EA Options History — April 2016

In April 2016, EA traded between $61.96 and $66.82. ATM implied volatility averaged 33.7%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.0% (HV 20d: 21.7%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-04-27: Highest Volume — 22,492 contracts
  • 2016-04-11: Largest IV spike — 15.6% change
  • 2016-04-29: Highest IV Rank — 64.6%
  • 2016-04-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.88$61.96$66.82$65.84$61.96
Max Pain$64.71$62.00$65.00$65.00$62.00
ATM IV33.7%25.3%39.4%25.3%39.4%
Expected Move10.2%6.9%12.2%6.9%12.2%
HV 20d21.7%19.2%23.1%20.5%23.1%
HV 60d34.4%29.4%36.3%36.3%29.4%
IV Rank44.2%14.5%64.6%14.5%64.6%
IV Percentile50.3%15.9%75.8%15.9%75.8%
Term Structure1.1%-2.7%11.4%0.5%-2.1%
VWIV35.6%24.4%41.5%24.4%41.5%
Skew 25d3.7%2.5%5.0%3.4%4.0%
Skew 10d7.5%-1.4%12.3%8.1%8.2%
Call IV 25d31.9%23.7%37.1%23.9%37.1%
Put IV 25d35.6%27.4%41.1%27.4%41.1%
Bid-Ask Spread %12.207.6421.8715.6310.05
Gamma HHI0.110.060.240.150.07
Net GEX4.5M-1.6M12.5M11.3M-1.6M
Net DEX-37.1M-107.5M32.2M-89.2M32.2M
Net VEX-977.5K-998.5K-932.2K-995.4K-978.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.552.802.800.62
Total Volume12,826.0487,42322,49212,45215,418
Total OI112,175.04894,882128,670120,249112,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$65.84$65.0025.3%6.9%20.5%14.5%24.4%3.4%0.5%11.3M-89.2M-995.4K2.8015.63N/AN/A3,2789,17468,63551,614
2016-04-04$65.65$65.0025.8%9.6%20.5%16.3%36.6%3.8%10.2%11.5M-83.8M-963.7K2.089.34N/AN/A2,5945,39967,96648,695
2016-04-05$65.50$65.0026.4%9.7%19.5%18.2%34.2%3.4%9.2%11.0M-75.6M-964.5K1.517.79N/AN/A3,5825,41368,42949,734
2016-04-06$65.81$65.0025.5%9.7%19.2%15.3%34.1%3.2%9.4%12.5M-86.3M-998.5K1.3111.49N/AN/A3,2074,21669,57951,612
2016-04-07$63.91$65.0029.0%9.9%21.6%27.6%35.7%3.8%8.3%5.6M-21.1M-963.2K2.039.43N/AN/A4,4949,10969,86552,153
2016-04-08$64.21$65.0029.6%9.8%21.5%29.6%33.5%3.6%11.4%4.8M-18.3M-996.1K1.0511.06N/AN/A8,3688,74570,27457,294
2016-04-11$63.21$65.0034.2%10.2%21.4%46.0%35.1%3.8%-0.3%3.2M5.0M-991.5K1.679.15N/AN/A4,3537,28371,76653,199
2016-04-12$62.96$65.0035.4%10.0%21.4%50.4%34.1%5.0%-1.5%1.4M18.3M-960.4K2.5911.33N/AN/A4,41211,40771,80053,883
2016-04-13$64.67$65.0035.4%9.6%22.9%50.4%33.2%4.0%-2.5%9.8M-35.5M-990.8K1.3411.13N/AN/A6,6698,92172,10655,728
2016-04-14$64.94$65.0035.1%9.6%22.8%49.1%34.1%3.5%-1.8%8.9M-39.4M-991.6K2.1310.80N/AN/A4,5059,57670,79056,562
2016-04-15$66.82$65.0035.9%9.8%22.4%52.2%34.5%2.5%-2.7%1.6M-107.5M-989.1K0.8113.90N/AN/A11,4309,28471,73556,935
2016-04-18$66.56$65.0036.5%10.3%22.5%54.2%35.5%3.9%-0.9%2.5M-57.4M-986.1K1.2120.57N/AN/A5,6366,80446,54448,338
2016-04-19$66.10$65.0036.9%10.5%22.5%55.5%36.5%4.1%-2.2%2.4M-49.0M-982.4K1.3718.32N/AN/A5,0856,98046,82048,768
2016-04-20$65.75$65.0036.9%10.6%22.6%55.4%36.2%4.5%-1.2%2.3M-45.2M-981.2K2.1521.87N/AN/A3,5017,52947,95549,210
2016-04-21$66.19$65.0037.2%10.8%21.8%56.7%37.0%3.9%-1.8%2.9M-48.8M-991.9K2.5715.05N/AN/A2,7317,01047,53349,795
2016-04-22$65.88$65.0036.4%10.6%21.4%53.7%37.1%4.2%-1.2%4.2M-44.2M-980.6K2.3710.60N/AN/A2,8766,82847,85149,953
2016-04-25$65.83$65.0037.0%10.9%21.3%55.9%38.1%3.3%-1.9%1.3M-41.6M-960.5K1.997.64N/AN/A3,1556,27246,33448,768
2016-04-26$65.22$65.0036.4%10.8%20.1%54.0%37.8%3.2%-2.2%926.8K-30.8M-953.6K2.689.61N/AN/A2,8277,56846,87149,037
2016-04-27$63.18$65.0036.7%11.3%22.7%54.9%38.9%3.5%-2.6%-1.3M14.8M-932.2K0.5512.41N/AN/A14,4748,01847,65750,156
2016-04-28$62.29$62.0036.7%11.5%23.1%54.7%38.6%4.0%-1.5%-1.3M23.7M-976.1K0.939.03N/AN/A5,8145,40256,34054,463
2016-04-29$61.96$62.0039.4%12.2%23.1%64.6%41.5%4.0%-2.1%-1.6M32.2M-978.2K0.6210.05N/AN/A9,5305,88857,80655,123