EA Options History — August 2013

In August 2013, EA traded between $26.34 and $27.97. ATM implied volatility averaged 27.9%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.8% (HV 20d: 29.6%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2013-08-22: Highest Volume — 11,520 contracts
  • 2013-08-15: Largest IV spike — 31.1% change
  • 2013-08-27: Highest IV Rank — 27.3%
  • 2013-08-27: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.86$26.34$27.97$26.53$26.64
Max Pain$21.77$21.00$25.00$25.00$22.00
ATM IV27.9%21.9%30.3%29.3%30.2%
Expected Move8.3%7.9%8.7%8.4%8.7%
HV 20d29.6%19.3%34.8%34.8%25.5%
HV 60d31.5%29.1%45.9%45.9%31.5%
IV Rank13.7%0.0%27.3%3.6%27.0%
IV Percentile3.3%0.0%10.3%1.2%10.3%
Term Structure3.1%0.2%6.1%0.2%1.9%
VWIV29.8%28.3%33.4%31.0%30.4%
Skew 25d2.3%1.1%3.3%2.1%3.2%
Skew 10d4.9%3.7%8.4%4.7%5.7%
Call IV 25d28.5%27.4%29.8%28.8%29.8%
Put IV 25d30.7%28.7%33.0%30.9%33.0%
Bid-Ask Spread %8.576.2911.907.009.37
Gamma HHI0.270.160.440.260.17
Net GEX5.1M1.8M9.0M6.5M2.2M
Net DEX-193.8M-248.1M-146.6M-203.6M-148.2M
Net VEX-455.6K-518.9K-406.1K-516.8K-423.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.045.310.790.40
Total Volume3,625.22739711,5207,838754
Total OI216,927.091188,137238,323221,157203,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$26.53$25.0029.3%8.4%34.8%3.6%31.0%2.1%0.2%6.5M-203.6M-516.8K0.797.00N/AN/A4,3773,461126,07395,084
2013-08-02$26.57$25.0027.7%7.9%34.3%0.0%28.8%1.1%1.0%6.7M-206.5M-518.9K0.366.66N/AN/A7,0982,528126,53398,158
2013-08-05$26.53$21.0028.8%8.3%33.8%4.6%29.4%2.4%4.3%7.2M-213.4M-484.4K1.318.73N/AN/A1,3151,728128,42499,368
2013-08-06$26.44$21.0029.7%8.5%33.9%8.2%29.6%2.2%4.4%7.4M-208.1M-498.9K1.188.80N/AN/A9131,074128,694100,887
2013-08-07$26.34$21.0029.0%8.5%33.9%5.3%29.8%1.9%4.7%7.8M-204.8M-512.5K2.438.84N/AN/A1,7834,324129,361101,756
2013-08-08$26.64$21.0025.7%8.4%33.8%0.0%29.4%1.8%4.6%7.5M-225.6M-497.7K0.418.93N/AN/A2,148876130,797103,963
2013-08-09$26.65$21.0024.2%8.4%33.8%0.0%30.2%1.9%4.8%8.0M-226.3M-486.8K1.456.29N/AN/A272394131,254104,335
2013-08-12$26.68$21.0026.0%8.3%33.7%6.3%29.3%2.0%5.2%8.0M-231.7M-465.2K5.318.16N/AN/A4222,240131,219104,444
2013-08-13$26.55$21.0023.4%8.2%33.8%0.0%29.7%2.2%5.3%8.1M-220.2M-495.9K0.467.34N/AN/A825378131,115106,413
2013-08-14$26.66$21.0021.9%8.1%32.9%0.0%28.3%2.0%5.6%7.8M-234.4M-445.6K0.507.30N/AN/A1,396699131,147106,517
2013-08-15$26.48$21.0028.7%8.2%33.0%22.1%28.6%1.7%6.1%9.0M-228.2M-432.7K1.258.12N/AN/A596744131,544106,587
2013-08-16$26.89$21.0027.9%8.0%33.2%19.6%29.2%1.9%6.1%4.9M-248.1M-418.0K0.047.68N/AN/A6,283250131,652106,671
2013-08-19$26.57$21.0028.0%8.0%33.3%19.9%29.8%2.5%1.5%2.2M-150.0M-409.6K1.458.25N/AN/A1,3431,94693,46694,671
2013-08-20$26.75$22.0029.3%8.4%33.0%23.9%29.6%2.4%1.3%2.0M-148.1M-444.1K1.808.87N/AN/A2,6504,76293,72695,964
2013-08-21$26.66$22.0029.1%8.3%24.8%23.3%29.3%2.3%1.5%1.8M-146.6M-429.0K0.608.91N/AN/A68741393,771100,135
2013-08-22$27.78$22.0028.3%8.1%25.2%20.8%28.5%2.5%1.6%2.3M-174.3M-406.1K0.0811.90N/AN/A10,64287893,931100,403
2013-08-23$27.97$22.0028.4%8.1%20.1%21.2%29.1%2.1%1.9%2.8M-185.1M-410.2K0.128.87N/AN/A4,49953698,018100,727
2013-08-26$27.86$22.0028.2%8.1%19.3%20.5%30.8%2.3%1.9%3.0M-178.8M-422.7K1.099.75N/AN/A802874101,035101,084
2013-08-27$26.99$22.0030.3%8.7%21.9%27.3%33.4%3.2%1.4%2.4M-152.2M-448.0K1.099.62N/AN/A575628101,323101,530
2013-08-28$27.13$22.0030.1%8.6%22.0%26.4%31.5%3.3%1.7%2.4M-155.7M-445.9K0.7010.12N/AN/A732513101,505101,773
2013-08-29$27.57$22.0028.8%8.3%22.0%22.3%29.3%2.5%2.1%2.8M-174.0M-411.5K0.348.97N/AN/A296101101,409102,191
2013-08-30$26.64$22.0030.2%8.7%25.5%27.0%30.4%3.2%1.9%2.2M-148.2M-423.5K0.409.37N/AN/A540214101,502102,236