EA Options History — February 2014 In February 2014, EA traded between $26.08 and $28.59. ATM implied volatility averaged 32.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.8% (HV 20d: 35.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.92.
Notable Days 2014-02-04 : Highest Volume — 22,364 contracts2014-02-18 : Largest IV spike — 5.2% change2014-02-03 : Highest IV Rank — 18.2%2014-02-06 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $27.52 $26.08 $28.59 $26.08 $28.59 Max Pain $23.74 $23.00 $25.00 $23.00 $25.00 ATM IV 32.6% 30.5% 36.8% 36.8% 30.6% Expected Move 10.8% 10.6% 11.1% 10.8% 10.6% HV 20d 35.4% 20.3% 48.2% 48.2% 20.3% HV 60d 41.8% 39.8% 44.0% 43.7% 39.8% IV Rank 13.1% 10.5% 18.2% 18.2% 10.6% IV Percentile 22.1% 11.9% 51.6% 51.6% 12.3% Term Structure 0.1% -1.0% 0.9% -1.0% 0.1% VWIV 37.8% 35.4% 41.4% 39.4% 39.5% Skew 25d 2.1% 1.5% 2.6% 2.2% 1.7% Skew 10d 6.1% 3.1% 14.9% 5.4% 3.7% Call IV 25d 32.1% 30.0% 36.4% 36.4% 30.3% Put IV 25d 34.2% 32.0% 38.6% 38.6% 32.0% Bid-Ask Spread % 7.02 3.73 14.13 13.37 4.85 Gamma HHI 0.18 0.13 0.25 0.15 0.22 Net GEX 2.8M 2.3M 3.8M 3.0M 2.5M Net DEX -137.4M -185.5M -100.1M -113.1M -114.5M Net VEX -488.4K -634.6K -420.2K -634.6K -430.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.04 2.89 0.30 0.58 Total Volume 4,912.053 969 22,364 6,012 1,482 Total OI 160,849.158 119,872 178,705 176,097 128,242
Daily Data (19 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 2014-02-03 $26.08 $23.00 36.8% 10.8% 48.2% 18.2% 0.0% 2.2% -1.0% 3.0M -113.1M -634.6K 0.30 13.37 N/A N/A 4,623 1,389 103,158 72,939 2014-02-04 $26.18 $23.00 35.9% 10.9% 48.0% 17.1% 39.4% 2.2% -0.2% 3.3M -122.5M -624.4K 0.04 14.13 N/A N/A 21,464 900 105,168 73,537 2014-02-05 $26.16 $23.00 35.8% 10.8% 47.6% 17.0% 41.4% 2.3% -0.5% 2.7M -104.5M -554.9K 0.54 9.46 N/A N/A 1,919 1,042 92,625 73,887 2014-02-06 $26.46 $23.00 35.6% 11.1% 47.6% 16.7% 0.0% 2.6% 0.8% 2.9M -116.4M -544.0K 0.74 13.54 N/A N/A 2,865 2,108 93,046 74,049 2014-02-07 $27.20 $23.00 34.0% 10.8% 46.8% 14.7% 40.4% 2.5% 0.2% 3.1M -145.9M -517.7K 1.38 6.75 N/A N/A 4,976 6,889 94,029 74,413 2014-02-10 $26.88 $23.00 33.9% 10.8% 47.3% 14.7% 0.0% 2.6% -0.2% 2.8M -130.8M -523.9K 1.06 7.38 N/A N/A 2,205 2,346 94,794 78,327 2014-02-11 $27.41 $23.00 32.7% 10.8% 45.6% 13.2% 36.4% 2.3% 0.2% 2.9M -152.7M -503.3K 0.77 4.35 N/A N/A 2,358 1,804 95,612 79,226 2014-02-12 $27.86 $23.00 31.9% 10.9% 45.5% 12.2% 37.6% 2.3% 0.0% 3.0M -169.5M -486.8K 1.24 4.94 N/A N/A 2,183 2,717 96,125 79,327 2014-02-13 $27.56 $23.00 31.7% 10.8% 44.4% 12.0% 35.9% 2.4% 0.2% 2.9M -158.1M -491.4K 0.63 3.73 N/A N/A 1,253 786 96,557 81,710 2014-02-14 $27.58 $23.00 30.5% 10.8% 43.3% 10.5% 38.0% 2.4% 0.4% 3.8M -161.2M -477.9K 1.01 5.34 N/A N/A 3,497 3,518 96,335 81,964 2014-02-18 $28.40 $23.00 32.1% 10.8% 23.3% 12.4% 39.7% 1.8% 0.5% 2.4M -185.5M -444.9K 0.42 4.91 N/A N/A 1,410 596 95,203 80,419 2014-02-19 $27.91 $23.00 32.1% 10.8% 25.0% 12.5% 0.0% 1.8% 0.3% 2.4M -171.7M -452.2K 0.87 6.88 N/A N/A 1,328 1,152 95,252 80,639 2014-02-20 $27.79 $25.00 31.5% 10.8% 24.9% 11.8% 35.6% 1.5% 0.7% 2.4M -165.4M -450.4K 1.26 5.26 N/A N/A 428 541 94,344 79,944 2014-02-21 $28.00 $25.00 31.1% 10.8% 23.8% 11.2% 35.5% 1.7% 0.9% 3.8M -172.8M -439.3K 0.65 5.31 N/A N/A 1,256 817 94,478 80,296 2014-02-24 $27.96 $25.00 31.0% 10.8% 23.8% 11.1% 35.9% 2.0% 0.2% 2.3M -100.1M -423.4K 1.04 5.78 N/A N/A 1,135 1,186 68,068 51,804 2014-02-25 $28.10 $25.00 30.8% 10.8% 22.8% 10.9% 0.0% 2.1% -0.0% 2.4M -103.6M -427.5K 1.64 6.45 N/A N/A 1,149 1,880 68,491 52,763 2014-02-26 $28.27 $25.00 31.0% 10.8% 22.5% 11.1% 39.1% 2.0% -0.4% 2.5M -109.5M -420.2K 2.89 6.73 N/A N/A 1,702 4,922 69,017 52,965 2014-02-27 $28.54 $25.00 30.8% 10.6% 22.4% 10.9% 35.4% 1.9% -0.0% 2.5M -112.2M -432.0K 0.43 4.14 N/A N/A 1,050 453 69,984 57,397 2014-02-28 $28.59 $25.00 30.6% 10.6% 20.3% 10.6% 39.5% 1.7% 0.1% 2.5M -114.5M -430.0K 0.58 4.85 N/A N/A 939 543 70,558 57,684
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