EA Options History — September 2016

In September 2016, EA traded between $80.11 and $85.56. ATM implied volatility averaged 23.5%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.1% (HV 20d: 19.4%). Max pain ranged from $80.00 to $81.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2016-09-30: Highest Volume — 26,359 contracts
  • 2016-09-29: Largest IV spike — 10.6% change
  • 2016-09-29: Highest IV Rank — 20.0%
  • 2016-09-13: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.04$80.11$85.56$81.66$85.56
Max Pain$80.19$80.00$81.00$80.00$81.00
ATM IV23.5%21.5%26.0%22.1%25.7%
Expected Move6.7%5.8%7.2%6.0%6.0%
HV 20d19.4%17.9%21.0%18.5%20.9%
HV 60d20.4%18.8%22.0%20.3%19.4%
IV Rank11.7%4.7%20.0%6.6%19.1%
IV Percentile11.4%2.8%25.0%6.0%24.6%
Term Structure2.5%-0.1%9.9%0.3%9.4%
VWIV23.6%21.4%26.5%21.4%21.5%
Skew 25d3.2%2.6%3.8%3.1%3.6%
Skew 10d6.4%3.5%8.6%4.0%5.9%
Call IV 25d22.1%20.1%23.7%20.6%20.6%
Put IV 25d25.3%23.2%26.8%23.7%24.2%
Bid-Ask Spread %22.408.6041.1819.4536.05
Gamma HHI0.140.090.720.090.72
Net GEX12.8M877.8K83.4M9.1M83.4M
Net DEX-220.9M-300.7M-106.4M-203.0M-264.2M
Net VEX-1.4M-1.6M-1.2M-1.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.742.461.211.69
Total Volume12,523.6196,82326,35921,32026,359
Total OI156,320.952135,907178,462167,969135,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$81.66$80.0022.1%6.0%18.5%6.6%21.4%3.1%0.3%9.1M-203.0M-1.6M1.2119.45N/AN/A9,63911,68185,00382,966
2016-09-02$83.40$80.0021.5%5.8%18.5%4.7%21.4%3.2%0.5%10.6M-291.8M-1.6M2.3423.86N/AN/A5,27412,33584,90883,209
2016-09-06$83.74$80.0022.5%6.7%18.2%8.3%23.0%3.0%0.1%11.1M-288.3M-1.5M0.7818.79N/AN/A7,4625,82683,03683,022
2016-09-07$82.87$80.0022.6%6.7%18.5%8.6%22.7%2.8%0.2%8.8M-245.9M-1.5M1.5024.36N/AN/A4,2456,38082,40784,628
2016-09-08$82.14$80.0022.8%6.6%18.9%9.0%22.7%2.7%-0.0%7.0M-212.5M-1.5M1.2722.14N/AN/A4,2755,42182,58685,721
2016-09-09$80.11$80.0024.1%6.9%21.0%13.5%23.1%3.7%-0.1%877.8K-106.4M-1.5M0.9823.25N/AN/A6,0095,87782,94986,135
2016-09-12$80.75$80.0023.6%7.0%20.9%12.0%26.5%3.6%0.8%3.4M-145.3M-1.5M1.5320.47N/AN/A4,8487,43783,61985,245
2016-09-13$80.69$80.0024.3%7.2%19.0%14.3%24.3%3.7%0.8%2.5M-143.6M-1.5M1.1520.90N/AN/A4,3985,05385,42988,506
2016-09-14$80.86$80.0023.9%7.1%17.9%13.0%24.0%3.2%1.1%3.6M-162.5M-1.5M1.7324.44N/AN/A3,0905,36086,71388,987
2016-09-15$83.59$80.0023.8%7.0%20.1%12.5%24.0%2.6%0.7%10.8M-300.7M-1.5M0.8526.53N/AN/A6,6285,61086,93989,158
2016-09-16$83.00$80.0023.9%7.0%19.8%13.1%24.1%2.6%0.5%6.4M-282.7M-1.4M0.7841.18N/AN/A7,0185,48888,68489,778
2016-09-19$82.79$80.0024.5%7.0%19.5%14.8%24.9%3.1%0.7%6.4M-177.3M-1.4M1.1140.27N/AN/A3,2333,59070,82068,074
2016-09-20$83.33$80.0023.9%6.9%19.5%13.0%24.1%2.8%0.6%8.3M-199.5M-1.4M0.8521.06N/AN/A3,9883,37471,41568,698
2016-09-21$83.54$80.0023.7%6.8%19.0%12.2%24.0%3.0%0.4%10.2M-212.1M-1.4M1.0828.10N/AN/A3,5543,83471,99668,870
2016-09-22$83.29$80.0022.6%6.5%19.1%8.6%22.6%3.2%0.8%10.2M-202.2M-1.3M0.9617.57N/AN/A4,0663,91369,72768,513
2016-09-23$84.25$80.0022.7%6.4%18.8%8.9%22.8%3.0%0.6%14.8M-248.0M-1.3M1.6711.45N/AN/A3,5896,00271,01568,995
2016-09-26$83.57$80.0023.8%6.7%19.1%12.6%25.1%3.8%9.9%9.8M-205.5M-1.3M2.4614.20N/AN/A4,15310,22969,69868,903
2016-09-27$85.26$81.0023.0%6.4%20.2%9.8%24.4%3.2%8.7%17.3M-265.9M-1.3M1.5315.12N/AN/A4,6377,09070,34573,212
2016-09-28$84.95$81.0023.5%6.4%20.4%11.6%24.3%3.3%8.6%18.0M-254.1M-1.3M2.188.60N/AN/A3,3357,25670,41472,455
2016-09-29$84.39$81.0026.0%6.7%20.5%20.0%23.9%3.4%8.7%15.9M-226.9M-1.3M0.7412.57N/AN/A12,3169,12470,94273,113
2016-09-30$85.56$81.0025.7%6.0%20.9%19.1%21.5%3.6%9.4%83.4M-264.2M-1.2M1.6936.05N/AN/A9,80916,55064,39871,509