EA Options History — July 2015 In July 2015, EA traded between $67.85 and $74.70. ATM implied volatility averaged 37.1%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 14.7% (HV 20d: 22.4%). Max pain ranged from $65.00 to $71.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2015-07-30 : Highest Volume — 24,033 contracts2015-07-31 : Largest IV drop — 33.7% change2015-07-27 : Highest IV Rank — 69.6%2015-07-27 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $71.58 $67.85 $74.70 $68.00 $71.52 Max Pain $67.55 $65.00 $71.00 $65.00 $71.00 ATM IV 37.1% 24.9% 42.4% 37.7% 24.9% Expected Move 10.0% 6.6% 13.0% 6.8% 7.0% HV 20d 22.4% 20.7% 24.9% 21.7% 22.7% HV 60d 20.9% 20.3% 21.6% 20.5% 20.6% IV Rank 52.4% 12.2% 69.6% 54.2% 12.2% IV Percentile 75.5% 29.8% 94.0% 77.0% 29.8% Term Structure -2.1% -4.1% 0.3% -2.3% 0.3% VWIV 35.5% 23.6% 45.3% 25.0% 24.9% Skew 25d 2.6% 0.3% 4.9% 3.2% 1.4% Skew 10d 4.4% 1.4% 10.1% 6.1% 6.1% Call IV 25d 36.6% 24.4% 41.0% 36.2% 24.4% Put IV 25d 39.1% 25.8% 43.9% 39.5% 25.8% Bid-Ask Spread % 20.13 8.69 63.15 13.29 63.15 Gamma HHI 0.17 0.11 0.41 0.11 0.38 Net GEX 2.6M -3.4M 17.8M 3.6M 17.8M Net DEX -169.3M -202.0M -125.2M -128.2M -157.9M Net VEX -613.3K -826.2K -467.5K -548.8K -795.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.41 1.74 1.30 0.55 Total Volume 10,711.5 4,822 24,033 4,822 19,435 Total OI 97,149.091 76,714 142,909 76,714 142,909
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 2015-07-01 $68.00 $65.00 37.7% 6.8% 21.7% 54.2% 25.0% 3.2% -2.3% 3.6M -128.2M -548.8K 1.30 13.29 N/A N/A 2,095 2,727 32,345 44,369 2015-07-02 $67.85 $65.00 37.5% 6.6% 21.0% 53.5% 23.6% 1.8% -2.3% 1.7M -125.2M -549.4K 0.65 12.94 N/A N/A 3,902 2,526 32,610 44,961 2015-07-06 $68.00 $65.00 38.9% 9.5% 21.0% 58.3% 34.8% 3.8% -3.0% 2.6M -126.5M -547.8K 0.97 9.23 N/A N/A 2,469 2,399 32,598 44,351 2015-07-07 $69.87 $65.00 38.2% 9.7% 20.7% 55.8% 35.2% 3.7% -1.9% 3.1M -149.7M -521.0K 0.78 8.76 N/A N/A 3,655 2,848 32,974 44,560 2015-07-08 $69.08 $65.00 39.4% 10.0% 21.5% 59.9% 35.9% 3.1% -2.2% 2.9M -143.5M -546.6K 1.07 14.50 N/A N/A 2,873 3,066 34,109 45,262 2015-07-09 $70.67 $65.00 39.1% 10.2% 22.3% 58.9% 36.2% 4.9% -3.7% 3.2M -162.3M -525.8K 0.73 12.45 N/A N/A 4,697 3,407 34,712 46,026 2015-07-10 $72.17 $65.00 38.7% 10.0% 22.7% 57.5% 35.1% 3.8% -2.8% 2.9M -187.6M -501.9K 1.03 13.82 N/A N/A 5,119 5,265 36,089 46,697 2015-07-13 $73.60 $65.00 37.6% 9.8% 23.1% 53.8% 35.1% 3.3% -3.2% 1.6M -192.5M -467.5K 1.38 12.68 N/A N/A 6,084 8,375 36,129 48,295 2015-07-14 $72.20 $65.00 36.7% 10.0% 23.0% 51.0% 35.4% 0.3% -1.2% -2.9M -170.5M -527.0K 1.59 11.72 N/A N/A 3,705 5,908 39,379 53,429 2015-07-15 $72.50 $65.00 36.0% 10.0% 22.6% 48.7% 35.1% 3.5% -1.0% -3.4M -177.7M -532.9K 1.31 8.69 N/A N/A 3,225 4,212 40,222 55,936 2015-07-16 $72.97 $65.00 35.6% 9.6% 21.3% 47.3% 34.4% 3.3% -2.9% -390.7K -190.9M -513.5K 1.20 13.77 N/A N/A 3,568 4,299 40,718 56,726 2015-07-17 $73.49 $70.00 36.4% 9.7% 21.2% 49.9% 34.1% 2.7% -3.4% 2.0M -202.0M -522.6K 0.87 13.66 N/A N/A 4,518 3,935 41,910 57,954 2015-07-20 $74.70 $70.00 35.2% 9.9% 21.4% 46.1% 35.3% 2.0% -0.9% 2.3M -195.0M -500.0K 1.74 13.10 N/A N/A 5,012 8,721 39,495 46,971 2015-07-21 $73.72 $70.00 35.4% 10.0% 22.5% 46.7% 35.7% 1.8% -1.7% 1.9M -186.8M -570.9K 1.00 9.30 N/A N/A 5,379 5,368 42,422 50,919 2015-07-22 $72.85 $70.00 35.6% 10.2% 23.2% 47.5% 35.9% 1.8% -1.9% 1.1M -171.4M -642.4K 0.66 12.87 N/A N/A 7,661 5,028 45,273 54,194 2015-07-23 $71.81 $70.00 35.5% 10.2% 23.8% 46.9% 36.0% 2.0% -2.1% 490.5K -163.4M -719.0K 0.49 11.43 N/A N/A 6,813 3,312 49,899 55,917 2015-07-24 $72.33 $70.00 39.3% 11.5% 23.8% 59.6% 40.1% 2.0% -1.7% 1.6M -178.1M -761.3K 0.51 18.99 N/A N/A 10,131 5,159 53,309 56,260 2015-07-27 $71.13 $70.00 42.4% 13.0% 24.9% 69.6% 45.3% 1.6% -2.7% 2.8M -160.2M -780.1K 0.88 23.85 N/A N/A 3,622 3,196 56,321 55,682 2015-07-28 $71.80 $70.00 41.1% 12.8% 23.4% 65.5% 45.0% 1.9% -4.1% 3.2M -171.9M -788.4K 0.88 49.48 N/A N/A 7,707 6,794 57,736 57,078 2015-07-29 $72.23 $70.00 38.5% 11.8% 23.4% 56.7% 42.0% 2.1% -0.2% 3.6M -186.5M -803.7K 0.41 48.01 N/A N/A 9,517 3,888 61,475 60,384 2015-07-30 $72.23 $70.00 37.6% 11.8% 22.3% 53.8% 40.9% 2.6% -2.1% 5.4M -196.9M -826.2K 0.73 47.12 N/A N/A 13,900 10,133 67,698 60,977 2015-07-31 $71.52 $71.00 24.9% 7.0% 22.7% 12.2% 24.9% 1.4% 0.3% 17.8M -157.9M -795.3K 0.55 63.15 N/A N/A 12,569 6,866 76,002 66,907
« Jun 2015 | All History | Aug 2015 » Home EA History July 2015