EA Options History — May 2015

In May 2015, EA traded between $59.19 and $63.92. ATM implied volatility averaged 25.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.9% (HV 20d: 21.8%). Max pain ranged from $50.00 to $58.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2015-05-04: Highest Volume — 30,182 contracts
  • 2015-05-06: Largest IV drop — 36.1% change
  • 2015-05-01: Highest IV Rank — 69.0%
  • 2015-05-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.98$59.19$63.92$59.32$62.81
Max Pain$55.13$50.00$58.50$57.00$58.50
ATM IV25.7%21.2%42.5%42.5%23.2%
Expected Move7.4%6.0%15.9%15.9%6.5%
HV 20d21.8%20.2%23.9%20.8%21.3%
HV 60d23.9%22.9%24.5%24.5%24.3%
IV Rank13.3%0.0%69.0%69.0%6.5%
IV Percentile20.1%0.0%94.4%94.4%9.5%
Term Structure-0.4%-3.3%0.9%-2.7%-1.2%
VWIV26.7%21.8%59.3%59.3%24.0%
Skew 25d1.8%0.7%5.4%5.4%1.7%
Skew 10d3.3%-2.1%8.4%8.4%3.1%
Call IV 25d25.2%21.1%40.3%39.6%22.6%
Put IV 25d27.0%21.7%45.0%45.0%24.3%
Bid-Ask Spread %13.508.7128.2323.3812.01
Gamma HHI0.200.120.790.140.19
Net GEX8.6M2.0M58.3M2.1M7.4M
Net DEX-135.9M-169.1M-91.4M-99.6M-128.2M
Net VEX-626.1K-780.7K-546.5K-751.0K-566.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.112.611.312.43
Total Volume10,288.21,46430,1829,1798,037
Total OI113,295.497,520147,964112,014102,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$59.32$57.0042.5%15.9%20.8%69.0%59.3%5.4%-2.7%2.1M-99.6M-751.0K1.3123.38N/AN/A3,9735,20647,70364,311
2015-05-04$59.31$50.0040.8%10.4%20.4%63.3%36.6%3.5%-2.7%2.0M-91.4M-744.8K0.1128.23N/AN/A27,0843,09844,95962,302
2015-05-05$59.19$50.0042.1%10.9%20.2%67.7%39.3%3.6%-3.3%6.5M-126.2M-780.7K1.3426.33N/AN/A9,95313,30170,26764,362
2015-05-06$60.91$55.0026.9%7.7%22.4%15.9%27.4%1.5%0.4%14.5M-152.0M-697.9K0.6911.73N/AN/A14,86810,30974,90171,343
2015-05-07$60.29$50.0024.9%7.2%22.4%8.9%26.1%1.6%-0.2%8.2M-120.3M-667.4K1.868.71N/AN/A5,0029,31375,17271,670
2015-05-08$61.88$55.0022.6%6.7%23.6%1.0%23.6%1.7%0.3%58.3M-169.1M-630.3K0.1311.27N/AN/A10,2211,28573,48774,477
2015-05-11$62.59$55.0023.2%6.5%22.7%3.2%24.0%0.8%-0.5%5.5M-155.2M-616.5K0.5210.57N/AN/A2,3851,24746,39564,213
2015-05-12$62.49$55.0023.8%6.9%22.5%5.1%24.2%1.3%0.0%5.3M-154.2M-621.4K0.9510.93N/AN/A3,7353,56447,23464,920
2015-05-13$61.72$55.0023.5%6.8%23.1%4.1%23.7%1.2%0.2%4.8M-137.4M-623.2K0.8712.23N/AN/A3,5673,10348,11665,418
2015-05-14$63.09$55.0022.7%6.3%23.9%1.3%23.1%1.5%-1.1%5.6M-165.4M-610.6K1.0711.18N/AN/A4,0004,26548,23565,537
2015-05-15$62.82$55.0021.3%6.1%23.2%0.0%22.5%1.4%-0.0%5.2M-160.3M-601.5K1.509.56N/AN/A3,1574,72749,10566,896
2015-05-18$63.30$55.0021.7%6.3%22.4%1.6%22.1%1.3%0.0%5.5M-140.6M-577.0K0.4011.61N/AN/A1,86975441,72555,795
2015-05-19$62.61$55.0021.8%6.2%21.0%1.6%22.3%1.3%0.8%5.8M-129.1M-592.3K1.4512.71N/AN/A59886642,95556,294
2015-05-20$62.29$55.0021.9%6.3%20.8%2.1%22.8%1.3%0.1%5.5M-121.9M-603.4K2.3111.88N/AN/A2,3785,50043,14456,942
2015-05-21$62.73$55.0021.7%6.2%20.9%1.5%22.7%1.2%0.9%5.9M-131.5M-587.8K2.6112.84N/AN/A2,1415,58043,56857,745
2015-05-22$62.58$57.5021.2%6.0%20.9%0.0%21.8%0.7%0.3%5.9M-128.7M-579.6K2.3512.26N/AN/A2,2845,37543,68358,446
2015-05-26$62.54$58.0022.8%6.6%20.9%5.2%23.4%1.9%0.1%4.9M-120.6M-569.8K2.3412.08N/AN/A2,2435,24841,97157,901
2015-05-27$63.92$58.0022.4%6.4%21.3%4.0%23.1%1.6%0.4%6.0M-148.4M-553.5K2.1310.18N/AN/A2,5485,44042,53758,138
2015-05-28$63.29$58.5022.5%6.4%21.5%4.1%22.9%1.7%-0.3%6.1M-138.5M-546.5K2.4010.32N/AN/A2,2175,32343,01158,499
2015-05-29$62.81$58.5023.2%6.5%21.3%6.5%24.0%1.7%-1.2%7.4M-128.2M-566.1K2.4312.01N/AN/A2,3445,69343,73458,797