EA Options History — February 2015

In February 2015, EA traded between $54.29 and $57.75. ATM implied volatility averaged 26.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 18.8% (HV 20d: 44.9%). Max pain ranged from $47.00 to $52.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2015-02-03: Highest Volume — 14,652 contracts
  • 2015-02-18: Largest IV drop — 6.4% change
  • 2015-02-09: Highest IV Rank — 17.1%
  • 2015-02-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.25$54.29$57.75$54.97$57.19
Max Pain$48.53$47.00$52.00$49.00$52.00
ATM IV26.1%24.3%27.6%27.5%24.3%
Expected Move7.6%7.1%8.2%8.2%7.1%
HV 20d44.9%20.8%49.2%47.8%20.8%
HV 60d33.4%32.4%34.0%32.4%33.3%
IV Rank12.0%5.7%17.1%16.6%5.7%
IV Percentile30.0%11.9%43.3%40.1%11.9%
Term Structure0.3%-1.7%2.0%0.7%-0.4%
VWIV28.2%25.4%31.2%30.0%25.8%
Skew 25d2.3%1.1%4.9%3.3%1.5%
Skew 10d4.8%3.2%9.5%8.7%5.1%
Call IV 25d25.4%23.0%27.3%25.3%24.1%
Put IV 25d27.8%25.4%29.4%28.6%25.6%
Bid-Ask Spread %11.429.0514.4212.4614.21
Gamma HHI0.100.070.120.080.09
Net GEX1.2M262.7K1.9M262.7K863.6K
Net DEX-82.4M-112.9M-61.6M-68.1M-66.3M
Net VEX-618.2K-651.8K-578.8K-578.8K-651.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.403.300.732.28
Total Volume9,954.3161,73714,6523,47710,839
Total OI93,72284,149101,37587,59790,318

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$54.97$49.0027.5%8.2%47.8%16.6%30.0%3.3%0.7%262.7K-68.1M-578.8K0.7312.46N/AN/A2,0051,47227,64859,949
2015-02-03$54.54$49.0026.5%7.9%47.8%13.3%27.8%1.9%0.8%263.0K-62.2M-582.8K0.7712.37N/AN/A8,2956,35728,41360,599
2015-02-04$54.47$49.0026.6%7.9%47.3%13.5%28.3%2.2%1.2%1.1M-74.4M-649.7K0.9010.22N/AN/A6,7776,06933,62361,124
2015-02-05$56.43$47.0026.1%8.1%48.1%12.0%29.7%4.9%0.6%1.7M-103.3M-626.9K1.0214.42N/AN/A6,0876,19934,44960,717
2015-02-06$55.09$47.0026.9%8.0%49.0%14.6%28.1%3.4%2.0%1.1M-84.4M-642.1K0.7514.07N/AN/A7,5665,69135,68862,186
2015-02-09$54.29$47.0027.6%8.1%49.2%17.1%30.3%2.1%0.4%602.2K-61.6M-647.7K1.009.05N/AN/A5,3715,35234,11060,227
2015-02-10$54.82$47.0027.2%7.8%48.8%15.8%31.2%3.2%-0.2%850.4K-68.5M-638.8K0.9912.74N/AN/A5,3365,28834,46460,865
2015-02-11$54.92$47.0026.6%7.8%48.1%13.8%30.8%2.5%0.6%776.8K-69.6M-634.3K0.9712.99N/AN/A5,1605,01534,69561,719
2015-02-12$56.18$47.0026.3%7.8%48.4%12.6%29.5%2.5%1.1%1.9M-92.2M-622.2K1.0211.73N/AN/A6,7016,85535,28662,436
2015-02-13$56.40$48.0026.1%7.5%48.1%12.1%28.4%2.0%-0.6%1.4M-97.6M-608.1K1.0510.08N/AN/A6,8927,26136,89864,477
2015-02-17$56.72$48.0027.2%7.8%47.5%15.7%28.8%2.7%-0.4%1.5M-94.0M-588.2K1.869.35N/AN/A3,0855,72935,04963,312
2015-02-18$57.54$49.0025.4%7.3%47.2%9.7%28.2%2.4%0.9%1.8M-108.9M-584.2K1.8110.47N/AN/A2,9145,28135,45964,053
2015-02-19$57.14$49.0026.6%7.7%47.5%13.7%26.2%2.5%-1.7%1.6M-104.0M-581.9K0.409.98N/AN/A1,23849935,82064,303
2015-02-20$57.67$49.0025.1%7.2%47.1%8.5%25.4%1.9%0.3%1.6M-112.9M-583.0K2.069.07N/AN/A2,1964,51936,26864,477
2015-02-23$57.51$49.0025.3%7.3%47.3%9.4%27.3%1.2%-0.9%1.1M-71.6M-637.7K2.549.97N/AN/A2,3976,09127,14657,003
2015-02-24$57.64$49.0025.7%7.2%47.1%10.6%28.0%1.6%-1.0%1.3M-75.2M-628.4K2.8111.50N/AN/A2,2406,30327,76957,060
2015-02-25$57.42$50.0024.6%7.1%46.0%6.7%26.5%1.2%0.6%1.3M-72.5M-640.0K2.6410.92N/AN/A2,4346,42728,23757,769
2015-02-26$57.75$50.0024.4%7.1%20.8%6.0%26.0%1.1%1.0%1.6M-77.5M-619.9K3.3011.49N/AN/A2,6038,58828,61758,485
2015-02-27$57.19$52.0024.3%7.1%20.8%5.7%25.8%1.5%-0.4%863.6K-66.3M-651.8K2.2814.21N/AN/A3,3097,53029,34160,977