EA Options History — July 2016

In July 2016, EA traded between $75.36 and $79.56. ATM implied volatility averaged 35.0%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.0% (HV 20d: 23.9%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.89.

Notable Days

  • 2016-07-21: Highest Volume — 44,496 contracts
  • 2016-07-05: Largest IV spike — 26.1% change
  • 2016-07-19: Highest IV Rank — 49.6%
  • 2016-07-27: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.09$75.36$79.56$76.01$76.44
Max Pain$74.90$73.00$75.00$73.00$75.00
ATM IV35.0%27.6%36.5%27.6%35.2%
Expected Move9.8%6.1%11.2%6.1%11.1%
HV 20d23.9%17.9%27.0%24.0%17.9%
HV 60d33.5%32.9%34.1%33.9%32.9%
IV Rank43.5%14.7%49.6%14.7%44.5%
IV Percentile54.7%20.6%66.3%20.6%56.3%
Term Structure-1.4%-3.5%11.5%11.5%-1.9%
VWIV34.9%23.4%39.3%23.4%38.8%
Skew 25d3.8%2.6%5.0%4.2%2.6%
Skew 10d7.9%4.4%12.0%7.9%4.4%
Call IV 25d32.6%21.3%35.1%21.3%34.3%
Put IV 25d36.4%25.5%39.0%25.5%37.0%
Bid-Ask Spread %12.588.9518.1415.5315.14
Gamma HHI0.150.090.290.100.20
Net GEX2.3M-31.9M37.8M312.6K9.8M
Net DEX-95.7M-254.0M81.0M-84.3M-57.5M
Net VEX-1.4M-1.5M-1.2M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.615.385.381.65
Total Volume21,996.59,43144,49624,82715,083
Total OI181,998148,478242,928173,175170,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$76.01$73.0027.6%6.1%24.0%14.7%23.4%4.2%11.5%312.6K-84.3M-1.4M5.3815.53N/AN/A3,89120,93657,841115,334
2016-07-05$75.88$75.0034.8%9.7%24.0%42.8%31.8%4.4%-1.9%-6.9M-64.7M-1.3M1.1713.69N/AN/A5,8376,82757,636119,404
2016-07-06$76.67$75.0036.5%9.5%24.0%49.6%32.2%5.0%-3.1%-744.2K-101.1M-1.3M1.1010.36N/AN/A4,7575,23060,362121,099
2016-07-07$76.57$75.0036.4%9.6%23.5%49.1%35.1%4.7%-2.6%1.4M-110.1M-1.3M0.988.95N/AN/A4,7724,65961,536121,894
2016-07-08$78.28$75.0035.7%9.3%24.8%46.2%34.2%4.2%-2.1%12.7M-197.9M-1.2M0.6110.70N/AN/A7,9284,82462,017122,219
2016-07-11$79.14$75.0034.2%9.0%24.3%40.4%35.6%4.1%-2.8%17.6M-245.7M-1.2M2.909.75N/AN/A9,03726,24464,469122,769
2016-07-12$79.56$75.0033.8%9.0%23.5%39.1%31.6%4.0%-2.4%15.3M-254.0M-1.3M0.6613.05N/AN/A9,9696,56567,317145,118
2016-07-13$77.71$75.0035.1%9.3%25.4%44.0%33.4%4.5%-3.5%19.6M-161.1M-1.3M1.5311.58N/AN/A6,4199,83671,250147,919
2016-07-14$78.05$75.0033.8%9.1%25.3%39.0%33.8%3.5%-2.8%22.0M-172.2M-1.3M1.2913.31N/AN/A17,13622,07072,568153,542
2016-07-15$77.77$75.0033.6%9.2%25.3%38.1%30.8%4.4%-1.9%37.8M-147.3M-1.4M0.9415.04N/AN/A15,83814,82678,027164,901
2016-07-18$78.24$75.0033.7%9.5%25.2%38.7%35.3%3.7%-0.5%-296.0K-90.4M-1.4M1.7314.95N/AN/A8,57014,79160,73687,742
2016-07-19$76.53$75.0036.5%10.4%26.5%49.6%36.8%3.6%-2.0%-5.4M-19.1M-1.4M3.8818.14N/AN/A9,01834,95965,07888,523
2016-07-20$76.65$75.0035.9%10.3%26.5%47.3%36.4%3.6%-1.5%-18.9M-4.2M-1.5M1.5012.36N/AN/A9,92114,86269,741103,875
2016-07-21$75.36$75.0036.4%10.5%27.0%49.2%37.2%3.4%-1.5%-31.9M81.0M-1.5M1.6412.89N/AN/A16,87527,62171,369103,345
2016-07-22$76.35$75.0036.1%10.5%26.8%47.8%36.9%3.2%-1.9%-21.3M-44.4M-1.5M3.3613.22N/AN/A4,88416,41877,677106,020
2016-07-25$76.84$75.0035.8%10.8%23.5%46.8%38.2%3.6%-1.2%-408.8K-66.5M-1.4M2.019.28N/AN/A4,7759,58867,67389,003
2016-07-26$76.86$75.0036.3%11.0%20.8%48.8%38.6%3.1%-2.0%-654.7K-68.5M-1.4M2.169.30N/AN/A4,1578,96869,36690,898
2016-07-27$76.68$75.0036.3%11.2%20.4%48.9%39.2%3.4%-1.9%-1.1M-65.3M-1.4M1.5612.92N/AN/A7,64911,94570,28491,378
2016-07-28$76.27$75.0035.2%11.1%20.1%44.4%39.3%3.0%-1.3%-2.9M-40.9M-1.5M1.8711.44N/AN/A4,2727,97374,45095,004
2016-07-29$76.44$75.0035.2%11.1%17.9%44.5%38.8%2.6%-1.9%9.8M-57.5M-1.5M1.6515.14N/AN/A5,6929,39175,21295,364