8%33.5%44.7%2.1%-8.0%1.2M-19.0M-164.7K0.0817.99N/AN/A28,4212,28762,00919,477
2013-01-28$15.04$15.0048.8%14.0%34.0%42.0%49.3%-0.1%-10.6%2.1M-31.8M-191.5K0.0717.38N/AN/A23,1501,68278,03520,936
2013-01-29$14.95$15.0049.1%14.1%33.9%42.7%49.6%2.7%-10.3%2.6M-37.6M-208.9K0.2216.66N/AN/A4,7301,04191,83722,282
2013-01-30$15.08$15.0052.2%15.0%30.8%49.3%52.7%1.6%-10.5%2.5M-40.9M-215.2K0.1626.05N/AN/A18,5112,94289,62222,887
2013-01-31$15.73$15.0033.4%9.6%34.0%9.0%33.8%0.4%-0.6%4.3M-60.9M-226.6K0.126.89N/AN/A13,4621,550101,48524,389