EA Options History — March 2013

In March 2013, EA traded between $17.15 and $19.34. ATM implied volatility averaged 37.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.8% (HV 20d: 34.2%). Max pain ranged from $14.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2013-03-19: Highest Volume — 115,242 contracts
  • 2013-03-19: Largest IV spike — 19.3% change
  • 2013-03-11: Highest IV Rank — 27.2%
  • 2013-03-25: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.29$17.15$19.34$18.04$17.70
Max Pain$18.35$14.00$19.00$14.00$19.00
ATM IV37.0%32.3%41.9%35.8%36.3%
Expected Move10.3%9.2%11.6%10.3%10.4%
HV 20d34.2%26.8%43.5%33.5%40.9%
HV 60d34.0%32.2%36.7%32.2%35.5%
IV Rank16.7%6.5%27.2%14.0%15.2%
IV Percentile41.4%5.6%68.3%34.9%37.3%
Term Structure3.0%-0.6%5.3%-0.6%4.9%
VWIV36.6%32.3%42.1%37.3%38.2%
Skew 25d2.7%0.9%3.8%1.3%2.3%
Skew 10d6.4%3.5%10.0%5.9%5.4%
Call IV 25d35.5%31.5%41.6%35.7%37.0%
Put IV 25d38.2%34.2%43.6%37.0%39.4%
Bid-Ask Spread %7.913.3614.708.689.11
Gamma HHI0.310.260.460.290.28
Net GEX2.8M1.0M4.6M4.6M2.1M
Net DEX-95.5M-178.0M-2.1M-131.2M-21.3M
Net VEX-416.7K-460.9K-373.0K-395.5K-435.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.117.527.521.07
Total Volume13,253.51,227115,2421,9354,298
Total OI178,955.35133,084215,294175,929188,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$18.04$14.0035.8%10.3%33.5%14.0%37.3%1.3%-0.6%4.6M-131.2M-395.5K7.528.68N/AN/A2271,708138,21737,712
2013-03-04$18.20$18.0038.8%10.4%32.5%20.5%36.4%3.0%2.0%4.5M-136.0M-392.5K0.796.32N/AN/A1,3011,032138,23538,952
2013-03-05$18.51$18.0037.5%10.1%32.1%17.7%36.2%2.9%2.0%4.3M-148.1M-389.9K4.056.41N/AN/A6092,469138,88139,339
2013-03-06$18.62$18.0036.2%9.8%26.9%15.0%34.2%2.8%2.6%4.0M-155.0M-385.8K0.7712.85N/AN/A1,253961138,83240,690
2013-03-07$18.71$18.0037.3%10.1%26.8%17.3%35.4%3.1%2.2%3.9M-158.3M-390.3K2.516.18N/AN/A1,4693,687138,89541,209
2013-03-08$18.58$18.0035.6%9.9%27.1%13.8%34.9%3.2%2.3%3.8M-153.3M-385.7K1.703.36N/AN/A2,6474,488139,61143,525
2013-03-11$19.13$18.0041.9%10.1%27.1%27.2%36.0%3.7%2.1%3.5M-172.3M-395.3K0.635.55N/AN/A4,7002,966141,37746,180
2013-03-12$19.25$18.0040.7%10.0%27.0%24.6%34.9%3.1%2.2%3.5M-178.0M-403.3K0.805.81N/AN/A1,8221,456144,23947,833
2013-03-13$18.94$18.0034.8%9.7%28.0%11.9%33.8%3.1%2.9%3.2M-168.5M-393.7K0.947.89N/AN/A20,42819,255144,14348,969
2013-03-14$19.34$19.0032.4%9.3%27.0%6.7%32.3%2.6%3.9%3.0M-176.0M-455.7K0.618.27N/AN/A4,4552,720150,60564,689
2013-03-15$18.88$19.0032.3%9.2%29.0%6.5%33.2%3.2%3.6%1.9M-140.8M-440.6K0.748.18N/AN/A5,5964,132147,81365,227
2013-03-18$18.71$19.0032.5%9.3%28.9%7.1%34.7%3.1%5.3%1.7M-40.3M-445.2K2.867.98N/AN/A5981,71389,62143,463
2013-03-19$17.15$19.0038.8%11.1%41.6%20.5%38.0%3.8%3.0%1.0M-2.1M-373.0K0.5214.70N/AN/A76,02339,21989,66444,596
2013-03-20$17.34$19.0037.8%10.8%41.7%18.4%37.2%2.9%3.5%1.4M-6.9M-413.2K0.128.10N/AN/A10,0151,199108,78955,732
2013-03-21$17.70$19.0037.1%10.6%42.3%16.9%37.0%3.6%3.3%1.1M-15.9M-430.8K0.129.01N/AN/A4,646577100,57756,401
2013-03-22$17.97$19.0039.3%11.3%42.5%21.6%41.6%0.9%3.6%1.7M-31.2M-460.9K0.115.46N/AN/A24,6762,804108,87456,626
2013-03-25$17.56$19.0040.4%11.6%43.2%23.9%42.1%2.1%2.8%2.0M-19.9M-447.7K0.617.36N/AN/A1,9881,220127,86158,115
2013-03-26$17.77$19.0038.1%10.9%43.5%19.1%40.2%1.1%3.8%2.2M-29.5M-452.9K0.416.75N/AN/A3,8871,599128,12958,478
2013-03-27$17.79$19.0036.8%10.6%42.6%16.4%37.9%2.3%4.1%2.2M-25.8M-446.7K0.5510.19N/AN/A794433129,02159,359
2013-03-28$17.70$19.0036.3%10.4%40.9%15.2%38.2%2.3%4.9%2.1M-21.3M-435.9K1.079.11N/AN/A2,0762,222129,22059,408