EA Options History — October 2016

In October 2016, EA traded between $78.68 and $85.59. ATM implied volatility averaged 34.2%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 16.2% (HV 20d: 18.1%). Max pain ranged from $82.50 to $84.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-10-27: Highest Volume — 56,745 contracts
  • 2016-10-28: Largest IV spike — 9.0% change
  • 2016-10-31: Highest IV Rank — 60.4%
  • 2016-10-31: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.15$78.68$85.59$85.59$78.68
Max Pain$82.71$82.50$84.00$84.00$82.50
ATM IV34.2%31.0%37.8%31.0%37.8%
Expected Move9.5%6.4%13.0%6.5%13.0%
HV 20d18.1%15.3%20.9%19.7%20.9%
HV 60d18.8%18.0%20.2%18.9%19.9%
IV Rank48.2%37.3%60.4%37.3%60.4%
IV Percentile59.6%43.7%84.1%43.7%84.1%
Term Structure-1.7%-3.5%0.4%-1.6%-1.5%
VWIV33.3%23.3%45.2%23.3%45.2%
Skew 25d4.1%2.3%5.1%3.7%4.9%
Skew 10d7.7%-2.9%12.7%8.7%12.7%
Call IV 25d32.5%31.1%35.3%31.6%34.7%
Put IV 25d36.6%34.8%40.2%35.3%39.6%
Bid-Ask Spread %21.197.5731.719.1025.24
Gamma HHI0.090.070.120.100.09
Net GEX3.5M-6.1M11.3M7.0M-4.8M
Net DEX-126.9M-208.6M74.2M-208.6M74.2M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.392.431.650.75
Total Volume18,496.5718,86556,74510,12620,653
Total OI153,327.952129,008191,650129,008191,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$85.59$84.0031.0%6.5%19.7%37.3%23.3%3.7%-1.6%7.0M-208.6M-1.2M1.659.10N/AN/A3,8156,31163,22765,781
2016-10-04$85.51$84.0033.2%6.5%19.7%44.6%25.2%3.8%-2.0%7.2M-208.5M-1.2M2.317.57N/AN/A3,4537,97264,41066,762
2016-10-05$85.43$84.0034.1%6.4%19.2%47.8%23.8%3.9%-1.4%7.0M-207.3M-1.2M2.4326.17N/AN/A3,4498,36664,83668,869
2016-10-06$84.40$82.5033.7%8.9%19.5%46.4%31.4%3.3%0.4%2.6M-156.1M-1.2M1.2825.60N/AN/A9,01511,54265,15171,143
2016-10-07$83.75$82.5033.9%9.0%17.2%46.9%32.1%3.5%-1.0%1.2M-128.1M-1.3M1.1816.02N/AN/A9,35411,07869,01375,735
2016-10-10$84.84$82.5032.9%8.9%17.5%43.6%31.2%5.1%-1.6%5.9M-187.4M-1.2M1.0713.23N/AN/A7,6528,22469,15474,974
2016-10-11$83.36$82.5033.2%9.1%18.9%44.8%32.3%3.9%-0.7%916.1K-118.5M-1.2M0.9516.95N/AN/A10,98710,45870,44175,598
2016-10-12$82.66$82.5033.3%9.1%19.2%45.2%31.9%4.4%-1.3%-636.8K-93.1M-1.3M0.7625.14N/AN/A11,9639,14777,42678,128
2016-10-13$81.95$82.5034.5%9.3%15.3%48.9%33.1%3.5%-1.9%-1.7M-55.7M-1.3M1.2321.83N/AN/A8,14210,01879,55679,298
2016-10-14$82.79$82.5034.1%9.3%15.6%47.7%32.2%3.4%-1.5%57.7K-115.9M-1.3M0.9126.71N/AN/A8,1157,39082,88582,574
2016-10-17$82.40$82.5034.1%9.6%15.7%47.7%33.5%4.2%-2.0%-1.1M-96.3M-1.3M1.3017.69N/AN/A5,2126,76883,76779,872
2016-10-18$84.06$82.5032.7%9.2%17.1%43.0%31.7%4.7%-1.0%8.3M-200.9M-1.2M0.9721.84N/AN/A6,5086,30384,03380,217
2016-10-19$82.90$82.5034.7%9.9%17.8%49.7%33.6%4.2%-3.0%-96.4K-129.4M-1.2M1.2422.28N/AN/A8,36810,33985,67181,106
2016-10-20$82.40$82.5034.8%10.1%17.9%50.1%34.6%4.1%-2.6%-4.7M-109.6M-1.2M1.4020.31N/AN/A4,5966,42688,44282,488
2016-10-21$82.93$82.5034.7%10.2%17.6%49.8%35.4%3.3%-3.1%8.2M-149.6M-1.2M1.3219.50N/AN/A5,7697,60389,21883,294
2016-10-24$84.17$82.5034.3%10.5%18.2%48.4%35.6%2.3%-1.5%11.3M-191.0M-1.2M0.6317.75N/AN/A9,5276,02571,53763,521
2016-10-25$83.30$82.5035.0%10.7%17.0%50.7%37.3%4.4%-1.5%11.3M-169.9M-1.2M1.1731.71N/AN/A4,2885,03275,53764,457
2016-10-26$82.70$82.5036.2%11.1%17.1%54.9%38.0%5.0%-3.5%10.0M-143.3M-1.1M1.3427.24N/AN/A3,7905,07575,86465,048
2016-10-27$82.78$82.5034.0%10.8%17.0%47.3%37.6%4.5%-1.0%10.7M-143.1M-1.1M1.8426.59N/AN/A19,95736,78876,31165,143
2016-10-28$79.62$82.5037.0%11.9%20.8%57.7%40.8%4.9%-2.1%-6.1M73.5M-1.3M0.3926.52N/AN/A30,91812,03291,37396,377
2016-10-31$78.68$82.5037.8%13.0%20.9%60.4%45.2%4.9%-1.5%-4.8M74.2M-1.2M0.7525.24N/AN/A11,8038,85094,15897,492