EA Options History — May 2014

In May 2014, EA traded between $28.05 and $35.31. ATM implied volatility averaged 27.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 33.3% (HV 20d: 61.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-05-06: Highest Volume — 30,055 contracts
  • 2014-05-07: Largest IV drop — 25.6% change
  • 2014-05-01: Highest IV Rank — 21.0%
  • 2014-05-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.47$28.05$35.31$28.74$35.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.8%23.8%39.1%39.1%24.6%
Expected Move9.7%9.5%10.1%9.9%9.5%
HV 20d61.1%21.7%71.9%21.8%70.6%
HV 60d40.1%21.6%44.6%21.6%44.2%
IV Rank7.2%2.3%21.0%21.0%3.2%
IV Percentile14.2%0.8%68.3%68.3%2.8%
Term Structure-0.1%-2.4%1.3%-2.4%0.0%
VWIV33.9%31.7%37.3%37.3%32.4%
Skew 25d1.6%-0.4%3.4%1.8%1.8%
Skew 10d4.4%-2.1%15.2%13.1%4.1%
Call IV 25d27.4%23.7%38.9%38.9%24.1%
Put IV 25d29.0%24.8%40.9%40.7%25.9%
Bid-Ask Spread %6.444.1912.736.874.19
Gamma HHI0.130.070.260.180.12
Net GEX512.6K-1.8M2.1M552.1K834.6K
Net DEX-122.2M-206.1M-26.3M-44.3M-123.6M
Net VEX-344.4K-396.7K-266.5K-383.9K-337.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.222.942.881.57
Total Volume8,575.1431,72130,0557,0202,483
Total OI123,247.81107,322152,768107,322116,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$28.74$30.0039.1%9.9%21.8%21.0%37.3%1.8%-2.4%552.1K-44.3M-383.9K2.886.87N/AN/A1,8095,21152,14355,179
2014-05-02$28.50$30.0038.5%10.1%21.7%20.3%33.0%2.0%-2.3%169.0K-35.9M-396.7K0.226.85N/AN/A3,60077952,45457,498
2014-05-05$28.76$30.0038.4%9.9%21.7%20.1%35.5%2.5%-1.6%686.8K-43.9M-388.4K2.948.26N/AN/A7872,31653,01055,176
2014-05-06$28.05$30.0037.3%10.0%23.3%18.8%32.6%3.4%-2.4%506.3K-26.3M-377.0K0.9112.73N/AN/A15,74314,31253,56555,427
2014-05-07$33.95$30.0027.8%9.7%71.9%7.1%35.2%1.4%-0.3%1.2M-183.1M-266.5K0.5510.42N/AN/A17,3989,54963,64964,946
2014-05-08$34.28$30.0026.7%9.7%71.1%5.9%34.0%1.7%0.4%2.1M-189.3M-281.8K1.248.08N/AN/A10,06012,51767,05668,355
2014-05-09$35.12$30.0026.9%9.7%69.3%6.1%33.7%1.9%0.2%1.8M-206.1M-319.2K0.816.95N/AN/A8,4056,81972,93576,315
2014-05-12$35.31$30.0025.9%9.7%68.3%4.9%34.4%1.0%0.7%869.5K-186.0M-313.4K2.246.16N/AN/A2,6695,98368,99067,486
2014-05-13$35.04$30.0026.0%9.7%68.6%5.0%32.8%1.8%0.5%567.9K-178.7M-331.2K2.596.70N/AN/A2,5076,49770,07269,688
2014-05-14$34.13$30.0025.5%9.6%70.0%4.4%32.2%-0.4%1.1%-249.5K-149.9M-365.2K0.946.63N/AN/A3,5403,32371,63973,925
2014-05-15$33.79$30.0025.4%9.6%70.4%4.3%32.2%1.8%1.3%150.3K-141.1M-362.6K1.146.16N/AN/A5,7626,58873,17373,507
2014-05-16$34.44$30.0024.8%9.6%70.3%3.5%36.4%1.9%1.0%-1.8M-165.5M-356.3K0.404.58N/AN/A5,1052,01775,94476,824
2014-05-19$34.57$30.0024.4%9.6%70.3%3.1%36.1%1.7%0.7%103.2K-107.2M-350.9K0.704.43N/AN/A2,6661,86054,35454,430
2014-05-20$34.38$30.0025.0%9.6%70.5%3.8%32.3%1.3%0.1%246.8K-104.7M-343.8K0.415.65N/AN/A1,96180656,14955,665
2014-05-21$34.60$30.0024.3%9.6%70.5%3.0%35.2%1.4%0.7%251.1K-109.9M-360.9K0.575.31N/AN/A1,09362857,48156,197
2014-05-22$34.57$30.0023.8%9.5%70.5%2.3%32.5%1.1%1.1%174.5K-109.8M-352.9K0.625.04N/AN/A1,7331,08157,53856,182
2014-05-23$34.88$30.0024.0%9.5%70.4%2.6%33.3%1.3%0.5%964.9K-119.1M-332.4K1.765.38N/AN/A1,6312,87758,46456,842
2014-05-27$35.08$30.0024.9%9.5%70.3%3.6%35.7%1.9%-0.3%695.7K-119.5M-330.0K1.114.62N/AN/A9511,05356,26655,735
2014-05-28$34.70$30.0025.1%9.5%70.5%3.9%31.7%1.9%-0.2%425.1K-111.4M-329.3K0.404.95N/AN/A1,81172256,59556,506
2014-05-29$34.76$30.0024.9%9.5%70.6%3.7%34.3%1.5%-0.2%588.5K-111.2M-351.7K0.945.35N/AN/A1,7681,65857,51656,942
2014-05-30$35.13$30.0024.6%9.5%70.6%3.2%32.4%1.8%0.0%834.6K-123.6M-337.9K1.574.19N/AN/A9681,51558,43657,950