EA Options History — June 2014

In June 2014, EA traded between $34.56 and $37.15. ATM implied volatility averaged 26.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.9% (HV 20d: 24.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-06-04: Highest Volume — 10,245 contracts
  • 2014-06-23: Largest IV spike — 21.0% change
  • 2014-06-30: Highest IV Rank — 20.5%
  • 2014-06-16: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.84$34.56$37.15$34.56$35.87
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.8%22.6%38.7%25.4%38.7%
Expected Move9.5%9.4%9.7%9.5%9.5%
HV 20d24.9%14.0%70.9%70.9%17.1%
HV 60d44.2%43.7%44.6%44.4%43.8%
IV Rank5.9%0.9%20.5%4.2%20.5%
IV Percentile15.0%0.4%73.0%5.2%73.0%
Term Structure2.9%-2.7%10.0%-0.1%-2.7%
VWIV33.2%31.4%36.9%34.0%31.4%
Skew 25d2.1%1.2%3.2%1.7%3.1%
Skew 10d4.1%0.8%11.2%2.3%11.2%
Call IV 25d26.6%20.9%37.7%25.2%37.7%
Put IV 25d28.7%22.9%40.8%26.8%40.8%
Bid-Ask Spread %7.294.4611.425.366.57
Gamma HHI0.140.080.250.100.09
Net GEX1.4M76.7K2.3M435.3K76.7K
Net DEX-111.4M-170.2M-40.3M-104.3M-40.3M
Net VEX-351.5K-378.8K-327.6K-343.1K-327.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.202.141.310.94
Total Volume4,026.38194910,2455,8289,399
Total OI108,322.14376,053124,864113,52176,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$34.56$30.0025.4%9.5%70.9%4.2%34.0%1.7%-0.1%435.3K-104.3M-343.1K1.315.36N/AN/A2,5183,31056,63556,886
2014-06-03$34.73$30.0024.9%9.5%70.9%3.7%34.5%1.7%0.0%576.2K-109.2M-362.5K0.205.20N/AN/A2,08642558,42558,574
2014-06-04$34.95$30.0026.0%9.6%69.8%5.0%32.9%1.7%-0.1%753.3K-118.1M-358.8K0.385.21N/AN/A7,4472,79860,15558,934
2014-06-05$34.78$30.0024.9%9.6%18.9%3.6%32.1%1.8%-0.4%854.0K-115.0M-362.7K0.565.78N/AN/A4,1422,31662,99960,419
2014-06-06$34.85$30.0025.1%9.6%18.6%3.9%34.5%2.3%-0.3%1.0M-114.9M-378.4K0.406.01N/AN/A1,40356363,01860,761
2014-06-09$34.91$30.0025.6%9.5%16.4%4.5%32.7%3.2%-1.1%1.1M-116.8M-367.5K0.548.78N/AN/A2,8091,52559,85257,723
2014-06-10$35.70$30.0024.5%9.6%18.2%3.2%34.6%3.1%-0.9%1.3M-138.2M-363.2K0.327.96N/AN/A6,2051,97260,95358,832
2014-06-11$35.51$30.0025.1%9.6%18.1%3.9%32.0%2.5%-1.5%1.4M-134.4M-364.9K0.444.94N/AN/A1,16050663,09960,240
2014-06-12$35.23$30.0024.9%9.6%15.4%3.6%0.0%1.2%-0.4%1.7M-128.1M-378.8K0.314.46N/AN/A2,01062563,49260,245
2014-06-13$35.68$30.0023.9%9.6%15.3%2.5%32.8%2.4%-0.9%2.1M-145.0M-356.0K0.657.59N/AN/A1,07069164,48460,380
2014-06-16$35.70$30.0024.0%9.7%14.0%2.6%33.7%1.7%8.2%1.8M-133.8M-351.7K0.5410.04N/AN/A68236960,44656,326
2014-06-17$36.79$30.0023.5%9.6%17.3%1.9%33.6%1.4%9.3%1.7M-159.7M-349.5K0.456.89N/AN/A6,2892,80460,60756,566
2014-06-18$37.15$30.0022.9%9.6%17.1%1.2%31.9%1.8%9.9%2.3M-170.2M-328.7K0.977.88N/AN/A2,3682,29462,66157,932
2014-06-19$37.07$30.0022.6%9.6%17.2%0.9%36.9%1.3%9.8%2.0M-164.9M-347.3K1.098.87N/AN/A65170763,21759,553
2014-06-20$37.14$30.0023.9%9.5%17.1%2.4%33.3%1.9%10.0%2.2M-165.6M-343.1K1.2211.42N/AN/A1,7252,11363,34160,054
2014-06-23$36.90$30.0028.9%9.5%17.4%8.5%33.0%2.2%3.9%1.7M-66.1M-339.6K0.937.85N/AN/A96590136,05941,236
2014-06-24$36.36$30.0030.2%9.5%18.4%10.1%32.1%2.7%4.7%1.4M-56.5M-331.7K1.157.59N/AN/A80692436,09241,721
2014-06-25$36.51$30.0031.2%9.5%17.8%11.3%0.0%2.4%4.6%1.5M-58.7M-343.7K0.858.05N/AN/A69959236,42441,971
2014-06-26$36.27$30.0032.3%9.4%18.1%12.7%31.8%2.8%4.8%1.4M-53.0M-344.7K1.209.05N/AN/A43151836,72642,235
2014-06-27$35.89$30.0033.5%9.5%18.3%14.1%32.1%2.1%4.9%1.8M-45.6M-337.3K2.147.64N/AN/A1,1912,54536,98142,458
2014-06-30$35.87$30.0038.7%9.5%17.1%20.5%31.4%3.1%-2.7%76.7K-40.3M-327.6K0.946.57N/AN/A4,8374,56233,64442,409