EA Options History — November 2015

In November 2015, EA traded between $67.06 and $74.22. ATM implied volatility averaged 34.0%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.7% (HV 20d: 33.3%). Max pain ranged from $65.00 to $72.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-11-23: Highest Volume — 48,972 contracts
  • 2015-11-23: Largest IV spike — 13.4% change
  • 2015-11-23: Highest IV Rank — 78.3%
  • 2015-11-23: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.45$67.06$74.22$71.89$67.79
Max Pain$66.55$65.00$72.00$71.50$67.50
ATM IV34.0%30.4%39.1%30.7%33.6%
Expected Move10.0%8.6%11.2%9.7%11.1%
HV 20d33.3%28.6%39.7%33.1%35.7%
HV 60d32.8%31.4%34.0%33.1%32.7%
IV Rank55.9%40.4%78.3%41.4%54.1%
IV Percentile61.2%53.6%81.7%54.8%54.8%
Term Structure-0.8%-2.8%2.1%-0.1%-1.4%
VWIV36.0%30.6%45.0%34.5%38.5%
Skew 25d5.4%3.9%7.8%4.4%7.8%
Skew 10d10.9%-3.8%17.5%5.6%14.6%
Call IV 25d32.2%28.5%37.5%29.2%28.7%
Put IV 25d37.6%33.6%44.4%33.6%36.5%
Bid-Ask Spread %29.9920.0449.5622.7139.57
Gamma HHI0.110.080.140.120.11
Net GEX4.6M-2.1M11.2M3.8M1.8M
Net DEX-169.8M-277.6M-78.2M-184.8M-119.9M
Net VEX-925.1K-1.1M-828.6K-844.6K-983.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.042.820.990.47
Total Volume14,102.25,56748,97210,3585,567
Total OI165,357.45134,886202,023134,886174,411

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$71.89$71.5030.7%9.7%33.1%41.4%34.5%4.4%-0.1%3.8M-184.8M-844.6K0.9922.71N/AN/A5,1995,15967,30167,585
2015-11-03$72.36$72.0030.5%9.5%32.4%40.6%34.7%4.2%-0.7%4.5M-190.1M-858.1K1.1022.44N/AN/A3,8794,27569,69469,271
2015-11-04$74.22$72.0030.4%9.5%33.0%40.4%33.6%5.7%-0.7%5.9M-247.6M-841.5K0.5825.68N/AN/A5,1102,93970,87970,518
2015-11-05$74.03$65.0030.9%8.6%32.9%42.5%32.4%5.0%-1.3%6.5M-242.5M-848.0K0.5123.11N/AN/A5,4282,74771,81270,995
2015-11-06$72.38$65.0031.5%8.9%33.6%45.0%30.6%4.5%-2.2%5.3M-197.2M-828.6K0.0427.87N/AN/A17,33264273,51971,225
2015-11-09$70.94$65.0033.1%9.6%30.5%52.0%32.9%4.9%0.3%6.8M-173.0M-886.2K2.8223.01N/AN/A2,3216,55183,55168,618
2015-11-10$70.72$65.0032.8%9.2%30.5%50.7%32.3%5.1%-0.7%5.2M-158.9M-889.7K0.9420.04N/AN/A4,1653,92384,60373,736
2015-11-11$70.56$65.0032.5%9.2%28.6%49.5%32.4%3.9%-0.4%6.2M-168.3M-878.4K0.9749.56N/AN/A4,0593,92586,45173,691
2015-11-12$71.68$65.0032.0%9.6%29.1%47.2%31.8%4.4%2.0%9.0M-205.6M-879.9K0.5623.12N/AN/A4,8122,67387,33874,046
2015-11-13$69.92$65.0035.1%10.1%30.1%60.7%34.9%6.7%2.1%1.0M-144.7M-902.8K0.7923.92N/AN/A7,8696,21889,81074,295
2015-11-16$67.99$65.0038.0%10.8%31.4%73.5%39.2%6.0%-1.5%2.1M-96.5M-881.3K1.3434.81N/AN/A9,15912,24791,18974,926
2015-11-17$68.19$65.0038.5%11.0%31.5%75.5%42.9%7.1%-1.5%2.6M-101.4M-907.0K0.7531.44N/AN/A10,8028,10395,55175,073
2015-11-18$68.46$65.0036.3%10.4%30.9%65.9%42.3%6.6%0.8%3.6M-113.1M-973.9K0.7035.06N/AN/A12,8839,067100,34978,964
2015-11-19$71.14$65.0035.3%10.2%33.2%61.7%35.8%7.1%-1.2%9.1M-221.5M-1.0M0.6629.28N/AN/A8,2105,430105,46779,593
2015-11-20$72.38$65.0034.5%10.1%33.8%58.1%35.6%5.8%-1.5%11.2M-277.6M-1.0M0.5032.27N/AN/A6,9963,472105,84180,990
2015-11-23$68.98$65.0039.1%11.2%37.5%78.3%45.0%5.9%-2.8%5.2M-167.3M-939.2K2.3846.51N/AN/A14,51034,46291,88667,227
2015-11-24$67.06$68.0036.3%10.6%37.8%65.8%38.9%4.4%-1.5%-2.1M-78.2M-1.0M1.1125.47N/AN/A6,7567,53295,95293,030
2015-11-25$69.52$67.5034.7%10.0%39.7%59.1%35.4%4.2%-1.7%3.5M-162.4M-1.1M1.5533.91N/AN/A6,3809,89199,79195,948
2015-11-27$68.88$67.5034.0%10.5%39.7%55.9%36.7%4.6%-1.4%1.5M-144.7M-1.0M1.5930.05N/AN/A4,3786,973101,590100,433
2015-11-30$67.79$67.5033.6%11.1%35.7%54.1%38.5%7.8%-1.4%1.8M-119.9M-983.0K0.4739.57N/AN/A3,7931,77484,56589,846