EA Options History — June 2016

In June 2016, EA traded between $71.47 and $77.22. ATM implied volatility averaged 26.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.4% (HV 20d: 26.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.96.

Notable Days

  • 2016-06-20: Highest Volume — 49,835 contracts
  • 2016-06-27: Largest IV spike — 19.5% change
  • 2016-06-27: Highest IV Rank — 40.1%
  • 2016-06-27: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.10$71.47$77.22$76.57$75.67
Max Pain$74.27$70.00$75.00$70.00$73.00
ATM IV26.0%23.8%34.1%25.6%26.3%
Expected Move7.3%6.6%9.2%7.0%6.6%
HV 20d26.4%13.0%48.1%47.9%23.9%
HV 60d33.3%32.6%34.6%33.5%34.6%
IV Rank13.3%1.2%40.1%14.5%9.8%
IV Percentile12.2%0.8%45.2%13.1%13.9%
Term Structure1.7%-0.9%10.6%-0.2%10.6%
VWIV26.5%23.0%31.9%25.0%25.7%
Skew 25d4.3%2.6%8.8%2.6%4.0%
Skew 10d8.6%3.9%13.7%6.4%13.3%
Call IV 25d24.1%22.2%31.2%24.1%22.4%
Put IV 25d28.5%25.8%39.9%26.6%26.4%
Bid-Ask Spread %14.509.0123.4911.8717.69
Gamma HHI0.140.090.210.170.11
Net GEX36.4K-22.6M22.3M14.7M-5.6M
Net DEX-99.3M-295.1M186.4M-268.7M-62.5M
Net VEX-1.3M-1.5M-1.2M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.6613.502.461.17
Total Volume19,191.54511,05549,83515,02711,882
Total OI165,134.818112,292184,058165,968170,922

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$76.57$70.0025.6%7.0%47.9%14.5%25.0%2.6%-0.2%14.7M-268.7M-1.3M2.4611.87N/AN/A4,34910,67883,36582,603
2016-06-02$76.56$75.0024.8%7.0%47.7%11.8%25.2%2.8%-0.4%17.1M-275.3M-1.3M10.279.01N/AN/A3,29433,83284,51783,330
2016-06-03$76.41$75.0024.2%6.9%47.8%9.6%24.4%3.0%-0.5%15.6M-255.9M-1.3M2.1411.83N/AN/A4,86110,39784,82386,245
2016-06-06$76.49$75.0024.3%6.9%47.5%10.1%25.3%2.9%0.3%16.2M-252.5M-1.2M2.729.40N/AN/A3,2738,91183,76487,354
2016-06-07$77.22$75.0024.4%7.0%47.5%10.2%23.6%3.8%-0.1%16.2M-295.1M-1.2M1.449.48N/AN/A5,4287,81683,53188,709
2016-06-08$76.21$75.0024.2%7.2%48.1%9.6%24.0%3.1%1.0%18.9M-236.7M-1.2M1.489.42N/AN/A5,2097,72084,57688,848
2016-06-09$76.29$75.0023.8%6.8%19.9%8.3%23.0%3.1%-0.2%22.3M-239.5M-1.2M0.8712.28N/AN/A6,7225,84284,91690,023
2016-06-10$75.24$75.0025.1%7.2%18.7%12.7%27.0%4.1%0.2%-5.4M-148.3M-1.2M0.7512.02N/AN/A11,9429,01586,35790,956
2016-06-13$74.18$75.0026.9%7.7%19.4%19.4%28.2%4.9%1.3%-8.5M-62.4M-1.2M1.8211.19N/AN/A12,93623,53369,21092,784
2016-06-14$74.57$75.0027.4%7.8%18.4%20.5%28.3%5.2%0.7%-10.7M-63.8M-1.4M1.8712.78N/AN/A4,9079,19975,929108,129
2016-06-15$74.33$75.0026.8%7.7%18.2%18.1%28.5%5.0%0.9%-10.8M-59.8M-1.3M1.6216.91N/AN/A5,0758,20075,964106,934
2016-06-16$75.02$75.0027.0%7.7%17.0%18.9%28.2%5.1%0.2%-5.0M-110.0M-1.3M2.0315.39N/AN/A5,20410,56276,112105,660
2016-06-17$74.61$72.5026.2%7.5%16.6%16.1%28.0%5.1%0.7%-352.6K-92.4M-1.3M1.8812.88N/AN/A5,32410,00176,797105,583
2016-06-20$75.29$72.5024.9%6.9%16.6%11.3%26.8%3.9%-0.5%3.8M-67.6M-1.2M13.5020.44N/AN/A3,43746,39848,96563,327
2016-06-21$75.51$75.0024.9%7.0%16.6%5.2%24.1%4.4%0.3%-3.8M-25.3M-1.4M1.1613.67N/AN/A7,7678,98150,46895,368
2016-06-22$74.83$75.0024.9%7.2%13.0%5.1%27.2%4.3%0.7%-2.5M-12.6M-1.4M2.9512.11N/AN/A3,48710,29653,14791,186
2016-06-23$76.00$75.0024.1%6.8%14.0%1.2%25.6%4.7%0.1%1.7M-69.8M-1.4M3.3220.77N/AN/A3,25410,79254,60493,235
2016-06-24$73.40$75.0028.5%8.6%18.8%18.3%31.9%5.3%-0.9%-10.9M68.5M-1.5M6.8222.15N/AN/A4,31529,41855,09695,384
2016-06-27$71.47$75.0034.1%9.2%20.5%40.1%31.0%8.8%3.9%-21.6M186.4M-1.5M2.6023.49N/AN/A6,80317,72250,034110,993
2016-06-28$72.60$73.0028.0%7.7%20.8%16.1%25.8%5.5%9.0%-22.6M116.3M-1.5M0.6620.16N/AN/A7,4544,92352,996112,201
2016-06-29$73.72$73.0025.3%6.9%21.7%5.7%25.6%3.8%9.6%-18.0M41.4M-1.5M1.5213.98N/AN/A4,3826,67355,643112,378
2016-06-30$75.67$73.0026.3%6.6%23.9%9.8%25.7%4.0%10.6%-5.6M-62.5M-1.4M1.1717.69N/AN/A5,4826,40056,169114,753