EA Options History — August 2016

In August 2016, EA traded between $76.64 and $82.42. ATM implied volatility averaged 22.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.7% (HV 20d: 19.1%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.88.

Notable Days

2016-08-02: Highest Volume — 73,277 contracts
2016-08-03: Largest IV drop — 27.8% change
2016-08-01: Highest IV Rank — 34.6%
2016-08-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.82	$76.64	$82.42	$76.64	$81.35
Max Pain	$78.07	$75.00	$80.00	$75.00	$80.00
ATM IV	22.8%	20.1%	32.7%	32.7%	22.2%
Expected Move	6.6%	5.9%	10.7%	10.7%	6.2%
HV 20d	19.1%	17.2%	20.1%	17.8%	18.7%
HV 60d	22.7%	20.0%	32.9%	32.9%	20.5%
IV Rank	6.9%	0.0%	34.6%	34.6%	7.3%
IV Percentile	5.5%	0.0%	40.5%	40.5%	6.0%
Term Structure	0.2%	-1.3%	0.9%	-1.3%	0.5%
VWIV	23.7%	21.2%	37.6%	37.6%	22.2%
Skew 25d	2.9%	2.4%	3.8%	3.4%	3.1%
Skew 10d	6.3%	3.7%	12.9%	4.3%	5.8%
Call IV 25d	21.7%	19.0%	30.5%	30.4%	21.8%
Put IV 25d	24.6%	21.7%	34.3%	33.7%	24.9%
Bid-Ask Spread %	27.84	9.33	73.87	17.23	19.58
Gamma HHI	0.14	0.07	0.79	0.09	0.09
Net GEX	20.1M	-3.1M	205.0M	-661.2K	8.3M
Net DEX	-223.2M	-408.7M	-68.2M	-68.2M	-188.6M
Net VEX	-1.4M	-1.6M	-1.2M	-1.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.31	2.01	0.84	1.25
Total Volume	22,647.348	5,937	73,277	30,544	20,830
Total OI	174,886.696	127,601	255,319	159,706	167,125

