EA Options History — March 2015

In March 2015, EA traded between $54.17 and $59.39. ATM implied volatility averaged 24.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.6% (HV 20d: 21.8%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2015-03-06: Highest Volume — 13,717 contracts
  • 2015-03-25: Largest IV spike — 12.2% change
  • 2015-03-10: Highest IV Rank — 10.9%
  • 2015-03-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.60$54.17$59.39$57.45$58.89
Max Pain$55.16$52.50$60.00$52.50$55.00
ATM IV24.4%22.3%25.8%24.4%24.6%
Expected Move7.1%6.3%7.5%7.2%7.2%
HV 20d21.8%16.3%29.6%20.5%29.3%
HV 60d32.6%31.5%34.3%33.2%34.3%
IV Rank6.6%0.0%10.9%6.1%8.1%
IV Percentile16.6%0.0%32.5%13.1%19.0%
Term Structure1.0%-2.6%10.0%-0.1%9.8%
VWIV25.0%21.6%26.9%26.8%26.6%
Skew 25d2.4%0.2%3.8%1.8%2.8%
Skew 10d4.0%-0.3%8.0%0.1%3.4%
Call IV 25d23.9%20.8%25.7%25.2%23.9%
Put IV 25d26.3%22.8%28.2%27.0%26.7%
Bid-Ask Spread %12.438.2017.0411.8716.01
Gamma HHI0.100.060.200.110.14
Net GEX-665.6K-7.2M3.1M845.5K3.1M
Net DEX-46.1M-75.9M4.0M-67.4M-72.5M
Net VEX-673.8K-733.3K-617.3K-651.4K-629.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.3114.522.411.29
Total Volume5,684.0451,29313,7179,0428,642
Total OI91,723.13673,325107,94088,67083,435

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$57.45$52.5024.4%7.2%20.5%6.1%26.8%1.8%-0.1%845.5K-67.4M-651.4K2.4111.87N/AN/A2,6526,39028,96159,709
2015-03-03$56.70$53.0024.4%7.2%21.2%6.0%26.9%0.2%0.4%247.8K-56.9M-658.6K2.3010.32N/AN/A2,5685,89729,13260,729
2015-03-04$57.20$53.0024.6%7.2%21.1%7.0%26.8%2.4%0.7%766.5K-63.9M-649.3K2.9312.87N/AN/A2,4037,03329,58060,792
2015-03-05$57.44$60.0024.3%7.3%21.1%5.8%24.4%2.6%-0.1%1.1M-66.9M-668.9K2.7212.76N/AN/A2,0665,61130,10762,501
2015-03-06$56.36$60.0024.6%7.2%18.5%7.0%24.5%3.5%-2.6%-327.7K-50.0M-683.9K1.1517.04N/AN/A6,3877,33030,12962,951
2015-03-09$56.67$55.0024.6%7.3%16.3%6.7%24.9%3.8%0.2%245.0K-55.4M-680.4K1.6711.92N/AN/A48580830,04663,591
2015-03-10$55.05$55.0025.8%7.5%18.8%10.9%25.9%2.0%0.5%-1.9M-28.3M-695.7K0.8910.20N/AN/A1,07295830,04564,254
2015-03-11$55.09$55.0025.7%7.5%18.5%10.5%25.6%2.9%0.5%-2.1M-27.5M-708.1K14.5210.85N/AN/A6168,94430,17864,684
2015-03-12$55.06$55.0025.6%7.3%18.5%10.1%26.0%2.9%0.4%-4.5M-14.2M-733.3K1.638.20N/AN/A7171,16930,45873,351
2015-03-13$55.30$55.0025.3%7.3%16.6%9.3%25.1%3.3%-0.4%-5.0M-19.1M-718.9K0.5511.97N/AN/A2,7951,53530,93874,299
2015-03-16$55.82$55.0025.0%7.2%16.9%8.2%25.6%2.8%-1.2%-3.4M-32.9M-701.2K0.699.99N/AN/A1,6341,12430,27174,345
2015-03-17$54.17$55.0024.6%7.0%19.7%6.8%24.4%2.3%0.5%-7.2M4.0M-720.1K8.5411.87N/AN/A1,21410,37230,88474,929
2015-03-18$55.63$55.0023.7%6.8%21.4%3.6%24.1%2.3%0.7%-3.9M-33.2M-705.2K0.7813.12N/AN/A1,4611,14131,67476,266
2015-03-19$55.96$55.0023.5%6.7%21.5%2.8%23.2%2.6%0.5%-299.6K-51.7M-677.8K0.3612.69N/AN/A1,40550831,57768,944
2015-03-20$57.28$55.0022.5%6.5%22.9%0.0%21.6%2.1%0.3%481.0K-75.1M-645.3K0.359.28N/AN/A1,55154632,24469,110
2015-03-23$57.27$55.0022.6%6.4%22.9%0.5%23.1%1.7%0.4%312.2K-45.9M-633.6K0.3114.54N/AN/A3,8341,17623,17350,152
2015-03-24$57.96$55.0022.3%6.3%23.3%0.0%23.1%2.0%0.9%1.9M-58.5M-642.7K1.1912.93N/AN/A1,0881,29825,91851,015
2015-03-25$56.09$55.0025.0%7.0%26.1%9.2%25.0%2.5%0.3%382.0K-30.9M-676.0K2.1612.28N/AN/A5231,13126,53851,936
2015-03-26$56.22$55.0024.6%7.0%26.0%8.0%25.6%2.9%0.4%-123.3K-30.2M-674.5K1.2914.06N/AN/A1,9502,52426,62052,684
2015-03-27$58.24$55.0024.9%7.0%28.8%8.9%25.1%2.5%0.8%2.5M-61.6M-651.5K0.9215.07N/AN/A2,5092,29626,86353,340
2015-03-30$59.39$55.0024.9%7.2%29.6%9.1%25.9%2.0%10.0%2.0M-75.9M-617.3K0.8413.63N/AN/A5,2634,42326,44353,113
2015-03-31$58.89$55.0024.6%7.2%29.3%8.1%26.6%2.8%9.8%3.1M-72.5M-629.6K1.2916.01N/AN/A3,7704,87229,05154,384