EA Options History — July 2014

In July 2014, EA traded between $33.60 and $38.42. ATM implied volatility averaged 34.6%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.6% (HV 20d: 25.0%). Max pain ranged from $30.00 to $42.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-07-30: Highest Volume — 45,277 contracts
  • 2014-07-23: Largest IV drop — 37.7% change
  • 2014-07-09: Highest IV Rank — 22.5%
  • 2014-07-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.25$33.60$38.42$36.41$33.60
Max Pain$33.71$30.00$42.00$30.00$35.00
ATM IV34.6%23.4%40.3%38.0%26.9%
Expected Move9.3%8.6%9.6%9.4%9.1%
HV 20d25.0%17.7%36.4%17.7%36.4%
HV 60d44.3%42.9%46.9%43.7%46.9%
IV Rank15.5%1.8%22.5%19.6%6.1%
IV Percentile52.3%1.2%77.0%70.2%16.7%
Term Structure-1.5%-4.2%0.3%-1.8%-0.4%
VWIV32.7%29.2%36.6%35.3%31.8%
Skew 25d2.2%0.8%3.6%2.5%1.3%
Skew 10d3.7%-2.6%10.9%10.0%0.4%
Call IV 25d33.9%22.6%40.4%37.5%26.4%
Put IV 25d36.1%24.3%42.9%40.0%27.7%
Bid-Ask Spread %8.335.2525.535.935.81
Gamma HHI0.150.110.210.110.13
Net GEX2.2M-602.1K6.4M240.5K52.1K
Net DEX-67.6M-166.9M1.1M-52.6M1.1M
Net VEX-448.3K-538.8K-342.0K-342.0K-538.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.051.661.051.27
Total Volume11,677.0911,16745,2772,6804,601
Total OI119,175.09182,656156,44782,656148,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$36.41$30.0038.0%9.4%17.7%19.6%35.3%2.5%-1.8%240.5K-52.6M-342.0K1.055.93N/AN/A1,3061,37436,61546,041
2014-07-02$36.76$30.0038.0%9.4%17.9%19.7%32.2%2.9%-2.6%264.6K-59.4M-350.3K0.527.55N/AN/A5,0512,64137,05646,781
2014-07-03$36.92$30.0038.5%9.4%17.7%20.2%34.5%1.8%-2.7%-59.3K-63.0M-354.4K1.045.25N/AN/A1,2631,30939,30048,738
2014-07-07$36.16$30.0039.4%9.4%19.6%21.4%32.3%1.9%-3.0%679.6K-47.6M-363.9K1.627.94N/AN/A8021,29637,29146,759
2014-07-08$35.29$30.0039.5%9.5%21.7%21.4%34.5%2.0%-2.9%145.8K-30.0M-365.1K0.747.75N/AN/A2,2981,70937,60347,657
2014-07-09$35.52$30.0040.3%9.5%20.2%22.5%33.8%1.5%-3.2%286.8K-34.6M-355.6K0.069.39N/AN/A23,2001,28538,86648,657
2014-07-10$35.85$30.0040.1%9.6%20.4%22.2%32.7%1.9%-3.5%2.2M-65.6M-476.7K0.876.70N/AN/A1,2641,09660,79549,588
2014-07-11$35.97$30.0039.8%9.6%20.2%21.8%36.6%3.0%-4.2%1.8M-68.0M-477.5K1.6610.27N/AN/A43972861,32350,235
2014-07-14$36.55$30.0039.8%9.5%20.5%21.9%36.0%2.3%-0.4%3.0M-82.6M-479.4K0.696.14N/AN/A3,6222,49859,75649,562
2014-07-15$36.18$30.0039.4%9.5%20.9%21.3%31.0%2.2%-0.3%2.8M-72.7M-474.7K0.117.78N/AN/A17,7081,88260,97350,596
2014-07-16$37.12$30.0039.1%9.5%20.1%21.0%35.3%2.6%-1.5%5.9M-124.0M-511.5K0.978.44N/AN/A7,2227,03977,45551,858
2014-07-17$37.06$30.0039.5%9.6%19.8%21.4%33.3%2.4%-1.0%5.4M-118.2M-508.3K0.3410.21N/AN/A6,2182,11276,52153,032
2014-07-18$38.38$30.0038.5%9.6%23.4%20.3%32.3%3.4%-1.7%6.4M-166.9M-513.6K0.5511.58N/AN/A7,5604,16180,73054,446
2014-07-21$38.42$0.0039.3%9.4%23.4%21.3%33.1%3.6%-2.3%5.7M-147.3M-511.4K0.736.87N/AN/A7,0645,13977,33350,983
2014-07-22$38.42$42.0038.3%9.2%23.2%20.0%31.6%3.4%-2.4%6.2M-152.9M-520.1K0.7425.53N/AN/A15,71311,63282,49153,749
2014-07-23$36.04$42.0023.9%8.6%32.6%2.4%29.8%0.9%-0.2%3.9M-47.9M-448.6K0.527.26N/AN/A18,3509,61193,74762,151
2014-07-24$36.84$42.0023.4%8.6%33.5%1.8%29.2%2.2%-0.0%3.8M-73.4M-479.2K0.776.82N/AN/A4,8413,72589,81764,262
2014-07-25$36.04$42.0023.7%8.7%34.4%2.2%30.0%2.3%0.0%-602.1K-43.4M-468.2K0.866.39N/AN/A2,7752,40091,69864,749
2014-07-28$35.09$40.0024.7%8.7%35.5%3.5%30.3%1.4%0.3%852.6K-24.1M-431.2K1.346.24N/AN/A1,9582,62371,80555,656
2014-07-29$34.34$40.0026.1%9.1%36.2%5.1%31.2%0.8%-0.3%49.8K-5.4M-423.6K0.897.00N/AN/A7,4796,62572,66856,924
2014-07-30$34.50$35.0024.9%9.1%35.7%3.7%0.0%1.3%0.1%499.9K-9.1M-468.3K0.056.48N/AN/A43,0962,18177,42460,155
2014-07-31$33.60$35.0026.9%9.1%36.4%6.1%31.8%1.3%-0.4%52.1K1.1M-538.8K1.275.81N/AN/A2,0292,57287,36060,646