EA Options History — October 2015 In October 2015, EA traded between $64.78 and $76.69. ATM implied volatility averaged 41.3%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 10.8% (HV 20d: 30.5%). Max pain ranged from $65.00 to $71.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.20.
Notable Days 2015-10-30 : Highest Volume — 31,152 contracts2015-10-30 : Largest IV drop — 18.7% change2015-10-28 : Highest IV Rank — 91.5%2015-10-28 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $70.64 $64.78 $76.69 $66.88 $72.18 Max Pain $66.86 $65.00 $71.00 $65.00 $71.00 ATM IV 41.3% 32.5% 44.1% 43.2% 32.5% Expected Move 11.6% 9.6% 13.2% 10.2% 9.6% HV 20d 30.5% 26.4% 34.1% 29.8% 33.5% HV 60d 31.9% 30.3% 33.1% 31.1% 33.1% IV Rank 74.5% 49.4% 91.5% 72.4% 49.4% IV Percentile 89.1% 57.1% 96.0% 94.0% 57.1% Term Structure -1.5% -3.1% 0.4% 0.4% 0.1% VWIV 41.2% 34.5% 50.5% 35.7% 37.1% Skew 25d 5.2% 3.4% 7.5% 7.5% 3.4% Skew 10d 11.1% 6.1% 17.9% 7.9% 11.4% Call IV 25d 39.2% 32.1% 42.9% 39.6% 32.1% Put IV 25d 44.4% 35.5% 49.1% 47.1% 35.5% Bid-Ask Spread % 20.43 11.77 35.56 20.29 35.56 Gamma HHI 0.15 0.09 0.52 0.09 0.52 Net GEX 2.2M -13.2M 5.0M 1.3M -13.2M Net DEX -165.9M -270.7M -64.0M -77.7M -154.9M Net VEX -828.1K -889.3K -750.7K -787.1K -805.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.36 2.32 1.14 1.28 Total Volume 10,343.136 1,771 31,152 6,847 31,152 Total OI 116,420.045 100,134 161,638 102,403 161,638
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 2015-10-01 $66.88 $65.00 43.2% 10.2% 29.8% 72.4% 35.7% 7.5% 0.4% 1.3M -77.7M -787.1K 1.14 20.29 N/A N/A 3,204 3,643 47,889 54,514 2015-10-02 $66.31 $65.00 44.1% 9.6% 29.0% 75.2% 34.5% 6.2% -1.2% 974.6K -70.1M -772.1K 1.39 16.91 N/A N/A 3,573 4,958 47,978 54,763 2015-10-05 $67.59 $65.00 42.0% 11.1% 29.7% 68.5% 41.7% 5.4% -2.2% 1.3M -85.1M -770.2K 0.56 17.93 N/A N/A 1,132 639 45,988 54,146 2015-10-06 $66.56 $65.00 42.9% 11.8% 28.1% 71.3% 39.7% 5.9% -1.7% 1.1M -73.1M -759.0K 1.81 15.76 N/A N/A 1,898 3,437 46,565 54,404 2015-10-07 $66.11 $65.00 42.7% 11.7% 27.8% 70.7% 39.7% 7.2% -0.8% 814.2K -64.0M -750.7K 0.36 18.31 N/A N/A 9,690 3,533 46,750 54,828 2015-10-08 $65.80 $65.00 42.3% 11.4% 27.1% 69.4% 39.8% 5.7% -1.8% 1.8M -87.7M -838.6K 1.56 14.27 N/A N/A 2,375 3,698 54,529 55,180 2015-10-09 $64.78 $65.00 42.8% 11.7% 27.5% 71.1% 40.3% 5.0% -1.8% 1.5M -70.5M -834.1K 2.21 14.93 N/A N/A 2,446 5,402 54,954 55,841 2015-10-12 $68.06 $65.00 41.7% 11.2% 33.1% 67.6% 39.8% 3.7% -2.5% 2.5M -124.5M -852.8K 1.37 13.48 N/A N/A 3,728 5,097 54,471 57,655 2015-10-13 $68.39 $65.00 41.2% 11.5% 32.6% 65.7% 41.2% 4.4% -0.1% 2.7M -133.8M -862.1K 1.18 12.41 N/A N/A 3,374 3,968 56,272 59,449 2015-10-14 $70.48 $65.00 41.2% 11.8% 34.1% 65.9% 41.3% 4.8% 0.1% 3.5M -181.2M -889.3K 0.73 14.82 N/A N/A 6,044 4,383 57,590 59,746 2015-10-15 $70.95 $65.00 41.0% 11.7% 34.0% 65.1% 40.6% 5.4% -0.4% 5.0M -197.0M -883.2K 1.12 16.80 N/A N/A 2,965 3,319 59,837 61,319 2015-10-16 $71.73 $65.00 40.7% 11.7% 34.0% 65.1% 40.8% 5.0% -0.6% 3.0M -216.2M -874.5K 0.80 17.93 N/A N/A 4,128 3,293 60,286 61,367 2015-10-19 $72.17 $65.00 40.8% 11.7% 34.0% 79.4% 40.0% 5.0% -2.8% 3.5M -196.7M -852.3K 0.90 13.23 N/A N/A 3,895 3,486 56,049 58,152 2015-10-20 $71.79 $65.00 41.2% 11.8% 32.1% 84.6% 40.5% 4.9% -3.1% 3.7M -192.8M -863.4K 0.98 11.77 N/A N/A 3,382 3,331 57,534 58,814 2015-10-21 $72.83 $70.00 40.9% 11.7% 32.1% 83.3% 40.9% 4.6% -2.5% 4.3M -211.9M -878.8K 0.91 23.47 N/A N/A 3,737 3,406 58,328 59,135 2015-10-22 $74.40 $70.00 40.6% 11.8% 32.4% 82.1% 42.0% 5.4% -2.5% 4.8M -241.8M -822.7K 1.34 28.06 N/A N/A 2,461 3,297 57,981 59,579 2015-10-23 $74.91 $70.00 40.4% 11.8% 32.4% 81.8% 42.8% 4.8% -2.4% 4.9M -252.9M -814.9K 1.05 30.72 N/A N/A 3,164 3,311 58,104 59,774 2015-10-26 $74.08 $70.00 41.6% 12.8% 27.8% 86.7% 46.8% 4.0% -2.1% 3.9M -230.4M -797.1K 1.50 25.57 N/A N/A 3,131 4,686 56,838 58,756 2015-10-27 $75.23 $70.00 42.4% 13.1% 27.5% 90.1% 50.5% 4.7% -1.4% 3.9M -248.1M -810.2K 2.32 29.99 N/A N/A 2,089 4,854 57,919 60,620 2015-10-28 $76.69 $70.00 42.2% 13.2% 26.9% 91.5% 45.1% 5.1% -1.9% 4.0M -267.7M -830.3K 1.06 28.71 N/A N/A 14,291 15,080 58,465 62,494 2015-10-29 $76.11 $70.00 40.0% 12.6% 26.4% 82.1% 44.8% 5.4% -2.9% 3.5M -270.7M -868.6K 0.93 28.44 N/A N/A 14,966 13,903 70,357 74,383 2015-10-30 $72.18 $71.00 32.5% 9.6% 33.5% 49.4% 37.1% 3.4% 0.1% -13.2M -154.9M -805.0K 1.28 35.56 N/A N/A 13,640 17,512 78,962 82,676
« Sep 2015 | All History | Nov 2015 » Home EA History October 2015