EA Options History — November 2014

In November 2014, EA traded between $40.66 and $43.99. ATM implied volatility averaged 26.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.4% (HV 20d: 26.9%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2014-11-13: Highest Volume — 11,677 contracts
  • 2014-11-26: Largest IV drop — 5.3% change
  • 2014-11-03: Highest IV Rank — 24.4%
  • 2014-11-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$40.66$43.99$40.98$43.93
Max Pain$36.79$35.00$39.00$35.00$39.00
ATM IV26.5%22.9%29.7%29.7%23.8%
Expected Move9.0%8.6%9.3%9.3%8.8%
HV 20d26.9%17.0%39.7%39.7%17.0%
HV 60d27.9%27.4%28.6%28.6%27.8%
IV Rank13.4%0.8%24.4%24.4%4.0%
IV Percentile24.5%2.0%36.1%36.1%6.7%
Term Structure0.1%-1.5%1.8%-0.5%0.1%
VWIV32.4%30.9%33.5%32.9%32.1%
Skew 25d3.1%2.0%5.0%3.5%2.3%
Skew 10d5.4%-0.3%7.7%4.9%-0.3%
Call IV 25d25.8%22.2%29.3%28.8%24.0%
Put IV 25d28.9%25.5%32.3%32.3%26.3%
Bid-Ask Spread %7.366.119.057.689.05
Gamma HHI0.120.090.190.120.09
Net GEX3.1M2.0M5.5M2.3M2.1M
Net DEX-203.2M-248.2M-168.0M-171.9M-223.2M
Net VEX-386.5K-457.9K-323.9K-448.4K-323.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.552.480.780.56
Total Volume6,880.73775011,6777,771750
Total OI130,531.474124,732140,322125,687127,210

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$40.98$35.0029.7%9.3%39.7%24.4%32.9%3.5%-0.5%2.3M-171.9M-448.4K0.787.68N/AN/A4,3573,41462,40263,285
2014-11-04$40.66$35.0029.4%9.3%37.7%23.2%33.3%3.0%0.3%2.7M-168.0M-457.9K0.787.00N/AN/A4,3113,35964,19463,459
2014-11-05$40.72$36.0028.7%9.3%37.7%21.0%33.1%3.0%-0.4%2.9M-169.6M-454.6K0.676.85N/AN/A4,6343,12664,73463,734
2014-11-06$40.79$36.0028.4%9.2%37.4%20.0%33.3%4.5%0.1%2.9M-171.8M-453.9K0.896.11N/AN/A3,7293,32265,20364,421
2014-11-07$40.94$36.0027.2%9.2%37.4%15.9%33.5%3.9%-0.4%2.8M-176.7M-447.0K1.427.54N/AN/A3,2294,59265,68364,684
2014-11-10$41.27$36.0027.6%9.1%28.5%17.2%33.5%5.0%0.4%2.8M-182.4M-417.7K0.676.84N/AN/A6,7694,51364,65263,099
2014-11-11$41.10$35.0026.9%9.1%28.9%14.8%33.2%2.8%1.0%3.0M-182.1M-391.2K1.436.31N/AN/A3,2084,59463,79361,310
2014-11-12$41.22$36.0026.4%9.1%28.7%12.8%33.0%3.3%0.9%4.5M-188.5M-410.0K1.436.87N/AN/A3,0974,44168,04464,060
2014-11-13$41.40$36.0026.4%9.0%26.1%12.9%33.0%2.7%1.4%4.3M-195.3M-393.5K0.767.25N/AN/A6,6535,02468,12864,289
2014-11-14$41.47$36.0026.0%9.0%22.2%11.7%30.9%2.0%1.8%5.5M-205.1M-397.0K0.578.36N/AN/A1,52686570,70865,153
2014-11-17$41.38$36.0027.1%9.1%22.2%15.4%32.9%2.9%-1.5%3.7M-196.1M-380.1K0.746.41N/AN/A4,2233,12967,87864,035
2014-11-18$42.85$38.0026.4%8.9%23.9%13.0%32.2%3.4%-0.1%3.2M-232.6M-337.7K0.556.31N/AN/A6,7373,68268,59164,663
2014-11-19$43.45$38.0026.4%8.9%22.1%13.0%31.6%2.9%-1.1%2.9M-248.2M-329.8K1.588.86N/AN/A2,5814,07070,47965,835
2014-11-20$43.14$38.0026.1%8.9%21.3%11.9%33.0%2.4%-0.5%3.0M-239.3M-365.0K0.898.33N/AN/A4,5884,07770,26968,808
2014-11-21$43.45$38.0025.4%8.8%21.2%9.4%31.6%2.5%-0.3%3.3M-247.9M-350.4K0.898.10N/AN/A4,4683,99270,90769,415
2014-11-24$43.60$38.0024.7%8.7%21.2%7.2%31.0%2.7%-0.3%2.3M-218.0M-333.9K2.486.88N/AN/A4051,00363,02361,709
2014-11-25$43.99$38.0024.1%8.7%20.9%5.2%30.9%3.8%0.5%2.0M-224.6M-324.0K1.268.06N/AN/A3,2634,11263,07762,533
2014-11-26$43.68$39.0022.9%8.6%18.1%0.8%31.0%3.3%1.1%2.2M-219.4M-328.4K1.297.05N/AN/A38950263,55163,080
2014-11-28$43.93$39.0023.8%8.8%17.0%4.0%32.1%2.3%0.1%2.1M-223.2M-323.9K0.569.05N/AN/A48126963,73763,473