EA Options History — January 2014

In January 2014, EA traded between $21.54 and $26.40. ATM implied volatility averaged 39.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.8% (HV 20d: 40.3%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-01-29: Highest Volume — 47,185 contracts
  • 2014-01-29: Largest IV drop — 27.0% change
  • 2014-01-27: Highest IV Rank — 34.4%
  • 2014-01-23: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.61$21.54$26.40$22.83$26.40
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV39.5%30.9%50.1%37.3%36.1%
Expected Move11.2%10.9%11.5%11.5%11.0%
HV 20d40.3%24.5%48.1%46.3%48.0%
HV 60d42.6%40.0%46.1%41.9%43.7%
IV Rank21.5%11.0%34.4%18.8%17.3%
IV Percentile61.0%11.9%97.6%55.2%43.7%
Term Structure-2.0%-8.9%7.5%7.1%-0.4%
VWIV39.0%36.0%42.5%42.0%40.8%
Skew 25d2.6%1.1%3.6%1.3%3.5%
Skew 10d5.9%1.8%9.5%3.1%5.6%
Call IV 25d40.6%34.2%48.9%37.2%34.5%
Put IV 25d43.2%36.5%51.5%38.5%38.0%
Bid-Ask Spread %14.538.4233.709.2915.17
Gamma HHI0.170.100.360.180.16
Net GEX2.7M-146.5K12.3M883.6K3.3M
Net DEX-58.1M-242.7M18.2M-13.0M-242.7M
Net VEX-512.7K-645.8K-373.3K-393.4K-630.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.064.720.290.17
Total Volume16,270.7623,02547,1853,9798,869
Total OI166,958.667129,842226,484129,842226,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$22.83$23.0037.3%11.5%46.3%18.8%42.0%1.3%7.1%883.6K-13.0M-393.4K0.299.29N/AN/A3,09588476,51053,332
2014-01-03$22.68$23.0036.4%11.4%44.6%17.6%37.7%1.1%7.5%1.1M-10.5M-386.1K1.629.91N/AN/A1,3292,15277,12153,508
2014-01-06$22.53$23.0039.2%11.3%38.3%21.1%38.3%3.1%-2.0%884.0K-7.3M-373.3K0.9512.66N/AN/A13,70013,07476,96953,009
2014-01-07$23.10$23.0037.5%11.3%33.8%19.1%39.0%2.4%-1.1%1.4M-22.5M-429.6K0.7110.48N/AN/A5,7824,12685,06362,754
2014-01-08$23.31$23.0033.6%11.3%33.9%14.2%39.3%2.1%-1.1%1.2M-25.6M-437.8K1.0710.63N/AN/A2,2392,38786,15764,692
2014-01-09$22.75$23.0033.5%11.2%35.1%14.1%37.6%2.4%-1.0%979.4K-10.6M-420.7K0.598.42N/AN/A1,8971,12886,59965,304
2014-01-10$23.01$23.0030.9%11.3%30.5%11.0%42.5%2.4%-1.4%193.0K-18.2M-419.7K0.0610.73N/AN/A42,8572,65787,86966,097
2014-01-13$22.38$23.0037.1%11.1%32.4%18.6%37.2%2.5%-1.7%1.7M-17.3M-526.4K0.499.05N/AN/A7,5533,665119,97163,973
2014-01-14$22.46$23.0036.9%11.1%25.2%18.2%36.0%3.4%-2.8%1.1M-11.2M-489.6K1.2715.40N/AN/A6,5738,380103,39166,669
2014-01-15$21.93$23.0038.5%11.3%26.5%20.2%0.0%3.5%-2.7%575.8K4.4M-482.4K4.7215.21N/AN/A1,6617,843105,22772,506
2014-01-16$21.54$23.0041.9%11.0%24.5%24.4%36.8%3.6%-3.2%-146.5K18.2M-477.5K0.5915.19N/AN/A8,0004,701106,23377,166
2014-01-17$24.10$23.0043.0%11.3%47.7%25.8%38.3%2.7%-4.1%2.6M-77.5M-558.5K0.7814.39N/AN/A16,62112,922108,98478,274
2014-01-21$24.32$23.0043.9%11.1%47.1%26.8%39.6%3.0%-4.5%2.2M-64.7M-577.8K2.2913.40N/AN/A2,4395,59689,29556,051
2014-01-22$24.17$23.0043.9%11.1%47.1%26.8%41.6%2.1%-4.5%1.9M-59.5M-572.8K1.8117.36N/AN/A1,1562,08789,97258,796
2014-01-23$23.87$23.0044.9%11.5%47.1%28.0%0.0%2.6%-5.6%1.5M-46.7M-565.8K1.4615.60N/AN/A1,3681,99790,06460,344
2014-01-24$23.84$23.0046.9%11.3%47.1%30.6%37.4%2.9%-6.1%1.5M-48.6M-569.2K0.1015.53N/AN/A34,9153,32890,97959,525
2014-01-27$24.47$23.0050.1%11.1%48.0%34.4%39.4%2.6%-8.9%4.8M-97.1M-599.4K0.1122.06N/AN/A15,3891,630118,52557,828
2014-01-28$24.87$23.0048.3%11.4%47.4%32.2%40.5%3.4%-6.4%5.4M-119.1M-614.4K0.9033.70N/AN/A18,85516,949125,19558,757
2014-01-29$25.22$23.0035.3%11.1%47.2%16.3%38.1%1.9%0.0%10.9M-143.1M-595.8K0.8217.09N/AN/A25,89221,293134,85866,249
2014-01-30$26.03$23.0034.6%10.9%48.1%15.5%40.8%2.4%-0.2%12.3M-207.7M-645.8K0.6313.86N/AN/A2,8791,818147,55178,281
2014-01-31$26.40$23.0036.1%11.0%48.0%17.3%0.0%3.5%-0.4%3.3M-242.7M-630.7K0.1715.17N/AN/A7,5721,297147,90278,582