EA Options History — December 2015

In December 2015, EA traded between $66.33 and $72.41. ATM implied volatility averaged 36.1%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 5.7% (HV 20d: 41.8%). Max pain ranged from $55.00 to $68.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.30.

Notable Days

2015-12-11: Highest Volume — 23,971 contracts
2015-12-28: Largest IV spike — 17.4% change
2015-12-30: Highest IV Rank — 94.6%
2015-12-11: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.34	$66.33	$72.41	$68.63	$68.97
Max Pain	$63.45	$55.00	$68.00	$68.00	$65.00
ATM IV	36.1%	31.2%	42.8%	32.6%	42.0%
Expected Move	10.1%	9.0%	11.8%	10.5%	9.0%
HV 20d	41.8%	36.2%	47.0%	36.2%	38.7%
HV 60d	35.5%	32.2%	37.5%	32.7%	35.5%
IV Rank	65.0%	43.8%	94.6%	49.8%	91.1%
IV Percentile	65.8%	47.6%	98.4%	52.0%	93.7%
Term Structure	1.4%	-2.7%	10.0%	-0.7%	-1.3%
VWIV	36.2%	32.7%	40.7%	38.3%	34.0%
Skew 25d	4.7%	3.5%	5.9%	4.2%	5.4%
Skew 10d	10.5%	0.2%	17.6%	14.1%	11.4%
Call IV 25d	34.7%	30.4%	41.2%	31.9%	40.3%
Put IV 25d	39.4%	35.3%	46.3%	36.1%	45.6%
Bid-Ask Spread %	16.75	9.14	41.11	37.71	16.23
Gamma HHI	0.11	0.09	0.16	0.11	0.09
Net GEX	3.8M	-2.3M	9.3M	3.4M	3.6M
Net DEX	-164.4M	-271.5M	-59.8M	-150.3M	-152.6M
Net VEX	-950.4K	-1.1M	-819.2K	-979.5K	-819.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.60	4.37	1.76	0.84
Total Volume	10,826.409	4,245	23,971	4,245	7,028
Total OI	171,988	142,871	196,657	176,635	152,316

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
2015-12-01	$68.63	$68.00	32.6%	10.5%	36.2%	49.8%	38.3%	4.2%	-0.7%	3.4M	-150.3M	-979.5K	1.76	37.71	N/A	N/A	1,537	2,708	85,800	90,835
2015-12-02	$69.36	$68.00	31.8%	10.3%	36.3%	46.3%	36.5%	4.2%	0.9%	4.6M	-176.5M	-1.0M	0.63	41.11	N/A	N/A	7,685	4,870	86,188	92,220
2015-12-03	$67.20	$55.00	34.0%	10.3%	36.2%	56.0%	36.2%	5.5%	-0.3%	1.3M	-106.5M	-1.0M	0.99	26.11	N/A	N/A	5,742	5,669	88,316	92,754
2015-12-04	$70.46	$55.00	31.2%	9.4%	40.7%	43.8%	33.6%	5.0%	-0.3%	9.3M	-214.5M	-1.0M	0.91	20.35	N/A	N/A	5,423	4,913	88,932	94,117
2015-12-07	$70.79	$55.00	32.4%	9.6%	40.1%	48.7%	36.7%	3.5%	1.0%	6.5M	-223.2M	-1.0M	4.37	12.20	N/A	N/A	1,150	5,026	86,729	88,736
2015-12-08	$71.11	$65.00	32.5%	9.6%	39.5%	49.3%	34.9%	4.2%	1.1%	6.5M	-226.1M	-996.6K	0.83	11.24	N/A	N/A	4,476	3,703	86,922	92,728
2015-12-09	$67.07	$65.00	37.4%	10.7%	44.7%	70.8%	39.1%	5.1%	0.8%	1.3M	-98.5M	-979.7K	1.98	13.95	N/A	N/A	7,155	14,180	87,008	92,919
2015-12-10	$66.33	$60.00	35.9%	10.5%	44.8%	64.2%	40.0%	4.0%	0.7%	-2.3M	-59.8M	-979.1K	2.75	10.04	N/A	N/A	4,285	11,797	89,365	100,091
2015-12-11	$67.21	$60.00	39.8%	11.8%	44.6%	81.4%	40.7%	5.9%	3.0%	373.4K	-81.3M	-1.1M	0.78	9.14	N/A	N/A	13,500	10,471	89,758	106,899
2015-12-14	$69.63	$65.00	38.5%	11.0%	45.8%	75.4%	39.2%	4.4%	-0.6%	3.4M	-174.9M	-1.0M	1.01	14.90	N/A	N/A	3,510	3,553	87,999	100,994
2015-12-15	$72.41	$65.00	38.0%	11.0%	46.6%	73.7%	37.4%	5.8%	-2.5%	7.0M	-271.5M	-1.0M	0.60	11.65	N/A	N/A	8,261	4,970	88,091	101,163
2015-12-16	$72.06	$65.00	36.2%	10.4%	46.7%	65.7%	36.2%	4.2%	0.6%	6.1M	-247.6M	-1.0M	1.25	12.46	N/A	N/A	7,159	8,954	88,897	101,895
2015-12-17	$71.26	$65.00	34.6%	10.0%	47.0%	58.7%	36.5%	4.6%	-1.5%	5.0M	-231.7M	-973.6K	1.04	10.68	N/A	N/A	4,676	4,850	90,248	102,861
2015-12-18	$69.11	$65.00	35.4%	10.2%	46.3%	62.2%	36.2%	5.4%	-0.5%	3.9M	-148.3M	-930.1K	0.68	9.38	N/A	N/A	8,563	5,808	90,276	101,617
2015-12-21	$68.67	$65.00	35.7%	10.4%	45.8%	63.3%	39.3%	5.1%	8.4%	3.2M	-137.2M	-878.4K	1.27	15.66	N/A	N/A	5,260	6,692	72,311	70,560
2015-12-22	$69.04	$65.00	33.6%	9.6%	42.5%	54.0%	33.5%	4.6%	8.0%	3.5M	-145.9M	-876.1K	1.31	13.64	N/A	N/A	3,331	4,363	73,212	72,294
2015-12-23	$68.59	$65.00	32.8%	9.4%	41.3%	50.7%	33.6%	4.6%	9.6%	3.3M	-136.0M	-869.3K	1.82	14.52	N/A	N/A	4,028	7,349	74,243	72,847
2015-12-24	$68.95	$65.00	34.4%	9.3%	39.3%	57.9%	33.3%	4.3%	10.0%	3.2M	-143.1M	-913.2K	1.04	20.31	N/A	N/A	3,584	3,722	75,409	76,034
2015-12-28	$69.10	$65.00	40.4%	9.7%	39.1%	84.1%	35.6%	3.7%	-2.7%	2.5M	-147.3M	-867.2K	1.02	16.36	N/A	N/A	3,358	3,421	74,044	74,981
2015-12-29	$69.93	$65.00	41.6%	9.4%	38.8%	89.2%	33.6%	4.2%	-2.2%	4.0M	-172.7M	-857.5K	0.89	13.90	N/A	N/A	2,938	2,629	74,433	75,397
2015-12-30	$69.66	$65.00	42.8%	9.1%	38.7%	94.6%	32.7%	5.6%	-1.7%	4.7M	-171.0M	-837.7K	0.88	16.83	N/A	N/A	3,129	2,755	75,291	76,006
2015-12-31	$68.97	$65.00	42.0%	9.0%	38.7%	91.1%	34.0%	5.4%	-1.3%	3.6M	-152.6M	-819.2K	0.84	16.23	N/A	N/A	3,810	3,218	75,598	76,718