EA Options History — May 2016

In May 2016, EA traded between $61.85 and $76.72. ATM implied volatility averaged 30.9%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 10.2% (HV 20d: 41.1%). Max pain ranged from $62.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2016-05-11: Highest Volume — 74,976 contracts
  • 2016-05-11: Largest IV drop — 24.5% change
  • 2016-05-03: Highest IV Rank — 67.7%
  • 2016-05-04: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.99$61.85$76.72$62.90$76.72
Max Pain$67.07$62.00$70.00$62.00$70.00
ATM IV30.9%25.0%40.3%39.6%25.3%
Expected Move8.9%6.9%13.5%12.9%7.1%
HV 20d41.1%22.2%51.1%24.0%48.3%
HV 60d32.0%25.7%36.6%29.3%33.7%
IV Rank34.0%12.5%67.7%65.2%13.4%
IV Percentile36.7%9.5%78.6%76.6%9.9%
Term Structure-0.5%-2.9%1.2%-2.9%-0.6%
VWIV31.3%24.2%46.2%45.0%24.8%
Skew 25d3.1%2.5%4.2%3.2%2.5%
Skew 10d7.7%4.5%12.5%10.9%10.8%
Call IV 25d29.1%23.2%37.9%35.9%24.0%
Put IV 25d32.2%26.3%41.1%39.0%26.6%
Bid-Ask Spread %12.677.3025.628.2912.46
Gamma HHI0.120.060.180.060.18
Net GEX6.0M341.4K13.7M614.8K13.7M
Net DEX-229.2M-540.6M21.6M-3.8M-268.1M
Net VEX-1.1M-1.4M-850.7K-997.0K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.432.300.692.27
Total Volume25,192.85710,44874,97610,94816,453
Total OI159,968.476112,828208,434112,828163,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$62.90$62.0039.6%12.9%24.0%65.2%45.0%3.2%-2.9%614.8K-3.8M-997.0K0.698.29N/AN/A6,4734,47558,88553,943
2016-05-03$62.18$62.0040.3%13.3%24.2%67.7%45.4%3.3%-2.2%769.9K7.3M-994.1K0.687.30N/AN/A7,4185,04363,82555,147
2016-05-04$61.85$62.0040.0%13.5%24.1%66.7%46.2%3.2%-1.9%341.4K21.6M-1.0M0.627.98N/AN/A6,4533,99565,48757,107
2016-05-05$62.20$65.0039.2%10.4%22.2%63.7%36.0%3.3%-1.9%868.5K10.7M-994.6K1.0311.13N/AN/A9,4639,77965,74457,252
2016-05-06$63.95$65.0038.3%10.0%24.4%60.4%34.3%3.2%-2.0%2.3M-57.6M-1.0M0.909.64N/AN/A8,2627,44569,27662,583
2016-05-09$64.57$65.0037.6%10.1%23.9%58.0%36.4%4.2%-2.4%3.3M-63.6M-986.1K2.3012.90N/AN/A7,34216,88963,13758,291
2016-05-10$64.66$65.0037.3%9.8%23.8%57.1%34.8%3.2%-2.3%4.6M-69.4M-985.6K0.8825.62N/AN/A31,22127,32766,14557,270
2016-05-11$73.29$62.5028.2%8.3%49.6%24.7%30.3%2.6%0.9%6.9M-475.2M-850.7K1.1412.99N/AN/A34,98539,99188,28275,632
2016-05-12$75.15$65.0028.1%8.1%50.0%24.3%28.4%2.6%0.5%6.8M-535.5M-1.0M0.749.17N/AN/A19,59714,55399,79796,959
2016-05-13$75.26$65.0027.7%8.0%49.4%22.9%28.2%3.6%0.6%10.4M-540.6M-1.1M1.7115.37N/AN/A13,99623,977108,163100,271
2016-05-16$76.56$70.0028.1%8.0%49.4%24.3%27.4%2.8%0.3%7.7M-461.9M-1.2M1.1913.90N/AN/A8,1379,69998,05992,670
2016-05-17$76.01$70.0028.9%8.3%49.4%27.1%30.3%3.4%-0.5%7.7M-442.0M-1.2M1.5025.36N/AN/A5,7238,58899,94294,092
2016-05-18$74.42$70.0027.3%7.8%50.2%21.6%27.4%3.3%0.5%5.0M-364.0M-1.1M1.3411.15N/AN/A8,35311,20799,42695,053
2016-05-19$73.58$70.0027.9%8.0%50.6%23.5%28.0%3.2%0.1%4.4M-329.3M-1.2M1.7110.84N/AN/A5,3459,135101,68997,254
2016-05-20$73.10$70.0026.9%7.6%50.7%20.2%26.5%3.2%0.9%8.4M-306.5M-1.1M0.438.28N/AN/A20,8238,992102,37797,630
2016-05-23$73.15$70.0026.8%7.6%50.7%19.8%27.7%3.5%0.1%6.2M-120.1M-1.2M1.0510.29N/AN/A16,81517,65974,60668,090
2016-05-24$75.41$70.0025.6%7.2%51.1%14.7%25.7%2.8%0.1%8.6M-208.7M-1.3M1.2115.22N/AN/A10,49712,65776,92578,747
2016-05-25$74.95$70.0025.4%7.1%49.3%13.9%25.3%3.0%1.2%8.4M-187.3M-1.4M1.6611.54N/AN/A7,87613,08580,78883,312
2016-05-26$75.07$70.0025.0%7.0%48.6%12.5%24.2%2.6%1.1%8.9M-191.5M-1.4M1.8812.45N/AN/A6,40212,01781,03484,676
2016-05-27$75.72$70.0025.0%6.9%48.3%12.6%24.9%3.2%-0.4%10.7M-227.8M-1.3M1.6014.08N/AN/A8,04012,86381,56684,513
2016-05-31$76.72$70.0025.3%7.1%48.3%13.4%24.8%2.5%-0.6%13.7M-268.1M-1.3M2.2712.46N/AN/A5,03511,41881,59782,096