EA Options History — September 2014

In September 2014, EA traded between $35.61 and $38.04. ATM implied volatility averaged 26.6%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.9% (HV 20d: 20.7%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2014-09-16: Highest Volume — 6,701 contracts
  • 2014-09-29: Largest IV spike — 20.1% change
  • 2014-09-30: Highest IV Rank — 20.5%
  • 2014-09-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.98$35.61$38.04$38.01$35.61
Max Pain$36.48$35.00$37.00$35.00$36.00
ATM IV26.6%23.4%39.3%24.2%39.3%
Expected Move9.1%8.9%9.4%9.0%9.4%
HV 20d20.7%16.8%23.8%22.8%21.4%
HV 60d27.5%26.6%28.3%27.3%27.9%
IV Rank4.9%0.9%20.5%1.9%20.5%
IV Percentile22.1%3.2%74.6%8.3%74.6%
Term Structure2.9%-1.6%13.5%0.3%-1.3%
VWIV32.1%30.8%33.4%32.1%32.9%
Skew 25d1.6%-2.2%4.1%3.1%2.2%
Skew 10d3.7%-8.8%8.1%4.4%7.7%
Call IV 25d26.8%23.1%40.9%23.1%39.7%
Put IV 25d28.4%24.1%44.3%26.2%42.0%
Bid-Ask Spread %7.545.769.406.728.05
Gamma HHI0.180.120.380.160.12
Net GEX2.9M539.5K4.8M4.2M726.3K
Net DEX-86.5M-133.0M-31.2M-133.0M-31.2M
Net VEX-596.9K-649.9K-536.2K-642.4K-536.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.223.440.930.90
Total Volume2,206.6193376,7012,034539
Total OI130,825.667105,624150,210136,859108,589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$38.01$35.0024.2%9.0%22.8%1.9%32.1%3.1%0.3%4.2M-133.0M-642.4K0.936.72N/AN/A1,05398176,91359,946
2014-09-03$37.89$35.0024.2%9.0%22.8%1.9%32.4%0.9%0.3%4.1M-130.3M-636.9K1.706.81N/AN/A5971,01777,29260,533
2014-09-04$37.36$35.0024.1%9.0%23.8%1.9%30.9%-2.1%-0.5%3.4M-111.0M-626.0K1.417.71N/AN/A2,1883,08277,07161,340
2014-09-05$37.69$35.0023.9%8.9%20.5%1.6%33.3%2.2%0.7%3.4M-118.4M-649.9K0.675.76N/AN/A78052378,27963,904
2014-09-08$38.00$35.0025.0%9.0%18.7%3.0%31.0%4.1%-0.0%4.2M-129.4M-626.4K0.826.40N/AN/A1,2491,01877,05662,806
2014-09-09$37.45$37.0025.1%9.0%18.7%3.0%33.0%-0.5%0.8%3.8M-112.2M-629.1K3.447.35N/AN/A5842,00777,77263,617
2014-09-10$37.81$37.0023.4%9.0%18.5%0.9%30.8%3.6%1.1%3.5M-119.9M-634.6K0.566.29N/AN/A1,43480178,07865,391
2014-09-11$38.04$37.0024.9%9.0%16.8%2.8%31.0%3.9%-0.5%4.0M-130.1M-632.7K1.416.92N/AN/A36751678,77365,967
2014-09-12$37.16$37.0025.4%9.1%19.1%3.4%31.1%0.7%-0.0%2.7M-96.9M-624.5K0.706.77N/AN/A3,1562,21378,96866,325
2014-09-15$36.53$37.0026.4%9.2%19.6%4.6%32.1%1.8%0.2%2.7M-77.8M-614.2K0.826.92N/AN/A1,2691,04478,66466,010
2014-09-16$37.02$37.0025.6%9.2%19.5%3.7%32.0%1.7%0.4%4.0M-96.6M-612.1K1.048.11N/AN/A3,2833,41879,24766,133
2014-09-17$36.41$37.0025.4%9.2%20.1%3.4%31.6%1.3%-0.6%3.1M-74.2M-621.6K0.819.24N/AN/A99680381,50968,701
2014-09-18$37.25$37.0025.0%9.1%21.1%2.9%33.1%1.6%1.2%4.8M-96.5M-579.5K0.226.05N/AN/A92520174,58768,680
2014-09-19$36.71$37.0024.2%9.0%21.5%2.0%31.1%1.3%-0.4%4.8M-74.1M-567.8K0.589.40N/AN/A83047874,52768,731
2014-09-22$36.61$37.0025.6%9.1%21.1%3.7%32.1%2.4%10.1%1.3M-54.2M-561.4K0.438.61N/AN/A96241253,04852,576
2014-09-23$36.67$37.0025.6%9.1%20.6%3.6%32.7%1.5%13.0%1.5M-57.3M-554.9K1.367.44N/AN/A28738953,50152,823
2014-09-24$36.87$37.0024.9%9.0%20.8%2.8%32.3%1.7%13.5%1.6M-60.9M-551.9K1.447.30N/AN/A13819953,59253,032
2014-09-25$35.82$37.0028.1%9.2%22.9%6.7%33.4%-2.2%11.9%776.2K-38.2M-541.7K1.479.39N/AN/A1,3401,96953,67753,124
2014-09-26$35.96$37.0031.0%9.2%23.0%10.3%31.9%1.9%13.1%539.5K-39.5M-552.5K0.358.20N/AN/A86229854,69854,531
2014-09-29$35.78$37.0037.3%9.3%21.5%18.0%32.9%3.4%-1.6%981.9K-35.7M-538.0K1.868.92N/AN/A7441,38753,95553,373
2014-09-30$35.61$36.0039.3%9.4%21.4%20.5%32.9%2.2%-1.3%726.3K-31.2M-536.2K0.908.05N/AN/A28425554,23554,354