EA Options History — January 2016

In January 2016, EA traded between $62.77 and $70.96. ATM implied volatility averaged 44.9%, placing in the 85.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.6% (HV 20d: 33.3%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-01-21: Highest Volume — 38,247 contracts
  • 2016-01-29: Largest IV drop — 18.4% change
  • 2016-01-04: Highest IV Rank — 100.0%
  • 2016-01-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.33$62.77$70.96$65.92$64.88
Max Pain$65.84$65.00$68.00$65.00$68.00
ATM IV44.9%35.9%49.4%45.6%35.9%
Expected Move12.4%10.0%13.8%11.8%10.0%
HV 20d33.3%28.2%41.9%40.4%41.9%
HV 60d36.5%35.3%38.4%36.7%38.4%
IV Rank85.9%51.9%100.0%100.0%51.9%
IV Percentile95.1%61.1%100.0%100.0%61.1%
Term Structure-2.1%-3.7%-0.3%-1.9%-2.1%
VWIV44.0%33.0%52.2%41.1%33.0%
Skew 25d5.8%4.4%9.2%5.2%4.4%
Skew 10d11.5%4.3%15.6%12.2%4.3%
Call IV 25d42.2%34.8%46.3%43.2%34.8%
Put IV 25d48.1%39.2%54.7%48.4%39.2%
Bid-Ask Spread %13.2710.4121.4411.0921.44
Gamma HHI0.130.070.190.100.10
Net GEX3.0M-2.1M11.6M1.3M-1.5M
Net DEX-64.8M-189.8M36.2M-72.3M36.2M
Net VEX-802.1K-929.5K-714.0K-778.3K-787.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.272.242.240.32
Total Volume14,514.6326,21238,24715,06627,933
Total OI131,928.78970,729164,689150,222132,905

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$65.92$65.0045.6%11.8%40.4%100.0%41.1%5.2%-1.9%1.3M-72.3M-778.3K2.2411.09N/AN/A4,64910,41775,16175,061
2016-01-05$65.00$65.0045.4%11.6%36.3%99.0%40.9%6.3%-2.7%298.6K-45.7M-805.7K1.3014.39N/AN/A2,7003,51276,85581,926
2016-01-06$63.48$65.0046.0%11.7%36.8%100.0%42.7%6.1%-2.6%-1.2M-1.6M-766.6K1.7513.50N/AN/A3,3215,79577,19882,754
2016-01-07$62.77$65.0049.4%12.3%36.7%100.0%43.0%8.3%-3.7%-2.1M19.4M-774.5K1.9512.63N/AN/A3,5216,87477,80584,891
2016-01-08$62.99$65.0048.2%12.6%31.1%95.5%43.2%9.2%-2.5%-2.0M10.3M-764.2K1.6313.27N/AN/A3,4075,54778,73784,041
2016-01-11$64.25$65.0045.8%12.0%32.0%87.2%41.3%4.8%-2.9%-292.0K-28.1M-758.3K2.1811.39N/AN/A3,4747,59076,52284,014
2016-01-12$65.67$65.0043.9%12.0%32.7%80.5%41.8%4.8%-2.0%2.2M-80.5M-766.6K1.0312.68N/AN/A3,8063,91478,27582,048
2016-01-13$63.49$65.0047.2%12.7%31.6%92.1%43.6%6.9%-2.0%-124.4K-3.7M-721.0K0.7812.52N/AN/A4,5463,56879,02182,525
2016-01-14$64.47$65.0045.1%12.0%28.2%84.6%41.9%4.5%-3.0%2.2M-32.5M-714.0K0.7613.56N/AN/A6,6515,04379,42682,784
2016-01-15$66.05$65.0046.8%13.0%30.2%90.8%44.9%5.0%-2.8%935.5K-139.7M-730.1K0.8117.74N/AN/A6,9305,61680,74283,947
2016-01-19$67.62$65.0044.7%12.7%31.6%83.4%43.4%5.5%-1.8%1.3M-42.1M-749.5K0.7610.97N/AN/A4,8133,65138,37432,355
2016-01-20$66.96$66.5046.5%13.3%30.0%89.7%52.2%6.1%-2.2%920.5K-32.0M-777.1K1.3911.67N/AN/A4,2325,89339,94034,100
2016-01-21$67.25$67.0044.7%12.9%30.0%83.3%46.9%6.5%-0.3%1.2M-34.0M-776.8K0.2710.41N/AN/A30,2278,02040,35037,412
2016-01-22$69.28$66.0041.6%12.1%31.9%72.2%47.8%5.7%-1.3%9.9M-134.1M-897.6K0.9012.10N/AN/A6,3725,74866,75439,116
2016-01-25$69.94$66.5044.5%13.3%31.9%82.5%48.4%6.1%-1.2%9.3M-151.0M-888.7K0.5011.03N/AN/A11,9895,99167,22536,959
2016-01-26$70.96$67.0043.6%13.1%32.3%79.5%45.4%5.7%-2.9%11.6M-189.8M-929.5K0.3712.77N/AN/A9,1113,36272,84535,008
2016-01-27$69.44$67.5043.9%13.5%33.3%80.4%46.3%5.7%-0.9%11.5M-154.2M-927.4K1.1412.60N/AN/A6,3357,19375,94836,018
2016-01-28$69.78$67.5043.9%13.8%33.0%80.5%47.8%4.5%-1.6%11.5M-156.1M-926.3K0.8916.26N/AN/A17,97716,05076,82240,783
2016-01-29$64.88$68.0035.9%10.0%41.9%51.9%33.0%4.4%-2.1%-1.5M36.2M-787.0K0.3221.44N/AN/A21,2036,73083,54349,362