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$76.64	$75.00	32.7%	10.7%	17.8%	34.6%	37.6%	3.4%	-1.3%	-661.2K	-68.2M	-1.4M	0.84	17.23	N/A	N/A	16,566	13,978	68,857	90,849
2016-08-02	$76.82	$75.00	32.5%	10.6%	17.8%	33.9%	37.0%	3.8%	-1.2%	2.6M	-96.5M	-1.5M	0.31	49.01	N/A	N/A	56,051	17,226	80,820	97,153
2016-08-03	$78.68	$75.50	23.5%	6.6%	19.4%	0.0%	24.0%	3.5%	-0.2%	68.8M	-408.7M	-1.5M	0.71	53.68	N/A	N/A	24,067	17,029	147,296	108,023
2016-08-04	$78.21	$77.50	22.9%	6.7%	19.6%	0.0%	23.2%	3.0%	-0.4%	30.9M	-245.0M	-1.4M	0.67	18.08	N/A	N/A	13,133	8,776	115,178	110,333
2016-08-05	$79.83	$77.50	21.2%	6.2%	19.3%	0.0%	22.1%	2.4%	-0.0%	205.0M	-368.0M	-1.3M	0.73	18.49	N/A	N/A	13,665	10,000	113,623	112,303
2016-08-08	$79.28	$77.50	21.3%	6.1%	19.2%	0.5%	22.8%	2.5%	0.1%	11.3M	-247.5M	-1.2M	0.79	21.39	N/A	N/A	8,302	6,583	78,759	98,555
2016-08-09	$78.73	$77.50	21.4%	6.4%	19.2%	0.8%	22.2%	2.7%	0.9%	10.0M	-213.4M	-1.3M	0.88	25.77	N/A	N/A	6,930	6,110	78,429	100,123
2016-08-10	$78.56	$77.50	20.6%	6.2%	17.2%	0.0%	22.4%	2.6%	0.9%	8.6M	-205.5M	-1.2M	0.72	23.67	N/A	N/A	9,727	6,979	78,183	100,862
2016-08-11	$77.95	$77.50	20.3%	6.0%	17.4%	0.0%	21.2%	2.6%	0.6%	6.4M	-177.7M	-1.2M	0.67	11.45	N/A	N/A	10,794	7,279	78,260	101,862
2016-08-12	$77.44	$77.50	20.1%	5.9%	17.5%	0.0%	22.0%	2.6%	0.5%	-3.1M	-157.1M	-1.2M	0.77	18.64	N/A	N/A	7,500	5,743	78,687	102,340
2016-08-15	$79.42	$77.50	21.9%	6.3%	19.6%	6.0%	23.0%	2.5%	0.6%	6.8M	-175.5M	-1.2M	0.41	9.94	N/A	N/A	14,712	6,088	68,054	96,857
2016-08-16	$78.14	$77.50	22.6%	6.5%	18.8%	8.5%	22.9%	3.2%	0.2%	9.9M	-153.7M	-1.2M	0.91	9.33	N/A	N/A	7,102	6,488	75,188	97,243
2016-08-17	$79.77	$77.50	22.0%	6.3%	20.1%	6.5%	22.6%	3.3%	0.6%	11.7M	-225.3M	-1.2M	0.34	17.01	N/A	N/A	5,865	1,993	75,781	98,359
2016-08-18	$80.98	$77.50	23.3%	6.7%	19.2%	10.8%	23.0%	2.8%	-0.2%	13.5M	-283.5M	-1.2M	0.47	11.52	N/A	N/A	6,533	3,089	78,824	99,355
2016-08-19	$81.80	$77.50	22.0%	6.3%	19.1%	6.5%	22.7%	2.4%	0.6%	9.6M	-318.1M	-1.2M	1.03	15.67	N/A	N/A	8,199	8,412	80,349	100,306
2016-08-22	$81.36	$80.00	21.4%	6.0%	19.3%	4.4%	22.1%	2.5%	0.5%	8.7M	-218.2M	-1.3M	1.04	24.86	N/A	N/A	6,387	6,653	63,824	63,777
2016-08-23	$82.41	$80.00	22.1%	6.3%	19.6%	6.6%	22.3%	2.6%	0.5%	9.1M	-253.8M	-1.3M	0.54	17.99	N/A	N/A	14,215	7,697	65,355	64,529
2016-08-24	$82.42	$80.00	21.9%	6.2%	19.5%	6.0%	22.2%	3.6%	0.3%	11.8M	-273.8M	-1.4M	0.48	23.20	N/A	N/A	4,003	1,934	74,096	67,155
2016-08-25	$81.44	$80.00	22.4%	6.3%	20.0%	7.7%	22.4%	2.8%	0.5%	11.2M	-243.7M	-1.4M	2.01	20.06	N/A	N/A	11,155	22,424	76,565	68,395
2016-08-26	$81.32	$80.00	21.9%	6.2%	20.1%	6.3%	22.0%	2.7%	0.5%	3.6M	-209.9M	-1.6M	1.23	66.67	N/A	N/A	15,483	19,019	83,910	85,519
2016-08-29	$81.57	$80.00	22.0%	6.2%	20.1%	6.5%	21.5%	3.3%	0.2%	8.3M	-197.5M	-1.6M	1.51	73.87	N/A	N/A	11,612	17,565	83,303	81,449
2016-08-30	$81.67	$80.00	21.9%	6.0%	20.1%	6.0%	21.3%	3.0%	0.4%	8.8M	-203.8M	-1.6M	1.89	73.22	N/A	N/A	9,327	17,666	84,515	82,066
2016-08-31	$81.35	$80.00	22.2%	6.2%	18.7%	7.3%	22.2%	3.1%	0.5%	8.3M	-188.6M	-1.6M	1.25	19.58	N/A	N/A	9,269	11,561	84,621	82,504