EA Options History — November 2016

In November 2016, EA traded between $76.38 and $81.75. ATM implied volatility averaged 27.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.3% (HV 20d: 25.7%). Max pain ranged from $77.50 to $80.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2016-11-03: Highest Volume — 75,344 contracts
  • 2016-11-02: Largest IV drop — 28.1% change
  • 2016-11-01: Highest IV Rank — 59.8%
  • 2016-11-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.01$76.38$81.75$77.96$79.32
Max Pain$77.76$77.50$80.50$80.50$77.50
ATM IV27.0%24.2%37.6%37.6%25.9%
Expected Move7.9%7.0%12.6%12.6%7.8%
HV 20d25.7%21.0%28.3%21.0%28.3%
HV 60d21.3%19.8%23.3%20.0%23.3%
IV Rank23.6%14.1%59.8%59.8%19.9%
IV Percentile30.4%16.7%83.7%83.7%29.0%
Term Structure-0.3%-7.4%0.7%-1.5%0.2%
VWIV27.2%24.6%43.4%43.4%27.6%
Skew 25d4.1%2.9%6.8%4.4%4.0%
Skew 10d8.4%5.2%18.0%9.2%6.2%
Call IV 25d25.2%22.7%35.1%35.1%24.5%
Put IV 25d29.3%26.0%39.5%39.5%28.5%
Bid-Ask Spread %23.5310.5239.3930.2820.00
Gamma HHI0.120.060.510.090.11
Net GEX6.7M-8.3M45.0M-8.2M5.8M
Net DEX-63.1M-167.7M122.0M122.0M-84.1M
Net VEX-996.7K-1.2M-866.5K-1.2M-913.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.342.420.361.09
Total Volume20,002.9056,63275,34461,5416,632
Total OI155,811.095124,317238,468193,259128,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$77.96$80.5037.6%12.6%21.0%59.8%43.4%4.4%-1.5%-8.2M122.0M-1.2M0.3630.28N/AN/A45,28316,25892,478100,781
2016-11-02$79.39$80.0027.1%8.6%22.5%23.8%30.2%4.7%0.0%-8.3M18.4M-1.2M0.6336.73N/AN/A25,59516,014126,017110,687
2016-11-03$80.29$77.5027.6%8.0%22.8%25.7%25.4%5.8%0.7%-4.7M-66.0M-1.2M1.2524.73N/AN/A33,50541,839125,451113,017
2016-11-04$80.07$77.5027.9%7.9%22.8%26.6%27.0%5.1%0.7%45.0M-157.8M-1.1M0.9123.07N/AN/A7,5956,898128,49687,187
2016-11-07$81.06$77.5026.4%7.6%22.7%21.3%25.4%4.6%0.1%11.0M-143.8M-1.1M1.0026.22N/AN/A4,8854,86780,72861,994
2016-11-08$81.75$77.5025.8%7.4%22.2%19.3%26.1%3.9%-0.6%13.0M-167.7M-1.1M1.1629.41N/AN/A4,0254,67981,16662,442
2016-11-09$79.38$77.5026.1%7.4%24.3%20.5%25.6%4.3%-0.2%7.1M-75.6M-1.0M1.3222.83N/AN/A3,9935,26181,09562,764
2016-11-10$76.67$77.5032.5%8.3%26.9%42.2%29.0%6.8%-7.4%589.1K9.8M-958.1K0.9023.56N/AN/A11,34910,22781,91563,735
2016-11-11$77.47$77.5028.0%8.0%26.9%27.1%27.4%4.2%-0.3%11.0M-19.5M-1.0M1.2527.07N/AN/A6,4768,10288,32467,555
2016-11-14$76.38$77.5029.3%8.4%27.2%31.2%27.3%4.4%0.2%1.3M8.9M-984.7K0.9528.28N/AN/A9,6189,13385,17964,673
2016-11-15$77.74$77.5028.5%8.2%26.9%28.7%28.7%3.9%0.5%3.0M-28.3M-979.5K1.8620.10N/AN/A4,4708,29382,15366,634
2016-11-16$78.88$77.5026.7%7.7%27.4%22.5%26.4%3.5%0.3%7.5M-72.5M-963.2K1.3324.12N/AN/A6,4418,56483,29167,745
2016-11-17$79.75$77.5025.8%7.4%27.8%19.5%24.9%3.9%0.6%12.2M-110.7M-931.5K0.3421.20N/AN/A15,2925,20983,37767,774
2016-11-18$78.98$77.5025.1%7.1%27.8%17.2%26.9%3.4%0.6%14.5M-86.5M-948.4K2.4218.67N/AN/A5,80614,05990,14668,148
2016-11-21$78.16$77.5024.8%7.1%27.1%16.0%24.8%3.4%-0.2%3.1M-51.6M-924.5K2.3922.04N/AN/A4,0329,65166,58559,340
2016-11-22$77.72$77.5024.6%7.1%27.0%15.5%24.6%3.2%0.0%1.5M-36.3M-911.8K2.0415.49N/AN/A4,7239,64267,60660,354
2016-11-23$79.22$77.5024.5%7.1%28.1%14.9%25.3%2.9%-0.1%6.1M-86.4M-955.9K2.3913.59N/AN/A3,8329,14168,59662,959
2016-11-25$79.17$77.5024.4%7.0%28.1%14.6%24.9%3.3%-0.4%5.5M-81.6M-937.6K2.3116.75N/AN/A3,3427,71869,04664,068
2016-11-28$78.65$77.5024.2%7.1%24.6%14.1%24.9%3.4%-0.1%3.2M-64.1M-866.5K1.6610.52N/AN/A3,2255,36264,57859,739
2016-11-29$81.28$77.5024.8%7.4%26.9%15.8%26.5%3.1%-0.2%10.0M-152.3M-916.2K0.7839.39N/AN/A5,0813,94465,49560,287
2016-11-30$79.32$77.5025.9%7.8%28.3%19.9%27.6%4.0%0.2%5.8M-84.1M-913.6K1.0920.00N/AN/A3,1763,45667,10961,319