EA Options History — October 2013 In October 2013, EA traded between $23.97 and $26.42. ATM implied volatility averaged 51.0%, placing in the 74.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 14.9% (HV 20d: 36.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.64.
Notable Days 2013-10-29 : Highest Volume — 38,692 contracts2013-10-25 : Largest IV spike — 57.6% change2013-10-25 : Highest IV Rank — 100.0%2013-10-28 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.94 $23.97 $26.42 $26.42 $26.25 Max Pain $25.22 $25.00 $27.00 $27.00 $25.00 ATM IV 51.0% 35.7% 103.9% 35.8% 36.5% Expected Move 13.1% 9.5% 15.0% 10.3% 10.1% HV 20d 36.1% 28.3% 45.9% 28.3% 45.2% HV 60d 32.1% 29.8% 35.0% 29.8% 35.0% IV Rank 74.0% 17.8% 100.0% 45.0% 17.8% IV Percentile 87.8% 47.2% 100.0% 47.6% 54.8% Term Structure -4.8% -12.7% 7.3% 7.3% -1.1% VWIV 46.2% 34.1% 53.1% 39.6% 37.8% Skew 25d 4.3% 2.4% 6.9% 3.4% 3.9% Skew 10d 8.3% 4.8% 14.6% 7.3% 6.5% Call IV 25d 44.3% 32.9% 51.3% 34.6% 34.2% Put IV 25d 48.5% 35.3% 56.1% 37.9% 38.1% Bid-Ask Spread % 7.72 4.12 16.64 12.48 9.42 Gamma HHI 0.17 0.09 0.61 0.19 0.10 Net GEX -939.5K -5.3M 1.4M -565.7K 952.8K Net DEX -14.8M -64.8M 13.5M -36.8M -64.8M Net VEX -452.5K -490.4K -402.1K -438.1K -488.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.22 6.28 2.36 2.23 Total Volume 11,748.043 1,845 38,692 35,809 17,690 Total OI 142,814.826 116,751 167,038 116,751 167,038
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-10-01 $26.42 $27.00 35.8% 10.3% 28.3% 45.0% 39.6% 3.4% 7.3% -565.7K -36.8M -438.1K 2.36 12.48 N/A N/A 10,671 25,138 57,245 59,506 2013-10-02 $25.62 $27.00 37.4% 10.7% 28.5% 50.3% 38.9% 4.0% 6.9% -1.1M -23.9M -480.4K 1.32 7.72 N/A N/A 6,472 8,553 62,878 72,930 2013-10-03 $25.08 $26.00 38.6% 11.1% 29.1% 54.1% 40.0% 3.1% 6.3% -1.6M -10.0M -489.1K 0.46 8.52 N/A N/A 1,978 919 65,303 77,928 2013-10-04 $25.76 $25.00 35.7% 12.6% 29.0% 44.8% 44.3% 4.6% -4.0% -1.4M -29.9M -490.4K 3.84 6.81 N/A N/A 1,260 4,844 66,728 78,589 2013-10-07 $25.25 $25.00 44.1% 13.1% 29.2% 72.0% 45.3% 4.2% -4.8% -1.5M -17.9M -476.1K 0.79 6.90 N/A N/A 1,381 1,090 67,041 77,568 2013-10-08 $24.07 $25.00 48.9% 13.9% 33.1% 87.7% 48.1% 4.0% -5.3% -1.7M 13.5M -462.0K 0.76 7.40 N/A N/A 2,915 2,226 67,631 77,856 2013-10-09 $24.15 $25.00 44.6% 14.3% 33.3% 73.7% 49.7% 4.2% -5.7% -1.7M 11.1M -466.9K 0.23 6.42 N/A N/A 4,558 1,029 68,855 78,252 2013-10-10 $25.22 $25.00 47.8% 13.7% 37.3% 84.0% 48.1% 4.3% -5.1% -1.4M -23.5M -482.9K 0.63 5.72 N/A N/A 2,172 1,377 72,158 78,233 2013-10-11 $24.72 $25.00 46.8% 13.4% 37.5% 80.6% 47.8% 4.6% -4.8% -1.7M -5.8M -462.1K 6.28 10.15 N/A N/A 2,560 16,067 71,753 79,188 2013-10-14 $24.59 $25.00 47.2% 13.5% 37.1% 82.0% 48.7% 4.9% -5.2% -2.3M 6.9M -465.7K 1.39 6.09 N/A N/A 879 1,225 71,446 85,986 2013-10-15 $23.97 $25.00 49.4% 14.2% 36.2% 89.3% 48.8% 4.7% -5.9% -1.6M 10.9M -411.5K 0.96 6.32 N/A N/A 3,276 3,160 71,311 71,474 2013-10-16 $24.21 $25.00 48.9% 14.0% 35.9% 87.7% 48.1% 4.5% -6.1% -1.5M 2.6M -412.5K 2.26 7.73 N/A N/A 1,849 4,173 72,591 71,924 2013-10-17 $24.53 $25.00 46.2% 13.3% 36.3% 78.9% 47.1% 4.3% -6.9% -1.4M -5.8M -404.2K 0.63 6.35 N/A N/A 4,764 3,001 72,456 71,759 2013-10-18 $25.03 $25.00 45.5% 13.0% 37.1% 76.6% 46.1% 4.5% -6.6% -5.3M -25.2M -407.8K 3.06 6.79 N/A N/A 3,442 10,528 75,282 73,448 2013-10-21 $24.50 $25.00 47.5% 13.6% 37.5% 82.9% 46.5% 4.5% -8.4% 340.2K -20.1M -402.1K 5.22 7.51 N/A N/A 3,416 17,829 63,642 54,417 2013-10-22 $25.23 $25.00 48.9% 14.0% 38.8% 87.7% 49.3% 3.8% -9.3% 5.0K -19.7M -449.6K 0.30 8.88 N/A N/A 15,894 4,739 65,540 65,014 2013-10-23 $24.61 $25.00 49.7% 14.2% 39.6% 90.0% 50.1% 4.0% -9.3% -65.1K -7.3M -457.5K 0.67 7.28 N/A N/A 1,537 1,036 68,963 67,049 2013-10-24 $24.74 $25.00 49.0% 14.0% 39.4% 87.9% 49.5% 4.6% -9.5% 75.3K -10.4M -459.1K 0.62 5.78 N/A N/A 1,289 802 69,780 67,044 2013-10-25 $24.75 $25.00 77.2% 14.3% 39.3% 100.0% 50.6% 4.5% -10.0% 142.5K -10.6M -453.6K 0.72 6.38 N/A N/A 1,074 771 70,701 67,328 2013-10-28 $24.83 $25.00 98.4% 15.0% 39.1% 100.0% 53.1% 4.0% -12.7% 130.6K -13.5M -440.1K 0.22 6.21 N/A N/A 5,478 1,190 69,684 66,504 2013-10-29 $24.13 $25.00 103.9% 14.8% 37.9% 100.0% 51.2% 6.9% -10.0% 173.3K -1.4M -436.8K 1.13 16.64 N/A N/A 18,142 20,550 73,147 67,301 2013-10-30 $26.00 $25.00 45.2% 9.5% 45.9% 28.4% 34.1% 2.4% -0.4% 1.4M -59.6M -469.6K 1.65 4.12 N/A N/A 10,280 16,981 84,911 79,359 2013-10-31 $26.25 $25.00 36.5% 10.1% 45.2% 17.8% 37.8% 3.9% -1.1% 952.8K -64.8M -488.5K 2.23 9.42 N/A N/A 5,481 12,209 84,385 82,653
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