EA Options History — December 2014

In December 2014, EA traded between $43.17 and $48.35. ATM implied volatility averaged 29.4%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.9% (HV 20d: 25.5%). Max pain ranged from $39.00 to $48.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.11.

Notable Days

2014-12-23: Highest Volume — 22,976 contracts
2014-12-26: Largest IV spike — 19.8% change
2014-12-31: Highest IV Rank — 49.2%
2014-12-16: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.28	$43.17	$48.35	$43.17	$47.02
Max Pain	$41.86	$39.00	$48.00	$39.00	$48.00
ATM IV	29.4%	25.0%	36.9%	26.0%	36.9%
Expected Move	9.6%	8.8%	10.4%	8.9%	9.9%
HV 20d	25.5%	16.5%	28.0%	16.5%	26.0%
HV 60d	29.1%	28.1%	30.1%	28.1%	28.6%
IV Rank	23.3%	8.1%	49.2%	11.8%	49.2%
IV Percentile	43.6%	19.0%	71.4%	27.4%	71.4%
Term Structure	2.4%	-1.2%	12.0%	-1.2%	1.4%
VWIV	35.3%	31.1%	40.6%	32.3%	34.6%
Skew 25d	2.7%	-0.6%	5.1%	0.5%	-0.6%
Skew 10d	5.8%	1.6%	14.9%	2.1%	2.9%
Call IV 25d	29.3%	24.2%	39.0%	26.9%	39.0%
Put IV 25d	32.0%	27.0%	40.9%	27.4%	38.4%
Bid-Ask Spread %	10.55	7.16	15.86	8.26	7.16
Gamma HHI	0.10	0.07	0.21	0.10	0.07
Net GEX	280.4K	-4.8M	2.3M	2.3M	5.7K
Net DEX	-203.2M	-266.3M	-120.7M	-204.0M	-120.7M
Net VEX	-418.0K	-501.3K	-314.1K	-342.1K	-501.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.11	0.89	6.70	1.17	1.02
Total Volume	11,446.636	1,234	22,976	5,499	1,234
Total OI	128,687.273	93,822	154,562	125,299	103,321

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-12-01	$43.17	$39.00	26.0%	8.9%	16.5%	11.8%	32.3%	0.5%	-1.2%	2.3M	-204.0M	-342.1K	1.17	8.26	N/A	N/A	2,537	2,962	62,661	62,638
2014-12-02	$43.61	$39.00	25.3%	8.8%	16.7%	9.1%	31.1%	2.9%	-0.2%	1.9M	-214.6M	-314.1K	1.07	8.18	N/A	N/A	4,725	5,047	62,572	63,061
2014-12-03	$46.20	$39.00	25.3%	8.9%	25.1%	9.1%	31.7%	2.5%	1.0%	1.2M	-257.6M	-318.4K	0.89	10.75	N/A	N/A	6,627	5,878	64,503	65,613
2014-12-04	$46.49	$39.00	25.3%	9.0%	25.0%	9.1%	36.0%	1.7%	0.7%	1.2M	-263.2M	-359.7K	3.45	9.05	N/A	N/A	1,537	5,301	68,198	68,980
2014-12-05	$46.62	$39.00	25.0%	8.8%	25.0%	8.1%	34.3%	2.9%	0.7%	250.2K	-264.3M	-397.4K	2.43	10.06	N/A	N/A	3,567	8,670	68,753	72,772
2014-12-08	$45.99	$39.00	26.0%	9.1%	26.0%	11.6%	34.6%	1.4%	0.9%	1.2M	-242.1M	-409.6K	2.56	8.47	N/A	N/A	2,895	7,422	65,925	70,968
2014-12-09	$45.60	$39.00	26.5%	9.1%	26.5%	13.5%	33.9%	3.1%	0.5%	1.2M	-237.6M	-405.6K	2.57	9.24	N/A	N/A	2,850	7,318	66,216	71,475
2014-12-10	$44.70	$39.00	27.9%	9.6%	27.8%	18.3%	36.6%	3.5%	3.4%	1.0M	-218.4M	-438.6K	3.90	14.23	N/A	N/A	4,056	15,800	66,269	71,802
2014-12-11	$45.03	$39.00	30.2%	9.7%	27.8%	26.2%	37.5%	1.4%	1.3%	-495.6K	-218.1M	-440.3K	3.62	14.98	N/A	N/A	4,140	14,975	67,284	79,394
2014-12-12	$44.98	$40.00	31.8%	10.1%	27.8%	31.8%	38.4%	3.3%	1.9%	-4.8M	-208.5M	-464.8K	2.00	15.86	N/A	N/A	4,464	8,949	68,346	84,906
2014-12-15	$45.56	$40.00	32.6%	10.1%	28.0%	34.4%	39.8%	4.0%	0.9%	-1.6M	-221.4M	-441.0K	2.53	11.41	N/A	N/A	2,858	7,238	66,033	82,870
2014-12-16	$45.45	$40.00	33.9%	10.4%	28.0%	38.9%	40.6%	3.2%	-0.7%	-1.7M	-221.6M	-450.3K	2.79	11.16	N/A	N/A	3,236	9,023	66,410	84,418
2014-12-17	$46.11	$40.00	32.3%	10.1%	25.9%	33.4%	39.0%	3.1%	0.3%	-572.0K	-238.6M	-428.4K	2.79	14.66	N/A	N/A	2,975	8,294	67,209	84,592
2014-12-18	$47.07	$40.00	29.9%	9.7%	26.4%	25.3%	35.9%	3.1%	0.1%	1.3M	-258.7M	-405.1K	3.17	10.21	N/A	N/A	3,036	9,620	67,430	84,841
2014-12-19	$47.46	$40.00	28.5%	9.5%	26.1%	20.4%	35.5%	2.9%	0.7%	1.6M	-266.3M	-402.4K	1.25	11.99	N/A	N/A	975	1,223	67,698	86,864
2014-12-22	$47.85	$0.00	27.5%	9.8%	26.1%	16.7%	34.4%	3.4%	9.5%	514.8K	-141.4M	-383.6K	3.13	10.07	N/A	N/A	2,499	7,821	39,413	54,409
2014-12-23	$47.89	$48.00	26.7%	9.7%	26.1%	13.9%	34.1%	3.0%	12.0%	585.7K	-142.6M	-381.5K	6.70	9.26	N/A	N/A	2,985	19,991	39,800	55,113
2014-12-24	$48.06	$48.00	26.0%	9.7%	26.1%	11.5%	34.1%	3.1%	10.8%	325.3K	-136.8M	-483.1K	6.10	9.73	N/A	N/A	2,366	14,438	40,470	61,851
2014-12-26	$48.35	$48.00	31.1%	9.7%	25.7%	29.3%	33.9%	5.1%	9.5%	265.7K	-140.6M	-472.6K	5.50	8.17	N/A	N/A	2,371	13,052	40,485	62,341
2014-12-29	$47.64	$48.00	35.9%	9.8%	26.7%	45.9%	34.5%	3.4%	-0.6%	181.9K	-128.3M	-478.7K	6.53	9.36	N/A	N/A	1,932	12,607	39,859	61,708
2014-12-30	$47.38	$48.00	35.6%	9.8%	25.7%	44.7%	34.2%	2.4%	-0.0%	239.5K	-126.1M	-477.9K	3.35	9.87	N/A	N/A	536	1,796	39,973	61,676
2014-12-31	$47.02	$48.00	36.9%	9.9%	26.0%	49.2%	34.6%	-0.6%	1.4%	5.7K	-120.7M	-501.3K	1.02	7.16	N/A	N/A	611	623	40,151	63,170