EA Options History — August 2014

In August 2014, EA traded between $33.31 and $38.16. ATM implied volatility averaged 24.9%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 8.0% (HV 20d: 32.9%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2014-08-20: Highest Volume — 19,482 contracts
  • 2014-08-18: Largest IV drop — 5.1% change
  • 2014-08-07: Highest IV Rank — 6.8%
  • 2014-08-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.10$33.31$38.16$33.71$37.84
Max Pain$34.29$34.00$35.00$35.00$35.00
ATM IV24.9%22.8%27.5%26.9%23.2%
Expected Move9.1%8.9%9.4%9.2%8.9%
HV 20d32.9%22.4%38.9%36.3%23.0%
HV 60d26.6%25.4%27.3%25.8%27.3%
IV Rank3.2%0.1%6.8%6.0%0.6%
IV Percentile8.9%0.4%19.4%16.7%2.4%
Term Structure0.3%-0.6%1.1%-0.5%1.1%
VWIV32.2%30.3%33.5%32.2%30.3%
Skew 25d1.7%0.5%3.7%1.3%2.1%
Skew 10d4.2%-0.5%12.0%2.9%12.0%
Call IV 25d24.8%22.6%27.5%26.8%22.6%
Put IV 25d26.5%24.0%30.1%28.1%24.7%
Bid-Ask Spread %6.365.457.155.456.82
Gamma HHI0.160.130.230.130.15
Net GEX3.1M-642.0K6.7M-34.6K4.0M
Net DEX-85.4M-178.7M8.6M-2.0M-133.0M
Net VEX-645.1K-790.6K-551.2K-556.0K-653.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.074.142.650.85
Total Volume5,188.0951,03219,4825,3643,704
Total OI145,447.286130,629157,381149,716140,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$33.71$35.0026.9%9.2%36.3%6.0%32.2%1.3%-0.5%-34.6K-2.0M-556.0K2.655.45N/AN/A1,4703,89488,49461,222
2014-08-04$34.18$34.0026.6%9.2%36.4%5.7%32.5%3.7%-0.3%91.0K-17.1M-596.0K0.935.99N/AN/A1,3801,27985,44361,805
2014-08-05$34.13$35.0027.1%9.3%35.5%6.3%32.5%0.9%-0.6%-725-15.6M-597.0K1.066.06N/AN/A71375686,17362,581
2014-08-06$34.27$34.0026.9%9.3%35.4%6.1%32.9%1.6%0.1%-54.0K-18.5M-594.2K0.976.23N/AN/A52450886,54063,028
2014-08-07$33.31$34.0027.5%9.4%36.4%6.8%32.4%1.5%0.3%-642.0K8.6M-551.2K2.076.51N/AN/A1,3022,69886,63363,293
2014-08-08$34.29$34.0026.9%9.4%38.1%6.1%33.4%2.3%0.2%342.4K-18.6M-585.5K0.366.70N/AN/A3,3661,20587,26062,539
2014-08-11$35.07$34.0026.6%9.3%38.6%5.7%32.6%1.9%0.2%1.1M-49.3M-610.5K0.186.86N/AN/A7,1521,25785,49258,718
2014-08-12$35.55$34.0026.8%9.3%38.9%5.9%32.5%2.1%-0.5%2.7M-75.1M-663.3K0.376.57N/AN/A4,5421,69991,22559,301
2014-08-13$36.41$34.0025.8%9.2%38.7%4.7%32.8%3.4%-0.4%4.8M-109.8M-664.1K2.446.82N/AN/A1,6884,12093,65860,261
2014-08-14$36.59$34.0025.1%9.2%38.8%3.9%33.5%1.1%-0.4%5.3M-112.9M-682.1K0.715.65N/AN/A1,6421,16893,26762,928
2014-08-15$36.14$34.0024.9%9.2%36.6%2.8%31.8%1.4%0.2%6.4M-95.4M-659.8K0.547.15N/AN/A2,4501,32593,87063,511
2014-08-18$36.67$34.0023.6%9.0%37.1%1.2%31.1%1.9%0.6%3.7M-101.3M-658.2K1.567.06N/AN/A1,3622,12377,24054,367
2014-08-19$37.01$34.0023.1%9.0%37.3%0.5%32.5%2.0%0.6%3.9M-111.6M-665.0K0.706.58N/AN/A3,1842,22077,99355,664
2014-08-20$37.56$34.0023.2%8.9%29.6%0.7%32.8%1.5%0.6%4.5M-132.6M-673.8K0.076.38N/AN/A18,1531,32980,00556,806
2014-08-21$37.76$34.0022.8%8.9%28.7%0.1%32.2%1.2%0.9%6.2M-165.0M-790.6K0.415.88N/AN/A2,13886794,95257,711
2014-08-22$38.16$34.0022.8%8.9%27.5%0.2%32.8%1.5%0.7%6.7M-178.7M-781.1K0.155.79N/AN/A10,6791,59095,68158,216
2014-08-25$37.62$34.0023.5%8.9%26.0%1.0%32.1%0.5%-0.0%4.2M-121.4M-611.1K0.546.72N/AN/A5,9093,17573,48657,143
2014-08-26$37.56$35.0022.9%8.9%24.4%0.3%30.4%1.8%1.1%4.1M-124.6M-645.5K0.316.14N/AN/A2,38473278,37459,509
2014-08-27$37.22$35.0023.4%8.9%24.9%1.0%31.2%1.1%0.9%3.8M-113.5M-654.4K4.146.32N/AN/A4211,74379,40159,653
2014-08-28$37.10$35.0023.4%9.0%22.4%1.0%32.1%1.8%0.7%3.5M-106.7M-654.4K1.085.87N/AN/A52857179,45660,883
2014-08-29$37.84$35.0023.2%8.9%23.0%0.6%30.3%2.1%1.1%4.0M-133.0M-653.4K0.856.82N/AN/A2,0031,70179,60061,011