EA Options History — June 2013

In June 2013, EA traded between $21.49 and $23.61. ATM implied volatility averaged 37.7%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.8% (HV 20d: 36.9%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-06-19: Highest Volume — 21,623 contracts
  • 2013-06-07: Largest IV drop — 8.9% change
  • 2013-06-06: Highest IV Rank — 33.5%
  • 2013-06-06: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.43$21.49$23.61$22.99$22.99
Max Pain$21.40$19.00$22.00$19.00$22.00
ATM IV37.7%31.4%41.1%40.1%31.4%
Expected Move10.7%9.0%11.8%11.5%9.0%
HV 20d36.9%29.6%63.3%62.8%34.2%
HV 60d44.7%43.2%47.1%46.0%44.1%
IV Rank24.0%6.1%33.5%30.8%6.1%
IV Percentile48.5%2.8%69.4%66.7%2.8%
Term Structure3.2%-2.9%9.2%-2.1%9.2%
VWIV37.7%31.8%43.0%40.5%31.8%
Skew 25d2.9%1.5%3.5%1.7%2.4%
Skew 10d5.9%3.7%9.1%5.0%5.3%
Call IV 25d36.8%31.3%40.3%39.8%31.3%
Put IV 25d39.6%33.7%43.2%41.5%33.7%
Bid-Ask Spread %8.266.1711.4810.467.27
Gamma HHI0.300.190.770.210.19
Net GEX3.9M-498.8K16.8M4.1M67.5K
Net DEX-122.8M-210.7M-7.3M-183.4M-46.9M
Net VEX-667.7K-730.6K-620.8K-687.3K-632.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.089.939.930.81
Total Volume5,793.41,15921,62312,7072,379
Total OI237,156.15172,848281,042233,619172,848

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$22.99$19.0040.1%11.5%62.8%30.8%40.5%1.7%-2.1%4.1M-183.4M-687.3K9.9310.46N/AN/A1,16311,544152,75280,867
2013-06-04$22.72$19.0040.4%11.6%63.3%31.7%40.5%1.5%-2.8%3.5M-163.6M-717.0K0.0810.14N/AN/A10,615865152,93292,152
2013-06-05$22.88$19.0040.9%11.7%63.3%33.0%43.0%3.0%-2.9%4.0M-175.7M-730.6K3.4011.48N/AN/A5571,891159,73092,705
2013-06-06$23.28$19.0041.1%11.8%31.8%33.5%41.8%3.2%-2.9%4.1M-192.7M-723.2K1.219.60N/AN/A788955159,94293,672
2013-06-07$23.61$22.0037.4%10.5%32.0%23.2%37.0%3.5%2.4%4.4M-210.7M-695.6K1.909.47N/AN/A1,2302,341160,28194,129
2013-06-10$22.87$22.0039.5%10.6%31.9%29.0%37.1%3.2%3.0%4.3M-174.4M-693.3K0.476.54N/AN/A1,495697160,06494,881
2013-06-11$22.60$22.0040.0%10.6%29.6%30.4%37.4%3.0%3.0%4.1M-158.8M-686.8K1.049.20N/AN/A1,5761,639160,47595,443
2013-06-12$21.54$22.0040.4%10.8%32.6%31.6%38.4%3.2%3.1%3.4M-101.9M-669.5K0.389.11N/AN/A5,6012,156160,81296,605
2013-06-13$21.49$22.0038.4%11.0%32.3%25.9%38.4%3.3%2.9%3.3M-100.1M-654.1K0.2810.60N/AN/A7,5682,103161,13996,956
2013-06-14$21.81$22.0037.1%10.6%31.4%22.4%38.1%3.4%3.4%3.6M-118.0M-655.8K0.806.25N/AN/A2,7612,204161,50297,463
2013-06-17$22.43$22.0037.7%10.8%32.9%23.9%37.6%2.9%3.2%4.9M-146.9M-638.2K0.237.25N/AN/A8,5961,939161,46299,340
2013-06-18$23.03$22.0036.5%10.5%33.2%20.6%36.5%2.8%3.6%6.7M-196.5M-631.7K0.608.46N/AN/A2,5691,532166,42299,707
2013-06-19$22.84$22.0036.4%10.4%33.4%20.3%36.8%2.7%3.9%7.0M-181.8M-620.8K0.928.32N/AN/A11,24810,375165,71499,647
2013-06-20$22.15$22.0038.9%11.2%35.1%27.4%39.0%2.8%3.4%4.8M-131.1M-689.8K0.677.43N/AN/A1,9851,325173,012108,030
2013-06-21$21.98$22.0037.6%10.8%31.9%23.7%38.2%2.9%4.2%16.8M-119.0M-665.9K0.216.36N/AN/A4,8281,002172,849107,486
2013-06-24$21.61$22.0037.6%10.8%32.3%23.8%39.2%3.1%5.8%-463.2K-7.3M-648.5K1.476.17N/AN/A9021,33086,96185,916
2013-06-25$21.78$22.0035.7%10.2%31.3%18.2%36.4%3.4%6.8%-470.6K-12.0M-644.0K0.626.30N/AN/A71744287,15585,715
2013-06-26$21.79$22.0034.1%9.8%31.3%13.6%33.8%2.4%8.0%-498.8K-11.6M-634.7K0.186.33N/AN/A1,88333387,28085,760
2013-06-27$22.21$22.0032.9%9.4%32.1%10.3%32.3%2.8%8.4%-315.1K-23.7M-634.9K0.158.47N/AN/A2,37036487,31586,002
2013-06-28$22.99$22.0031.4%9.0%34.2%6.1%31.8%2.4%9.2%67.5K-46.9M-632.5K0.817.27N/AN/A1,3121,06786,93285,916