EA Options History — December 2013

In December 2013, EA traded between $20.97 and $23.86. ATM implied volatility averaged 38.9%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.4% (HV 20d: 45.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2013-12-20: Highest Volume — 43,207 contracts
  • 2013-12-11: Largest IV drop — 12.5% change
  • 2013-12-10: Highest IV Rank — 29.3%
  • 2013-12-17: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.50$20.97$23.86$21.90$22.94
Max Pain$23.76$23.00$25.00$25.00$23.00
ATM IV38.9%32.2%45.9%40.8%32.6%
Expected Move11.4%11.2%11.6%11.3%11.4%
HV 20d45.3%33.3%53.1%33.5%46.7%
HV 60d41.4%36.2%43.5%36.3%42.1%
IV Rank20.7%12.6%29.3%23.1%13.0%
IV Percentile62.2%19.0%91.3%78.2%21.8%
Term Structure3.4%-2.0%7.9%-2.0%7.9%
VWIV39.3%37.0%43.5%37.0%37.5%
Skew 25d1.6%0.5%2.3%2.0%2.1%
Skew 10d3.5%0.9%5.3%3.3%3.1%
Call IV 25d37.7%35.6%40.5%37.6%35.6%
Put IV 25d39.3%37.3%42.3%39.5%37.7%
Bid-Ask Spread %12.134.8040.744.809.58
Gamma HHI0.170.100.310.110.20
Net GEX247.4K-1.8M3.3M-759.5K1.1M
Net DEX39.4M-36.6M110.0M83.4M-16.7M
Net VEX-362.2K-450.5K-294.2K-327.4K-399.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.045.780.941.65
Total Volume12,707.1433,22443,2075,7643,594
Total OI167,257.857124,533226,496158,860128,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$21.90$25.0040.8%11.3%33.5%23.1%0.0%2.0%-2.0%-759.5K83.4M-327.4K0.944.80N/AN/A2,9692,79569,50189,359
2013-12-03$21.54$25.0042.2%11.3%33.3%24.8%37.0%1.4%-1.8%-997.5K92.0M-314.5K0.2913.24N/AN/A3,6701,06770,60891,461
2013-12-04$22.34$25.0043.0%11.3%37.0%25.7%39.5%0.7%-1.8%-651.4K73.7M-342.2K1.0016.42N/AN/A1,8451,84572,36591,661
2013-12-05$21.01$25.0041.7%11.5%41.3%24.1%39.5%0.5%-2.0%-1.1M102.0M-303.7K1.267.93N/AN/A8,63110,88772,60792,799
2013-12-06$22.24$25.0040.1%11.2%47.6%22.2%0.0%2.0%3.2%-592.7K68.8M-349.7K0.279.20N/AN/A6,3921,70276,42393,988
2013-12-09$22.19$25.0045.0%11.3%47.0%28.2%40.7%1.8%3.2%-457.1K71.0M-344.4K1.089.08N/AN/A1,5481,67674,79691,350
2013-12-10$22.06$23.0045.9%11.4%46.5%29.3%0.0%2.0%3.4%-505.1K74.7M-335.8K5.787.65N/AN/A1,3197,62775,27492,244
2013-12-11$21.08$23.0040.2%11.6%47.3%22.3%38.1%2.3%3.4%-1.4M103.1M-308.4K2.1013.78N/AN/A5,25711,02375,21797,955
2013-12-12$20.97$23.0038.2%11.5%47.2%19.9%0.0%2.2%3.2%-1.8M110.0M-294.2K5.588.88N/AN/A1,1486,40276,49299,756
2013-12-13$22.22$23.0038.8%11.4%53.1%20.5%39.8%2.0%3.0%-831.8K71.4M-337.6K1.1411.25N/AN/A7,9409,04177,120105,655
2013-12-16$22.06$23.0040.6%11.6%46.6%22.9%0.0%1.8%1.7%-1.2M78.6M-329.6K0.729.37N/AN/A23,22516,67776,04998,838
2013-12-17$22.75$23.0039.6%11.6%48.2%21.6%0.0%1.8%3.0%1.2M39.3M-365.6K0.9713.20N/AN/A5,7495,60297,064114,961
2013-12-18$22.86$23.0038.7%11.5%46.9%20.5%40.0%1.7%3.8%1.7M37.2M-346.0K0.1614.35N/AN/A21,3513,31695,289114,078
2013-12-19$23.42$25.0038.0%11.5%47.4%19.7%39.8%1.7%4.6%3.3M-6.9M-380.5K0.3140.74N/AN/A6,6032,056110,591113,176
2013-12-20$23.54$25.0037.0%11.2%47.1%18.5%38.7%0.7%5.1%1.4M-18.3M-381.8K0.0415.20N/AN/A41,3551,852114,363112,133
2013-12-23$23.86$23.0036.9%11.6%47.1%18.3%0.0%1.8%5.6%1.7M-30.9M-434.0K0.6311.12N/AN/A10,9886,87776,51748,016
2013-12-24$23.83$23.0036.2%11.4%46.7%17.5%43.5%0.6%6.1%1.2M-36.6M-450.5K0.5710.35N/AN/A2,2161,27381,85851,868
2013-12-26$23.67$23.0035.2%11.4%46.5%16.2%40.9%1.4%7.2%1.2M-31.4M-439.6K0.419.30N/AN/A2,7341,11981,86951,695
2013-12-27$23.17$23.0032.2%11.5%46.7%12.6%37.5%1.4%7.2%1.5M-21.0M-422.8K0.1110.30N/AN/A5,99765881,57851,589
2013-12-30$22.89$23.0033.8%11.4%47.0%14.6%37.8%1.9%6.8%1.2M-16.7M-398.5K2.168.89N/AN/A2,7896,03575,90050,220
2013-12-31$22.94$23.0032.6%11.4%46.7%13.0%37.5%2.1%7.9%1.1M-16.7M-399.1K1.659.58N/AN/A1,3542,24076,31351,819