EA Options History — March 2014

In March 2014, EA traded between $28.09 and $30.25. ATM implied volatility averaged 29.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.7% (HV 20d: 20.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2014-03-24: Highest Volume — 28,658 contracts
  • 2014-03-11: Largest IV drop — 9.5% change
  • 2014-03-10: Highest IV Rank — 13.7%
  • 2014-03-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.35$28.09$30.25$28.09$29.01
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV29.8%26.7%33.1%32.9%28.7%
Expected Move10.5%10.2%10.8%10.8%10.2%
HV 20d20.1%15.5%22.2%21.5%21.7%
HV 60d33.8%31.7%39.9%39.9%32.5%
IV Rank9.7%5.9%13.7%13.4%8.3%
IV Percentile11.7%2.0%30.2%27.4%7.5%
Term Structure0.3%-0.8%9.3%-0.8%9.3%
VWIV37.2%34.6%39.3%39.3%37.7%
Skew 25d2.1%0.4%3.1%2.2%1.7%
Skew 10d3.5%-1.0%6.9%-1.0%3.5%
Call IV 25d29.4%26.3%32.5%32.1%28.0%
Put IV 25d31.4%28.5%34.7%34.3%29.7%
Bid-Ask Spread %4.822.997.857.855.44
Gamma HHI0.200.110.350.220.11
Net GEX1.3M-1.2M2.4M2.3M276.9K
Net DEX-106.5M-155.0M-32.2M-98.1M-44.6M
Net VEX-405.5K-470.3K-356.3K-432.2K-452.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.146.516.512.11
Total Volume5,348.66798028,6584,5065,702
Total OI125,901.95277,335144,243125,827105,583

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$28.09$25.0032.9%10.8%21.5%13.4%39.3%2.2%-0.8%2.3M-98.1M-432.2K6.517.85N/AN/A6003,90669,25056,577
2014-03-04$28.81$25.0030.6%10.6%22.0%10.6%38.7%1.9%0.0%2.1M-114.5M-408.2K2.055.20N/AN/A6181,26869,50058,785
2014-03-05$29.09$25.0031.3%10.6%22.1%11.5%37.9%1.6%-0.2%2.1M-121.2M-403.9K0.145.11N/AN/A3,02441269,48559,298
2014-03-06$29.21$25.0032.9%10.6%22.0%13.4%38.8%1.4%-0.5%2.3M-127.8M-409.4K4.516.65N/AN/A1,3065,89471,63559,412
2014-03-07$29.38$25.0032.1%10.6%21.9%12.5%38.0%2.5%0.1%1.1M-126.9M-403.2K1.063.70N/AN/A3,9184,14571,95064,166
2014-03-10$29.21$25.0033.1%10.6%20.5%13.7%36.9%2.8%-0.5%1.1M-113.5M-404.6K1.353.68N/AN/A2,2523,04671,95065,852
2014-03-11$29.80$25.0029.9%10.5%20.5%9.8%37.2%2.4%-0.1%438.5K-133.5M-393.0K2.135.12N/AN/A4,0288,56373,71467,714
2014-03-12$29.98$25.0030.1%10.6%19.7%10.0%36.5%2.0%-0.7%1.2M-143.3M-389.8K4.604.72N/AN/A1,2035,53475,37367,364
2014-03-13$29.71$25.0030.5%10.6%19.8%10.5%0.0%2.5%-0.7%516.3K-134.0M-398.8K1.524.94N/AN/A9441,43475,67868,475
2014-03-14$29.60$25.0030.4%10.6%19.3%10.4%37.9%2.3%-0.6%2.1M-133.4M-394.6K0.303.28N/AN/A4,3361,31776,01668,227
2014-03-17$30.10$25.0029.6%10.5%19.8%9.4%38.0%2.6%-0.4%2.4M-147.8M-368.2K0.813.70N/AN/A1,15993571,76961,978
2014-03-18$30.24$25.0028.3%10.5%17.5%7.8%39.0%2.1%0.2%2.2M-152.4M-362.8K0.602.99N/AN/A1,6791,00272,11862,584
2014-03-19$30.23$25.0027.8%10.5%15.8%7.2%38.8%2.0%0.7%2.0M-154.3M-362.2K1.013.80N/AN/A48749373,03363,191
2014-03-20$30.25$25.0027.4%10.5%15.5%6.7%35.5%2.3%0.4%1.6M-155.0M-359.3K0.373.77N/AN/A1,42853572,80963,192
2014-03-21$29.75$25.0026.7%10.5%17.1%5.9%34.6%2.2%0.6%1.2M-143.5M-360.0K0.865.81N/AN/A93880773,09763,226
2014-03-24$29.00$25.0029.0%10.4%19.9%8.7%35.1%3.1%0.1%935.1K-38.6M-356.3K0.965.05N/AN/A14,62514,03339,42337,912
2014-03-25$29.29$25.0029.4%10.4%20.1%9.1%36.4%2.4%-0.1%1.0M-52.2M-462.7K0.454.33N/AN/A68731052,82050,912
2014-03-26$28.57$25.0030.1%10.4%22.2%10.0%36.4%1.8%-0.6%699.5K-36.8M-457.2K1.325.62N/AN/A1,0661,40353,13951,140
2014-03-27$28.48$25.0028.1%10.6%21.9%7.6%35.0%1.7%0.0%250.3K-33.7M-465.8K3.004.29N/AN/A1,2193,66253,80052,188
2014-03-28$28.53$25.0027.6%10.4%21.9%7.0%36.0%0.4%0.5%-1.2M-32.2M-470.3K1.376.13N/AN/A1,0151,38954,41055,196
2014-03-31$29.01$25.0028.7%10.2%21.7%8.3%37.7%1.7%9.3%276.9K-44.6M-452.4K2.115.44N/AN/A1,8333,86951,78853,795