EA Options History — January 2015

In January 2015, EA traded between $45.96 and $55.28. ATM implied volatility averaged 37.3%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 12.9% (HV 20d: 24.4%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.11.

Notable Days

  • 2015-01-28: Highest Volume — 28,085 contracts
  • 2015-01-28: Largest IV drop — 25.2% change
  • 2015-01-05: Highest IV Rank — 63.7%
  • 2015-01-27: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.73$45.96$55.28$46.94$54.87
Max Pain$47.90$47.00$49.00$48.00$49.00
ATM IV37.3%27.1%41.1%37.1%27.5%
Expected Move10.3%7.9%12.0%10.0%8.1%
HV 20d24.4%16.5%48.0%16.5%47.9%
HV 60d26.2%23.0%32.7%27.7%32.5%
IV Rank50.6%15.5%63.7%49.8%16.9%
IV Percentile71.7%38.9%85.3%71.4%40.9%
Term Structure-1.6%-3.8%1.5%1.5%-0.2%
VWIV37.7%28.3%41.7%35.4%30.9%
Skew 25d3.5%1.3%6.7%2.9%2.7%
Skew 10d6.9%1.3%15.6%2.8%11.0%
Call IV 25d36.8%26.7%41.8%38.7%27.1%
Put IV 25d40.4%29.8%45.0%41.5%29.8%
Bid-Ask Spread %12.426.9324.136.9312.60
Gamma HHI0.120.070.440.070.10
Net GEX213.7K-1.3M6.6M9.8K371.4K
Net DEX-94.4M-183.0M-6.7M-119.8M-174.2M
Net VEX-592.3K-657.3K-489.6K-489.6K-580.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.714.674.661.48
Total Volume9,887.351,29228,08513,12311,582
Total OI102,367.363,695125,050103,820113,295

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$46.94$48.0037.1%10.0%16.5%49.8%35.4%2.9%1.5%9.8K-119.8M-489.6K4.666.93N/AN/A2,31810,80540,13463,686
2015-01-05$46.57$48.0041.1%10.4%16.6%63.7%36.4%3.6%-2.1%-82.3K-112.5M-490.3K0.718.71N/AN/A75553739,30963,540
2015-01-06$45.96$48.0040.5%10.7%17.2%61.7%37.2%3.3%-1.6%-315.0K-104.0M-500.6K4.679.09N/AN/A2,16710,12339,71763,895
2015-01-07$46.81$48.0039.7%10.4%17.8%58.9%36.8%5.1%-1.8%-171.6K-107.8M-632.4K0.8913.77N/AN/A99988541,33072,911
2015-01-08$48.11$48.0040.2%10.3%19.7%60.7%40.1%1.3%-3.1%204.8K-126.9M-606.9K2.3216.72N/AN/A4,2049,75141,56673,637
2015-01-09$47.56$48.0039.6%10.2%18.6%58.6%39.7%2.2%-3.8%-39.6K-120.7M-621.0K3.1311.84N/AN/A2,2817,14742,72976,309
2015-01-12$47.13$48.0039.7%10.6%19.0%59.1%41.4%3.0%-2.0%-209.9K-110.8M-617.6K3.8412.02N/AN/A1,7256,62942,28276,396
2015-01-13$46.38$48.0040.7%10.7%20.1%62.5%41.6%1.7%-1.4%-392.1K-100.2M-625.6K2.6312.14N/AN/A2,7047,10142,38977,523
2015-01-14$46.88$48.0039.9%10.8%20.0%59.6%40.9%4.7%-2.5%-38.9K-106.9M-627.7K1.9713.04N/AN/A3,2956,48842,81579,202
2015-01-15$46.63$48.0040.6%10.8%20.1%62.2%40.3%4.6%-3.7%-896.5K-97.8M-636.4K1.7910.56N/AN/A3,4226,12243,11980,336
2015-01-16$48.09$47.0038.2%10.5%22.2%53.8%37.4%6.7%-2.6%-320.5K-128.7M-611.7K1.0913.94N/AN/A2,8133,06643,98381,067
2015-01-20$47.81$47.0037.1%10.5%21.3%50.1%40.7%3.8%-1.1%-1.3M-6.7M-608.4K3.0512.53N/AN/A4581,39616,86946,826
2015-01-21$48.07$47.0037.6%10.8%21.1%51.7%39.3%3.4%-1.0%-1.1M-9.2M-603.7K1.6510.21N/AN/A9921,64017,18147,973
2015-01-22$49.29$47.0036.2%10.4%22.7%47.0%39.3%3.1%-0.9%-807.5K-20.0M-586.9K2.2611.52N/AN/A3,5598,04017,81249,481
2015-01-23$49.79$48.0036.4%10.4%22.9%47.6%39.6%3.0%0.6%-1.2M-20.4M-609.8K2.3711.95N/AN/A2,8046,64918,97754,960
2015-01-26$49.48$48.0038.3%11.1%23.1%54.1%38.8%4.3%-2.5%1.9M-37.8M-639.7K0.8410.43N/AN/A2,0561,73134,31453,874
2015-01-27$48.41$48.0038.9%12.0%24.5%56.1%41.7%3.0%-2.3%1.3M-21.6M-657.3K0.7814.72N/AN/A11,3388,79335,63454,570
2015-01-28$54.49$48.0029.1%8.4%48.0%22.3%28.9%4.6%-1.0%6.6M-179.9M-544.9K0.8224.13N/AN/A15,40812,67744,97461,482
2015-01-29$55.28$49.0027.1%7.9%47.9%15.5%28.3%3.6%-0.7%807.3K-183.0M-555.5K1.3211.62N/AN/A5,7227,56546,52564,724
2015-01-30$54.87$49.0027.5%8.1%47.9%16.9%30.9%2.7%-0.2%371.4K-174.2M-580.2K1.4812.60N/AN/A4,6796,90347,69065,605