EA Options History — March 2016

In March 2016, EA traded between $62.93 and $66.44. ATM implied volatility averaged 28.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.2% (HV 20d: 30.6%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-03-24: Highest Volume — 26,928 contracts
  • 2016-03-11: Largest IV drop — 6.4% change
  • 2016-03-08: Highest IV Rank — 34.3%
  • 2016-03-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.70$62.93$66.44$65.39$66.13
Max Pain$63.98$62.50$65.00$65.00$65.00
ATM IV28.4%25.4%30.9%30.7%25.4%
Expected Move8.2%7.2%9.1%8.9%7.2%
HV 20d30.6%20.8%45.9%45.9%21.6%
HV 60d38.2%36.4%41.7%41.7%36.4%
IV Rank25.5%14.9%34.3%33.5%14.9%
IV Percentile26.5%16.7%33.7%33.3%16.7%
Term Structure0.8%-0.6%4.0%1.0%-0.6%
VWIV29.1%25.2%32.1%31.9%25.2%
Skew 25d3.9%2.8%4.7%3.9%3.3%
Skew 10d8.7%4.5%13.0%12.1%5.8%
Call IV 25d26.9%24.1%29.6%28.7%24.1%
Put IV 25d30.8%27.3%33.5%32.6%27.3%
Bid-Ask Spread %13.998.5717.2515.3415.55
Gamma HHI0.100.060.150.090.13
Net GEX2.3M-2.5M11.2M98.7K10.5M
Net DEX-36.8M-114.7M12.8M-35.5M-101.2M
Net VEX-950.2K-1.0M-902.4K-927.1K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.243.311.123.31
Total Volume10,779.7275,98326,9285,98311,716
Total OI116,004.54598,450139,961110,781120,492

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$65.39$65.0030.7%8.9%45.9%33.5%31.9%3.9%1.0%98.7K-35.5M-927.1K1.1215.34N/AN/A2,8263,15752,93357,848
2016-03-02$66.00$65.0028.9%8.6%40.7%27.1%31.0%4.5%2.1%553.5K-47.3M-925.8K1.4114.59N/AN/A2,5703,62553,48358,762
2016-03-03$64.77$65.0029.2%8.6%40.8%28.4%31.7%4.1%1.0%-757.7K-23.4M-902.4K1.0110.56N/AN/A3,7503,78053,66959,431
2016-03-04$64.49$62.5029.9%8.6%40.1%30.9%32.0%4.1%1.6%-2.5M-17.6M-923.3K0.7312.22N/AN/A4,3803,18254,56960,814
2016-03-07$63.45$62.5030.3%9.0%33.9%32.1%30.6%4.7%0.6%-936.2K-203.4K-906.4K1.0313.78N/AN/A4,2394,36254,74657,937
2016-03-08$62.93$62.5030.9%9.1%34.1%34.3%31.6%4.0%1.0%-1.9M12.8M-908.7K1.2513.67N/AN/A2,8453,56755,21659,948
2016-03-09$63.84$62.5030.2%8.6%32.4%31.8%32.1%4.4%-0.3%-1.0M-6.7M-903.8K1.6113.84N/AN/A2,6564,27455,44860,059
2016-03-10$63.36$62.5030.7%8.9%32.5%33.5%30.4%4.4%0.3%-1.9M8.7M-932.5K1.6215.21N/AN/A3,1795,16255,78163,033
2016-03-11$64.38$62.5028.7%8.2%32.4%26.6%29.2%4.5%-0.3%-986.2K-14.3M-936.5K1.118.57N/AN/A3,3013,65056,35165,248
2016-03-14$64.56$62.5029.0%8.3%32.3%27.7%29.1%4.2%0.1%-595.2K-19.3M-920.9K0.6111.71N/AN/A4,1212,50456,01362,794
2016-03-15$65.59$62.5029.2%8.4%32.6%28.3%28.2%4.1%-0.1%396.5K-49.3M-924.1K0.568.95N/AN/A4,0972,27857,79363,307
2016-03-16$65.94$62.5027.7%7.9%32.5%22.9%26.2%3.7%-0.2%847.8K-60.4M-908.6K0.2416.10N/AN/A18,1034,38458,69263,565
2016-03-17$64.01$65.0027.7%7.9%33.2%22.9%28.2%4.0%0.4%2.4M-26.7M-970.1K0.8214.96N/AN/A4,3343,57374,21264,113
2016-03-18$64.39$65.0027.4%7.8%32.6%21.7%27.7%3.7%0.1%3.7M-33.7M-978.7K1.9616.88N/AN/A4,2058,25375,65164,310
2016-03-21$63.97$65.0027.6%7.9%25.2%22.6%30.0%4.2%0.4%3.1M-24.2M-956.6K2.1915.60N/AN/A3,1826,97955,22943,221
2016-03-22$63.84$65.0027.5%7.9%22.9%22.3%30.5%3.4%0.6%3.0M-21.2M-954.5K2.4014.32N/AN/A3,0387,29955,97044,634
2016-03-23$65.00$65.0027.7%7.9%21.7%22.8%28.0%3.3%0.6%5.2M-50.0M-979.2K1.5716.64N/AN/A4,9987,87056,38146,149
2016-03-24$64.22$65.0027.6%7.9%20.8%22.4%26.7%3.5%0.2%2.7M-31.8M-974.1K0.3814.44N/AN/A19,5087,42058,59948,150
2016-03-28$64.59$65.0027.4%7.9%20.9%21.8%27.2%3.2%4.0%6.8M-53.7M-995.1K1.6616.39N/AN/A4,8057,98863,54947,986
2016-03-29$66.03$65.0026.3%7.5%22.3%17.8%26.5%3.3%2.7%10.4M-99.9M-1.0M1.2617.25N/AN/A8,96611,30366,06949,722
2016-03-30$66.44$65.0025.6%7.3%21.8%15.4%25.8%2.8%2.6%11.2M-114.7M-1.0M2.1511.18N/AN/A3,7258,00068,16852,055
2016-03-31$66.13$65.0025.4%7.2%21.6%14.9%25.2%3.3%-0.6%10.5M-101.2M-1.0M3.3115.55N/AN/A2,7218,99568,32552,167