EA Options History — August 2015

In August 2015, EA traded between $64.05 and $75.23. ATM implied volatility averaged 29.8%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.8% (HV 20d: 28.0%). Max pain ranged from $65.00 to $71.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2015-08-05: Highest Volume — 21,478 contracts
  • 2015-08-24: Largest IV spike — 20.4% change
  • 2015-08-24: Highest IV Rank — 70.6%
  • 2015-08-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.53$64.05$75.23$70.97$66.35
Max Pain$65.86$65.00$71.00$71.00$65.00
ATM IV29.8%24.6%42.6%24.9%35.2%
Expected Move8.7%7.1%12.6%7.2%10.5%
HV 20d28.0%21.3%36.7%23.0%36.7%
HV 60d23.7%20.0%27.8%20.5%27.8%
IV Rank28.4%11.0%70.6%12.1%46.2%
IV Percentile53.2%24.6%94.4%28.6%65.1%
Term Structure-0.5%-2.4%0.9%-0.4%-0.5%
VWIV31.9%25.0%46.0%25.4%38.9%
Skew 25d2.5%0.4%8.1%1.4%4.8%
Skew 10d3.9%-1.3%9.9%0.7%7.1%
Call IV 25d29.6%24.8%39.0%25.1%33.2%
Put IV 25d32.0%25.6%45.9%26.5%38.0%
Bid-Ask Spread %16.567.5147.7216.7219.35
Gamma HHI0.130.090.220.130.18
Net GEX1.7M-1.4M5.5M1.6M-819.7K
Net DEX-133.8M-252.2M15.0M-138.3M-69.7M
Net VEX-821.3K-901.0K-734.5K-770.4K-881.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.243.720.851.55
Total Volume9,798.6192,71821,4785,7637,903
Total OI128,241.667111,547137,924117,990128,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$70.97$71.0024.9%7.2%23.0%12.1%25.4%1.4%-0.4%1.6M-138.3M-770.4K0.8516.72N/AN/A3,1162,64758,42259,568
2015-08-04$71.74$71.0024.6%7.1%21.3%11.0%25.0%0.8%0.3%2.0M-157.0M-777.7K0.6112.81N/AN/A5,4603,32958,77760,974
2015-08-05$75.23$71.0025.2%7.3%26.3%13.1%25.8%1.1%-0.6%5.5M-252.2M-734.5K0.2610.90N/AN/A17,1014,37760,76461,041
2015-08-06$74.01$65.0025.7%7.4%26.4%14.6%26.7%2.4%-0.1%4.9M-214.3M-816.3K0.589.52N/AN/A6,7723,94463,90762,159
2015-08-07$73.33$65.0025.3%7.4%25.7%13.4%26.7%1.7%0.0%4.5M-192.5M-835.1K0.9610.31N/AN/A4,3764,21465,33563,284
2015-08-10$73.91$65.0025.0%7.4%24.9%12.4%26.5%0.4%0.9%3.9M-198.6M-809.1K0.857.51N/AN/A3,7213,16764,59962,266
2015-08-11$73.82$65.0025.4%7.4%23.8%13.6%27.4%2.1%-0.1%3.7M-196.6M-822.9K0.249.18N/AN/A3,40682866,00063,031
2015-08-12$73.72$65.0025.9%7.6%23.8%15.2%27.2%1.4%0.5%3.5M-193.3M-816.7K1.169.66N/AN/A2,9983,46967,99263,390
2015-08-13$73.42$65.0026.4%7.6%23.8%17.0%28.0%1.1%0.1%3.1M-189.6M-827.1K1.118.02N/AN/A4,2124,66068,77663,880
2015-08-14$72.75$65.0026.8%7.6%23.8%18.3%27.7%0.6%-0.5%1.2M-169.3M-820.1K0.9711.14N/AN/A3,8893,76969,76865,268
2015-08-17$73.73$65.0026.3%7.6%23.6%16.6%27.0%0.6%0.4%4.1M-197.4M-805.3K0.7210.06N/AN/A4,5113,25268,26464,122
2015-08-18$73.81$65.0026.4%7.6%23.1%16.9%27.7%0.7%0.3%5.4M-201.7M-801.0K1.169.28N/AN/A2,7643,21369,98864,771
2015-08-19$71.61$65.0027.7%7.9%25.2%21.4%28.1%0.9%-0.3%-1.3M-137.2M-787.3K0.5210.93N/AN/A1,78992970,35065,001
2015-08-20$67.77$65.0030.4%8.7%31.5%30.4%31.6%1.5%-0.9%-1.1M-17.5M-784.9K1.0911.51N/AN/A5,7386,24670,69165,242
2015-08-21$65.63$65.0035.4%10.3%32.9%46.7%36.7%3.7%-1.6%-789.6K15.0M-794.9K1.0714.08N/AN/A7,5868,11472,27865,646
2015-08-24$64.27$65.0042.6%12.6%33.1%70.6%46.0%8.1%-0.5%329.0K-39.4M-820.8K3.7247.72N/AN/A4,33916,12358,35653,191
2015-08-25$64.05$65.0040.0%11.8%32.7%61.9%43.3%4.9%-1.5%-1.4M-28.0M-866.5K0.8733.41N/AN/A6,8215,90559,34063,384
2015-08-26$66.27$65.0037.8%11.4%35.4%54.6%42.6%4.3%-2.0%-766.9K-62.7M-901.0K0.5833.98N/AN/A7,7494,46962,32364,642
2015-08-27$66.94$65.0035.0%10.5%35.7%45.5%39.5%5.2%-2.4%-594.2K-72.0M-879.7K1.1129.37N/AN/A4,3514,83962,38964,696
2015-08-28$67.80$65.0034.6%10.2%36.1%44.1%41.2%4.7%-0.7%-202.1K-96.9M-894.2K1.2122.22N/AN/A4,3815,29464,42266,357
2015-08-31$66.35$65.0035.2%10.5%36.7%46.2%38.9%4.8%-0.5%-819.7K-69.7M-881.5K1.5519.35N/AN/A3,1044,79961,85066,571