EA Options History — April 2015

In April 2015, EA traded between $56.02 and $59.98. ATM implied volatility averaged 36.4%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 9.0% (HV 20d: 27.4%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-04-21: Highest Volume — 21,295 contracts
  • 2015-04-06: Largest IV spike — 28.3% change
  • 2015-04-30: Highest IV Rank — 64.0%
  • 2015-04-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.06$56.02$59.98$57.19$58.07
Max Pain$55.45$55.00$57.00$56.00$57.00
ATM IV36.4%25.6%41.0%25.6%41.0%
Expected Move11.4%7.3%15.6%7.3%15.6%
HV 20d27.4%19.7%31.3%31.2%19.7%
HV 60d31.9%24.0%34.9%34.9%24.2%
IV Rank48.3%11.4%64.0%11.4%64.0%
IV Percentile72.5%36.5%92.1%36.5%92.1%
Term Structure-1.1%-3.9%12.2%12.2%-2.4%
VWIV40.6%26.5%56.2%26.5%56.2%
Skew 25d2.9%-3.4%4.7%2.4%2.9%
Skew 10d7.3%0.8%14.6%0.8%4.9%
Call IV 25d35.8%23.9%42.7%24.8%40.4%
Put IV 25d38.7%26.3%43.3%27.2%43.3%
Bid-Ask Spread %16.429.0927.6312.7021.33
Gamma HHI0.120.050.390.080.12
Net GEX584.3K-6.9M4.7M893.2K302.8K
Net DEX-65.2M-134.5M-19.3M-42.2M-64.5M
Net VEX-667.5K-765.5K-633.3K-658.5K-765.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.221.790.710.56
Total Volume9,358.5241,33221,2959,60810,299
Total OI91,999.04881,378109,80384,835109,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$57.19$56.0025.6%7.3%31.2%11.4%26.5%2.4%12.2%893.2K-42.2M-658.5K0.7112.70N/AN/A5,6064,00229,48055,355
2015-04-02$57.76$55.0026.7%9.8%31.3%15.2%35.0%2.4%10.2%-470.8K-48.7M-661.9K0.799.09N/AN/A5,4734,32529,15055,857
2015-04-06$57.21$55.0034.3%10.6%30.7%41.0%36.3%2.4%0.7%-1.1M-37.1M-657.3K1.5713.55N/AN/A2,0513,22726,25755,121
2015-04-07$57.75$55.0035.4%10.0%30.9%44.7%34.9%2.8%-1.9%-722.9K-45.1M-655.4K1.3110.14N/AN/A3,1594,13726,45555,957
2015-04-08$58.15$55.0036.7%10.0%28.8%49.2%35.9%3.9%-2.5%-37.5K-53.0M-643.9K1.4610.61N/AN/A54279027,78656,941
2015-04-09$57.54$55.0036.5%9.9%29.2%48.6%34.9%1.4%-1.9%-1.3M-43.5M-654.7K1.2911.39N/AN/A3,1634,06728,12157,358
2015-04-10$58.29$55.0035.6%10.0%29.4%45.5%35.2%4.5%-1.7%800.5K-58.4M-633.3K1.6313.44N/AN/A2,4714,02229,18458,118
2015-04-13$57.37$55.0037.6%10.7%30.1%52.3%36.2%3.5%-3.4%-466.6K-44.0M-642.9K1.3313.42N/AN/A2,7913,71828,30157,238
2015-04-14$56.98$55.0037.3%10.7%30.1%51.3%36.2%3.2%-3.6%-728.0K-39.5M-634.1K1.4614.47N/AN/A2,6723,89928,86357,954
2015-04-15$56.84$55.0037.2%10.7%27.9%51.1%37.8%3.6%-3.4%-905.1K-36.1M-642.5K1.7913.50N/AN/A3,7456,68629,47358,330
2015-04-16$56.75$55.0037.2%10.8%26.4%50.9%39.5%3.7%-3.3%-1.4M-33.5M-649.2K1.2915.56N/AN/A3,4654,48731,28961,267
2015-04-17$56.02$55.0037.7%11.0%26.8%52.6%38.4%3.3%-2.5%-6.9M-19.3M-646.5K0.4015.24N/AN/A11,1054,39832,47062,033
2015-04-20$57.28$55.0036.4%11.2%26.7%48.2%40.0%3.5%-2.1%1.1M-51.4M-641.1K0.9810.91N/AN/A3,5993,51628,81654,126
2015-04-21$59.01$55.0038.3%12.1%28.7%54.5%43.4%-3.4%-2.7%1.4M-76.6M-640.7K0.3617.88N/AN/A15,6305,66529,79255,722
2015-04-22$59.78$55.0037.8%12.0%28.7%53.0%45.0%4.7%-2.7%4.4M-129.8M-685.8K1.1123.81N/AN/A4,2924,77341,75558,374
2015-04-23$59.98$55.0038.0%12.2%25.7%53.5%44.0%3.1%-3.3%3.7M-134.5M-683.9K1.1421.28N/AN/A4,3634,99542,06960,195
2015-04-24$59.85$56.0037.3%12.2%25.8%51.2%45.3%2.8%-3.9%4.7M-130.4M-693.4K1.2023.32N/AN/A3,3293,99042,75661,946
2015-04-27$59.80$56.5037.7%13.3%22.8%52.7%49.0%3.4%-1.8%2.9M-106.3M-676.4K1.1221.55N/AN/A3,4723,88638,49260,784
2015-04-28$59.11$57.0040.0%14.3%22.2%60.5%50.3%4.0%-2.4%3.1M-92.9M-694.0K0.2224.03N/AN/A15,7273,39239,13861,490
2015-04-29$58.61$57.0040.5%14.7%22.2%62.1%52.4%3.2%-1.8%3.0M-83.2M-756.8K0.6427.63N/AN/A7,0844,51646,21962,145
2015-04-30$58.07$57.0041.0%15.6%19.7%64.0%56.2%2.9%-2.4%302.8K-64.5M-765.5K0.5621.33N/AN/A6,6223,67746,24863,555