EA Options History — September 2013

In September 2013, EA traded between $25.55 and $27.99. ATM implied volatility averaged 32.4%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.7% (HV 20d: 30.7%). Max pain ranged from $22.00 to $27.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-09-16: Highest Volume — 19,031 contracts
  • 2013-09-12: Largest IV spike — 7.6% change
  • 2013-09-30: Highest IV Rank — 43.8%
  • 2013-09-30: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.78$25.55$27.99$27.36$25.55
Max Pain$26.25$22.00$27.00$22.00$27.00
ATM IV32.4%30.3%35.4%32.0%35.4%
Expected Move9.3%8.7%10.1%9.2%10.1%
HV 20d30.7%27.2%33.9%27.2%27.3%
HV 60d29.9%29.0%31.8%31.8%29.2%
IV Rank34.2%27.1%43.8%32.9%43.8%
IV Percentile22.2%10.7%44.0%17.5%44.0%
Term Structure4.5%1.3%8.4%1.3%7.2%
VWIV33.2%31.0%36.3%31.8%36.3%
Skew 25d3.3%2.8%3.9%3.4%3.2%
Skew 10d6.6%4.9%9.3%9.3%6.8%
Call IV 25d31.7%29.9%34.7%30.8%34.7%
Put IV 25d35.0%32.9%38.0%34.2%38.0%
Bid-Ask Spread %7.444.2413.478.378.75
Gamma HHI0.230.170.280.210.20
Net GEX994.3K-521.9K3.1M2.6M-521.9K
Net DEX-119.8M-185.6M-20.4M-163.9M-20.4M
Net VEX-384.7K-413.7K-366.1K-409.7K-394.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.214.984.982.11
Total Volume5,196.674919,0313,56612,378
Total OI177,957.588,797221,159203,999102,013

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$27.36$22.0032.0%9.2%27.2%32.9%31.8%3.4%1.3%2.6M-163.9M-409.7K4.988.37N/AN/A5962,970101,682102,317
2013-09-04$27.99$22.0030.5%8.7%28.1%27.8%31.3%2.9%1.5%3.1M-185.6M-389.7K0.577.83N/AN/A1,029587101,942105,087
2013-09-05$27.68$22.0030.3%8.7%28.5%27.1%31.0%3.4%1.6%2.9M-172.4M-400.3K0.887.98N/AN/A398351102,328105,380
2013-09-06$26.76$27.0031.3%9.4%31.0%30.4%33.8%3.5%3.8%2.0M-144.8M-413.7K0.687.37N/AN/A1,7921,215102,484105,592
2013-09-09$27.11$27.0033.4%9.6%31.3%37.1%33.5%3.7%3.7%2.3M-161.7M-375.6K0.216.93N/AN/A2,531534102,848106,368
2013-09-10$26.95$27.0032.8%9.5%31.4%35.5%33.7%3.4%4.1%2.1M-156.2M-390.2K0.706.58N/AN/A730512104,816106,649
2013-09-11$26.71$27.0031.1%9.4%31.5%29.9%33.0%3.4%4.0%1.7M-150.2M-381.2K2.437.45N/AN/A1,9084,642105,282106,901
2013-09-12$26.39$27.0033.5%9.6%31.8%37.5%34.1%3.5%3.7%895.3K-140.2M-394.8K0.396.88N/AN/A1,516593106,682109,724
2013-09-13$26.67$27.0032.0%9.2%31.9%32.8%32.1%2.8%4.4%1.1M-150.7M-384.8K1.226.49N/AN/A791964106,879110,058
2013-09-16$26.96$27.0033.4%9.6%31.7%37.1%34.6%3.9%3.4%1.2M-157.5M-372.7K1.084.24N/AN/A9,1709,861106,997110,214
2013-09-17$27.60$27.0031.5%9.0%32.4%31.1%32.9%3.4%4.4%2.2M-175.8M-372.6K0.437.43N/AN/A5,5252,367106,742113,586
2013-09-18$26.86$27.0033.1%9.5%33.9%36.5%33.7%3.5%3.5%352.3K-152.9M-379.2K1.1813.47N/AN/A1,4831,750105,320115,839
2013-09-19$26.98$27.0032.3%9.3%33.9%33.8%33.1%3.4%4.0%-109.8K-151.6M-370.9K0.555.67N/AN/A1,783978103,900115,991
2013-09-20$26.54$27.0032.3%9.3%30.8%33.7%33.6%3.5%4.0%-363.8K-139.3M-366.1K0.767.22N/AN/A2,4641,866104,066116,531
2013-09-23$26.19$27.0033.4%9.6%30.9%37.4%32.6%3.2%6.0%-362.8K-32.8M-374.4K0.507.31N/AN/A2,5231,26742,75646,041
2013-09-24$26.55$27.0032.4%9.3%31.4%33.9%33.9%3.3%6.8%-245.0K-39.1M-375.2K0.826.13N/AN/A89673344,15346,739
2013-09-25$26.60$27.0031.9%9.2%29.5%32.6%32.4%3.2%7.6%-279.8K-40.3M-373.7K1.016.35N/AN/A43143644,41447,152
2013-09-26$26.15$27.0033.1%9.5%29.9%36.4%32.5%3.2%7.6%-400.8K-32.9M-370.7K0.698.59N/AN/A6,5734,52744,50647,158
2013-09-27$25.95$27.0033.0%9.5%29.2%35.9%33.9%2.8%8.4%-448.8K-28.0M-403.7K1.687.78N/AN/A4,9438,31950,59051,423
2013-09-30$25.55$27.0035.4%10.1%27.3%43.8%36.3%3.2%7.2%-521.9K-20.4M-394.2K2.118.75N/AN/A3,9828,39650,59051,423