EA Options History — September 2015

In September 2015, EA traded between $63.42 and $70.90. ATM implied volatility averaged 34.2%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 1.1% (HV 20d: 35.3%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2015-09-18: Highest Volume — 12,795 contracts
  • 2015-09-28: Largest IV spike — 24.3% change
  • 2015-09-29: Highest IV Rank — 74.6%
  • 2015-09-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.11$63.42$70.90$63.42$67.81
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV34.2%27.7%43.9%40.8%42.2%
Expected Move9.5%7.9%12.3%12.3%10.0%
HV 20d35.3%29.6%39.7%39.2%29.6%
HV 60d29.8%29.1%31.1%29.1%31.1%
IV Rank42.6%21.2%74.6%64.6%69.1%
IV Percentile65.3%49.2%94.8%89.7%92.9%
Term Structure1.5%-1.7%8.8%-0.4%-0.3%
VWIV33.8%27.6%42.5%42.5%36.5%
Skew 25d5.4%3.7%7.7%4.0%7.4%
Skew 10d10.6%5.9%17.8%10.4%14.5%
Call IV 25d32.3%26.5%41.8%39.4%39.7%
Put IV 25d37.7%31.1%49.5%43.4%47.1%
Bid-Ask Spread %17.1011.5822.6019.1419.79
Gamma HHI0.130.090.250.250.09
Net GEX1.2M-1.9M2.7M-1.9M1.5M
Net DEX-104.7M-166.7M-19.7M-19.7M-90.0M
Net VEX-818.7K-884.6K-788.6K-884.6K-798.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.432.071.351.35
Total Volume7,063.4761,51412,7958,6176,482
Total OI119,921.14395,982136,628129,245102,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$63.42$65.0040.8%12.3%39.2%64.6%42.5%4.0%-0.4%-1.9M-19.7M-884.6K1.3519.14N/AN/A3,6664,95162,17967,066
2015-09-02$64.51$65.0038.1%10.8%34.9%55.4%38.7%5.1%-0.9%-1.7M-40.5M-880.1K1.0717.83N/AN/A4,1204,42362,99367,722
2015-09-03$65.89$65.0034.8%10.2%36.2%44.8%34.0%3.7%-0.1%-891.8K-64.8M-858.9K1.1015.14N/AN/A4,2094,61763,60167,829
2015-09-04$66.47$65.0035.2%10.4%36.5%46.2%37.7%4.5%0.7%-581.4K-71.5M-862.6K1.3617.07N/AN/A3,7355,09663,81468,063
2015-09-08$68.50$65.0034.2%9.8%38.3%42.8%35.4%7.0%-1.0%759.5K-116.1M-852.9K0.4315.26N/AN/A1,55666863,61867,330
2015-09-09$67.63$65.0035.2%9.5%38.5%46.2%34.5%4.3%-1.7%828.6K-108.7M-831.0K1.7211.58N/AN/A2,5384,37564,19367,699
2015-09-10$68.71$65.0033.7%9.4%39.1%41.1%34.4%5.9%-1.4%1.6M-126.1M-832.8K1.7113.21N/AN/A2,9124,99164,42168,029
2015-09-11$68.84$65.0032.8%9.3%39.2%38.1%33.2%5.1%-0.6%1.6M-128.3M-830.7K1.8711.75N/AN/A2,4714,62664,91068,870
2015-09-14$68.29$65.0033.2%9.5%39.1%39.5%34.5%6.2%0.8%1.6M-120.4M-817.9K1.7412.99N/AN/A2,4574,27464,40668,102
2015-09-15$69.38$65.0031.4%9.0%39.3%33.4%32.5%5.4%0.2%2.1M-140.4M-797.8K0.8813.39N/AN/A80670864,88468,226
2015-09-16$70.32$65.0029.6%8.5%39.7%27.6%30.6%5.2%-0.5%2.5M-154.2M-788.6K2.0715.83N/AN/A2,8875,97165,11168,628
2015-09-17$70.90$65.0028.6%8.2%38.5%24.2%28.4%4.9%-0.7%2.7M-166.7M-794.4K1.9019.06N/AN/A2,9395,57565,80270,316
2015-09-18$70.15$65.0029.1%8.3%32.9%25.8%29.1%6.2%0.2%1.9M-152.9M-796.4K2.0315.89N/AN/A4,2268,56966,34270,286
2015-09-21$70.55$65.0027.7%7.9%30.4%21.2%27.6%3.9%8.8%2.3M-124.8M-795.0K1.7720.06N/AN/A2,0693,65844,48551,497
2015-09-22$68.49$65.0030.6%8.6%31.5%30.9%29.8%4.9%5.8%1.8M-99.0M-794.4K1.6021.59N/AN/A2,0123,22945,05351,898
2015-09-23$69.50$65.0029.5%8.4%31.6%27.3%29.4%4.5%8.5%2.5M-113.6M-797.2K1.2119.69N/AN/A2,8793,48946,13452,416
2015-09-24$68.83$65.0031.4%8.7%29.9%33.7%32.2%4.8%7.0%2.6M-104.8M-795.6K1.2122.60N/AN/A2,8373,44347,19252,712
2015-09-25$69.58$65.0033.5%8.6%29.9%40.4%31.7%6.2%7.0%2.1M-117.7M-798.1K1.1220.31N/AN/A3,3443,74247,35853,176
2015-09-28$66.60$65.0041.6%10.7%33.7%67.2%38.0%6.6%-0.0%1.4M-74.3M-790.0K1.6420.81N/AN/A2,5694,21146,26052,737
2015-09-29$66.04$65.0043.9%10.9%32.9%74.6%38.2%7.7%0.9%975.8K-63.4M-794.4K1.1216.03N/AN/A3,2993,70446,76854,169
2015-09-30$67.81$65.0042.2%10.0%29.6%69.1%36.5%7.4%-0.3%1.5M-90.0M-798.8K1.3519.79N/AN/A2,7613,72147,67354,376