EA Options History — February 2016

In February 2016, EA traded between $55.29 and $64.59. ATM implied volatility averaged 36.3%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 11.3% (HV 20d: 47.5%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-02-03: Highest Volume — 40,603 contracts
  • 2016-02-05: Largest IV spike — 11.3% change
  • 2016-02-11: Highest IV Rank — 75.1%
  • 2016-02-11: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.39$55.29$64.59$64.19$64.40
Max Pain$65.55$65.00$67.50$67.00$65.00
ATM IV36.3%32.5%42.4%33.6%32.6%
Expected Move10.4%9.3%12.2%10.0%9.5%
HV 20d47.5%42.0%52.6%42.0%45.8%
HV 60d41.1%38.4%42.0%38.4%41.6%
IV Rank53.4%40.0%75.1%43.9%40.3%
IV Percentile59.0%37.7%89.7%49.6%39.3%
Term Structure-0.5%-1.7%0.6%-1.1%0.1%
VWIV37.0%33.0%43.2%37.4%36.4%
Skew 25d5.4%3.6%7.7%3.6%4.5%
Skew 10d10.7%5.6%14.8%8.7%10.1%
Call IV 25d34.0%30.2%39.6%31.8%30.2%
Put IV 25d39.4%34.7%46.5%35.4%34.7%
Bid-Ask Spread %15.2012.3619.9819.9814.43
Gamma HHI0.190.080.480.120.09
Net GEX393.4K-5.7M10.1M1.6M116.6K
Net DEX59.4M-32.3M184.2M19.9M-23.4M
Net VEX-895.0K-1.0M-751.9K-842.0K-908.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.193.371.953.37
Total Volume17,900.757,42240,60314,54313,426
Total OI139,795.4101,305168,953111,642108,132

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$64.19$67.0033.6%10.0%42.0%43.9%37.4%3.6%-1.1%1.6M19.9M-842.0K1.9519.98N/AN/A4,9339,61064,57147,071
2016-02-02$60.68$67.0034.9%10.8%43.6%48.6%37.2%4.9%-0.8%-3.5M97.5M-751.9K1.5817.66N/AN/A9,20914,53965,40553,635
2016-02-03$59.60$67.0034.5%10.1%43.7%47.1%34.9%4.9%-0.9%-5.7M132.3M-775.4K0.4217.19N/AN/A28,53812,06567,32759,528
2016-02-04$58.52$67.5035.1%10.1%43.4%49.4%34.3%5.2%-0.3%990.8K107.9M-898.2K3.0612.36N/AN/A6,51919,98190,95863,914
2016-02-05$55.29$67.5039.1%11.0%47.3%63.4%37.1%7.7%-0.3%-3.4M184.2M-829.5K1.6013.54N/AN/A7,37311,82892,84770,813
2016-02-08$56.28$65.0041.1%11.4%47.9%70.7%43.2%5.9%-1.7%-1.3M144.3M-891.1K1.3015.74N/AN/A5,3506,95992,66968,303
2016-02-09$58.32$65.0041.1%11.8%49.3%70.5%40.8%6.4%-0.0%1.5M81.6M-984.2K0.8914.61N/AN/A10,3629,23294,00867,756
2016-02-10$59.02$65.0039.5%11.0%48.7%64.8%40.6%6.4%-1.0%3.3M57.0M-991.8K1.4313.81N/AN/A6,7259,59096,06768,637
2016-02-11$58.45$65.0042.4%12.2%47.6%75.1%42.3%6.9%-0.1%2.6M75.9M-982.4K0.1917.56N/AN/A33,4216,41896,88369,386
2016-02-12$59.12$65.0040.2%11.2%47.4%67.3%39.4%5.7%-1.3%3.2M52.0M-1.0M0.7816.79N/AN/A7,1235,55298,00370,950
2016-02-16$59.29$65.0037.5%10.7%46.3%57.7%39.4%5.8%0.6%5.5M51.6M-911.2K0.6712.64N/AN/A5,0593,38595,64867,055
2016-02-17$59.81$65.0035.7%10.2%45.4%51.3%35.1%5.5%0.2%10.1M28.3M-897.8K0.7415.62N/AN/A9,6127,13095,97067,266
2016-02-18$58.34$65.0036.6%10.6%45.9%54.7%36.4%5.1%-1.3%1.8M112.6M-858.1K0.6116.58N/AN/A13,0947,92492,69968,829
2016-02-19$59.55$65.0034.4%9.8%46.7%46.7%35.2%4.9%0.1%-4.1M97.6M-851.0K0.4713.29N/AN/A12,1765,66888,78270,805
2016-02-22$63.23$65.0032.9%9.5%50.9%41.5%33.5%4.3%-0.7%-1.8M4.8M-873.8K0.4014.98N/AN/A7,8203,16248,81352,492
2016-02-23$61.50$65.0034.4%10.0%51.2%46.9%34.0%5.3%-0.6%-3.1M29.8M-875.0K0.5215.07N/AN/A4,8782,54451,66753,835
2016-02-24$63.20$65.0033.9%9.8%52.1%44.8%34.6%4.8%-0.7%-1.2M-1.6M-902.0K1.0915.20N/AN/A6,6657,28852,32754,108
2016-02-25$64.59$65.0033.2%9.4%52.6%42.4%34.5%4.7%-0.6%274.4K-32.0M-938.6K1.3914.33N/AN/A6,1568,53054,75959,220
2016-02-26$64.47$65.0032.5%9.3%52.5%40.0%33.0%4.5%-0.6%948.4K-32.3M-928.9K0.6512.61N/AN/A4,9573,21455,28059,490
2016-02-29$64.40$65.0032.6%9.5%45.8%40.3%36.4%4.5%0.1%116.6K-23.4M-908.3K3.3714.43N/AN/A3,07410,35252,70855,424