EA Options History — June 2015

In June 2015, EA traded between $61.56 and $67.59. ATM implied volatility averaged 24.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.4% (HV 20d: 18.8%). Max pain ranged from $59.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.01.

Notable Days

2015-06-12: Highest Volume — 12,518 contracts
2015-06-29: Largest IV spike — 33.0% change
2015-06-30: Highest IV Rank — 48.3%
2015-06-29: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.32	$61.56	$67.59	$62.90	$66.42
Max Pain	$64.18	$59.00	$65.00	$59.00	$65.00
ATM IV	24.2%	21.5%	35.9%	23.6%	35.9%
Expected Move	6.5%	5.9%	7.3%	6.7%	7.1%
HV 20d	18.8%	15.0%	20.4%	20.3%	20.4%
HV 60d	22.4%	19.7%	24.3%	24.3%	20.0%
IV Rank	9.9%	1.0%	48.3%	7.8%	48.3%
IV Percentile	17.2%	0.8%	69.8%	13.1%	69.8%
Term Structure	2.8%	-2.6%	11.2%	-1.1%	-2.4%
VWIV	23.1%	21.1%	26.3%	23.9%	25.0%
Skew 25d	2.3%	0.5%	13.7%	2.4%	2.5%
Skew 10d	3.4%	-4.6%	13.3%	3.6%	4.8%
Call IV 25d	24.0%	20.6%	37.3%	23.0%	37.2%
Put IV 25d	26.2%	22.4%	39.7%	25.4%	39.7%
Bid-Ask Spread %	12.70	9.92	17.12	10.36	11.60
Gamma HHI	0.19	0.10	0.48	0.19	0.10
Net GEX	4.5M	1.8M	12.7M	4.7M	2.0M
Net DEX	-130.5M	-224.2M	-102.1M	-124.3M	-105.8M
Net VEX	-535.7K	-572.1K	-483.4K	-559.5K	-569.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.41	1.69	1.69	0.82
Total Volume	6,981.5	583	12,518	8,737	5,348
Total OI	95,417	69,813	110,082	101,427	76,080

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-06-01	$62.90	$59.00	23.6%	6.7%	20.3%	7.8%	23.9%	2.4%	-1.1%	4.7M	-124.3M	-559.5K	1.69	10.36	N/A	N/A	3,252	5,485	42,326	59,101
2015-06-02	$62.98	$59.00	23.1%	6.6%	20.3%	6.1%	23.5%	1.6%	1.0%	5.2M	-127.3M	-557.3K	0.51	11.44	N/A	N/A	387	196	43,335	59,474
2015-06-03	$63.36	$59.00	22.4%	6.5%	20.2%	4.0%	23.9%	1.1%	1.0%	5.7M	-134.3M	-543.2K	1.37	10.38	N/A	N/A	2,107	2,885	43,402	59,579
2015-06-04	$62.55	$65.00	23.7%	6.6%	18.7%	8.1%	23.9%	1.6%	-0.6%	4.7M	-117.1M	-555.2K	1.52	11.64	N/A	N/A	2,297	3,502	43,525	59,783
2015-06-05	$62.93	$65.00	22.8%	6.6%	18.2%	5.0%	23.6%	1.5%	0.1%	4.2M	-120.1M	-547.1K	0.96	11.08	N/A	N/A	4,888	4,670	43,631	60,526
2015-06-08	$61.75	$65.00	23.3%	7.0%	17.4%	6.9%	23.7%	1.3%	1.5%	3.5M	-105.2M	-571.4K	1.41	14.00	N/A	N/A	2,326	3,272	44,603	58,966
2015-06-09	$61.79	$65.00	23.0%	6.9%	16.9%	5.9%	23.5%	1.7%	1.0%	3.4M	-104.6M	-572.1K	1.08	12.59	N/A	N/A	2,938	3,183	45,095	59,428
2015-06-10	$62.57	$65.00	22.4%	6.4%	17.5%	3.7%	23.2%	1.4%	-0.4%	4.5M	-123.1M	-558.3K	1.29	10.83	N/A	N/A	2,558	3,300	45,660	59,972
2015-06-11	$62.51	$65.00	21.9%	6.4%	16.9%	2.3%	23.1%	1.2%	0.7%	4.5M	-122.1M	-548.0K	1.30	14.96	N/A	N/A	2,928	3,816	45,810	60,171
2015-06-12	$62.79	$65.00	21.5%	6.3%	15.0%	1.0%	22.1%	2.0%	0.5%	5.2M	-128.5M	-538.7K	0.41	13.60	N/A	N/A	8,882	3,636	46,343	61,019
2015-06-15	$61.56	$65.00	23.3%	6.8%	16.5%	6.9%	23.1%	1.9%	1.1%	3.6M	-104.3M	-540.2K	0.74	9.92	N/A	N/A	4,364	3,219	45,526	59,716
2015-06-16	$62.77	$65.00	22.4%	6.4%	17.8%	3.8%	23.8%	1.1%	4.2%	6.2M	-133.2M	-538.7K	0.87	13.72	N/A	N/A	3,641	3,177	47,274	60,248
2015-06-17	$64.53	$65.00	22.1%	6.3%	19.9%	2.9%	22.3%	1.5%	3.8%	10.6M	-171.9M	-520.9K	0.49	13.64	N/A	N/A	6,302	3,111	47,091	60,386
2015-06-18	$65.26	$65.00	22.1%	6.2%	20.0%	2.8%	21.8%	1.7%	3.0%	12.7M	-201.0M	-497.1K	0.54	10.35	N/A	N/A	5,891	3,165	47,663	60,859
2015-06-19	$66.07	$65.00	21.7%	6.0%	20.3%	1.7%	21.1%	1.8%	2.5%	3.1M	-224.2M	-494.9K	0.72	13.66	N/A	N/A	4,865	3,504	48,705	61,377
2015-06-22	$66.66	$65.00	23.9%	6.0%	20.3%	8.8%	21.4%	3.1%	8.4%	2.0M	-115.3M	-483.4K	0.97	13.15	N/A	N/A	2,980	2,898	27,768	42,045
2015-06-23	$66.66	$65.00	23.5%	5.9%	20.3%	7.6%	21.5%	0.5%	9.3%	2.4M	-116.4M	-494.8K	1.11	13.56	N/A	N/A	2,613	2,894	28,832	43,219
2015-06-24	$67.58	$65.00	23.8%	6.0%	19.5%	8.6%	21.8%	2.7%	9.5%	2.6M	-126.9M	-485.8K	0.62	12.93	N/A	N/A	5,071	3,144	29,240	43,942
2015-06-25	$67.50	$65.00	25.6%	6.0%	19.0%	14.2%	22.0%	1.7%	9.5%	4.2M	-131.1M	-501.0K	1.07	12.52	N/A	N/A	3,498	3,741	31,718	42,894
2015-06-26	$67.59	$65.00	26.3%	6.1%	18.5%	16.6%	22.6%	13.7%	11.2%	2.6M	-133.4M	-540.5K	1.38	17.12	N/A	N/A	2,893	3,978	32,947	44,289
2015-06-29	$66.22	$65.00	34.9%	7.3%	20.4%	45.2%	26.3%	1.5%	-2.6%	1.8M	-102.1M	-569.1K	1.27	16.39	N/A	N/A	2,994	3,794	31,413	44,193
2015-06-30	$66.42	$65.00	35.9%	7.1%	20.4%	48.3%	25.0%	2.5%	-2.4%	2.0M	-105.8M	-569.2K	0.82	11.60	N/A	N/A	2,938	2,410	31,774	44,306