EA Options History — November 2013

In November 2013, EA traded between $22.11 and $26.44. ATM implied volatility averaged 35.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 6.0% (HV 20d: 41.5%). Max pain ranged from $23.00 to $35.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-11-15: Highest Volume — 25,137 contracts
  • 2013-11-06: Largest IV drop — 18.3% change
  • 2013-11-05: Highest IV Rank — 23.3%
  • 2013-11-21: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.46$22.11$26.44$25.63$22.17
Max Pain$26.44$23.00$35.00$25.00$25.00
ATM IV35.4%31.7%41.0%36.4%36.4%
Expected Move10.7%9.4%11.4%9.8%11.2%
HV 20d41.5%33.9%46.1%45.1%33.9%
HV 60d36.5%35.2%38.4%35.2%36.8%
IV Rank16.5%11.9%23.3%17.7%17.6%
IV Percentile43.6%16.7%79.4%52.8%52.4%
Term Structure0.1%-1.1%0.9%-0.4%-1.1%
VWIV37.4%33.4%40.2%35.2%38.9%
Skew 25d2.7%2.0%3.4%2.7%2.3%
Skew 10d5.0%2.3%6.8%6.8%3.8%
Call IV 25d34.2%32.4%36.0%34.0%36.0%
Put IV 25d37.0%35.3%38.5%36.7%38.4%
Bid-Ask Spread %7.204.4012.139.218.83
Gamma HHI0.200.100.740.200.12
Net GEX-1.7M-12.2M958.1K958.1K-713.2K
Net DEX19.0M-42.1M79.2M-30.2M78.6M
Net VEX-431.6K-514.6K-330.9K-514.6K-333.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.362.631.052.09
Total Volume6,091.351,22125,13712,5794,735
Total OI166,419.3152,669181,352178,280158,665

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$25.63$25.0036.4%9.8%45.1%17.7%35.2%2.7%-0.4%958.1K-30.2M-514.6K1.059.21N/AN/A6,1436,43685,02993,251
2013-11-04$25.73$25.0040.7%9.6%44.6%22.9%35.3%3.2%0.8%-1.3M-16.8M-503.5K0.6312.13N/AN/A1,50594576,53090,096
2013-11-05$25.56$25.0041.0%9.7%40.8%23.3%34.4%3.2%0.9%-1.5M-11.8M-492.1K0.6911.04N/AN/A3,1422,17476,65190,478
2013-11-06$25.74$25.0033.5%9.5%40.8%14.1%33.4%2.9%0.8%-1.3M-19.6M-490.0K0.3610.15N/AN/A89932278,43492,020
2013-11-07$25.33$25.0034.1%9.8%38.5%14.9%35.2%2.5%0.6%-2.1M-4.7M-477.5K1.3710.25N/AN/A1,4602,00178,64092,221
2013-11-08$25.70$25.0031.8%9.4%38.0%12.1%34.7%2.9%0.9%-1.8M-19.1M-477.1K1.6912.06N/AN/A1,4312,41679,03091,908
2013-11-11$25.99$0.0034.1%11.1%38.0%14.9%0.0%2.2%0.2%-1.4M-28.9M-462.0K2.637.34N/AN/A4,38311,52176,76691,224
2013-11-12$26.44$0.0033.8%11.1%36.8%14.5%38.2%2.7%0.2%-1.3M-37.8M-481.6K1.164.49N/AN/A2,9593,42676,301100,663
2013-11-13$26.42$35.0031.7%11.1%36.8%11.9%0.0%2.6%0.3%-682.6K-42.1M-470.5K0.725.10N/AN/A81558777,355102,996
2013-11-14$25.96$35.0033.9%11.2%37.5%14.7%40.0%2.4%0.4%-1.6M-24.2M-457.9K1.584.84N/AN/A1,7052,69076,441102,815
2013-11-15$24.06$35.0036.1%11.2%46.1%17.3%40.2%2.7%-0.1%-12.2M66.1M-423.7K1.016.20N/AN/A12,51312,62477,063104,289
2013-11-18$24.12$25.0035.4%11.1%45.6%16.5%0.0%2.7%-0.0%-1.3M35.3M-422.4K0.644.40N/AN/A3,2232,06966,05486,615
2013-11-19$23.32$25.0036.2%11.3%45.5%17.5%40.2%2.7%-0.5%-1.2M53.5M-397.9K0.724.43N/AN/A4,2073,01967,58986,926
2013-11-20$23.00$25.0035.9%11.3%45.0%17.1%39.5%3.4%-0.5%-1.3M60.8M-392.3K1.335.70N/AN/A2,0622,74469,69489,204
2013-11-21$23.39$25.0035.9%11.4%45.5%17.0%0.0%3.0%-0.1%-1.5M51.9M-399.2K0.605.78N/AN/A98358569,90990,810
2013-11-22$23.14$25.0035.2%11.3%45.6%16.2%39.4%3.1%0.0%-874.6K58.9M-388.9K0.974.98N/AN/A1,4461,40170,30290,941
2013-11-25$22.78$23.0035.6%11.3%45.7%16.7%37.4%3.3%-0.2%-734.4K62.9M-362.1K1.465.49N/AN/A1,7402,53468,90686,588
2013-11-26$22.52$23.0035.0%11.3%44.9%16.0%38.9%2.0%-0.2%-1.0M68.7M-354.2K1.235.78N/AN/A1,2581,54168,75588,727
2013-11-27$22.11$25.0035.7%11.2%34.3%16.8%37.3%2.0%-0.5%-1.5M79.2M-330.9K0.935.81N/AN/A3,2082,97569,09489,406
2013-11-29$22.17$25.0036.4%11.2%33.9%17.6%38.9%2.3%-1.1%-713.2K78.6M-333.4K2.098.83N/AN/A1,5313,20469,33089,335