EA Options History — December 2016

In December 2016, EA traded between $75.40 and $81.59. ATM implied volatility averaged 26.0%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.2% (HV 20d: 30.2%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-12-01: Highest Volume — 20,502 contracts
  • 2016-12-09: Largest IV drop — 9.1% change
  • 2016-12-30: Highest IV Rank — 34.3%
  • 2016-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.13$75.40$81.59$75.40$78.64
Max Pain$75.24$75.00$77.50$77.50$75.00
ATM IV26.0%23.3%30.1%29.2%30.1%
Expected Move7.4%6.6%9.1%9.1%7.3%
HV 20d30.2%19.6%33.9%32.9%19.6%
HV 60d25.3%24.7%25.7%25.3%25.5%
IV Rank20.1%10.9%34.3%31.0%34.3%
IV Percentile29.2%11.1%55.6%46.0%55.6%
Term Structure2.0%-0.0%8.8%-0.0%8.0%
VWIV26.0%23.5%31.6%31.6%25.9%
Skew 25d3.3%2.4%5.6%4.4%4.0%
Skew 10d5.8%1.1%8.9%6.2%1.1%
Call IV 25d24.5%22.0%27.4%27.4%25.5%
Put IV 25d27.7%24.6%31.8%31.8%29.5%
Bid-Ask Spread %12.145.0643.8827.0823.67
Gamma HHI0.090.070.140.070.09
Net GEX4.4M-3.2M11.1M-2.1M-159.1K
Net DEX-94.2M-199.8M33.4M33.4M-64.3M
Net VEX-846.8K-909.3K-793.8K-848.2K-803.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.321.250.390.80
Total Volume10,349.4766,47920,50220,5029,583
Total OI119,383.09594,825142,111129,094102,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$75.40$77.5029.2%9.1%32.9%31.0%31.6%4.4%-0.0%-2.1M33.4M-848.2K0.3927.08N/AN/A14,7635,73967,47961,615
2016-12-02$75.59$77.5028.5%8.6%32.5%28.6%30.1%4.3%-0.0%-3.2M30.6M-856.8K0.7143.88N/AN/A8,1145,74666,63163,561
2016-12-05$77.42$75.0026.9%7.8%33.9%23.3%27.5%3.6%0.2%1.2M-38.9M-893.1K0.968.84N/AN/A4,0383,88266,63561,877
2016-12-06$76.82$75.0027.5%7.9%33.5%25.3%28.2%5.6%0.4%274.8K-19.7M-886.5K0.9210.95N/AN/A5,8045,33267,32762,626
2016-12-07$77.81$75.0028.1%8.2%33.8%27.3%27.4%2.6%0.2%2.7M-64.8M-909.3K0.658.16N/AN/A5,5763,63070,71665,847
2016-12-08$77.66$75.0027.7%8.0%32.2%25.9%27.6%2.5%0.3%2.9M-62.1M-900.5K0.567.99N/AN/A7,9094,39472,23766,270
2016-12-09$78.72$75.0025.2%7.4%30.0%17.2%25.5%2.7%0.9%1.7M-112.3M-896.4K0.668.53N/AN/A8,3045,47874,45367,658
2016-12-12$80.43$75.0025.1%7.3%30.7%17.1%25.8%2.9%0.1%9.2M-158.3M-866.7K0.898.71N/AN/A4,8644,34770,69062,283
2016-12-13$80.92$75.0025.4%7.4%30.2%18.1%25.8%3.0%0.6%10.7M-177.4M-864.6K0.897.41N/AN/A5,3414,74671,26763,028
2016-12-14$80.81$75.0024.9%7.3%29.7%16.4%26.2%3.1%0.6%10.4M-172.2M-849.4K0.985.06N/AN/A4,5424,46671,37962,992
2016-12-15$81.59$75.0024.2%6.9%29.4%13.8%24.3%3.3%0.2%11.1M-199.8M-827.0K0.905.20N/AN/A6,9466,22371,57963,496
2016-12-16$79.41$75.0024.6%7.1%30.9%15.4%25.3%3.1%0.3%3.1M-114.3M-824.5K0.797.36N/AN/A6,7875,34171,91564,333
2016-12-19$79.47$75.0024.8%7.1%30.7%15.9%24.2%2.9%0.6%3.1M-90.2M-821.6K0.329.60N/AN/A8,5612,75244,85249,973
2016-12-20$79.32$75.0024.1%6.9%30.5%13.6%24.1%2.6%0.9%4.3M-92.1M-838.5K0.487.30N/AN/A4,7262,25347,93650,941
2016-12-21$79.79$75.0023.3%6.7%30.4%10.9%23.5%2.6%1.3%6.0M-104.6M-836.4K0.498.26N/AN/A4,3462,13349,39651,501
2016-12-22$79.72$75.0023.8%6.7%29.7%12.5%24.1%2.6%1.6%6.1M-101.7M-828.5K0.708.91N/AN/A3,8442,70449,59651,929
2016-12-23$80.59$75.0023.6%6.6%29.9%11.9%23.8%2.6%1.7%8.1M-125.9M-822.4K1.258.50N/AN/A4,1415,16250,00652,440
2016-12-27$81.18$75.0025.4%6.8%29.9%17.9%24.3%2.4%7.5%7.7M-133.9M-793.8K0.878.94N/AN/A4,7404,11747,36250,302
2016-12-28$80.39$75.0026.2%7.0%27.7%20.7%25.3%3.8%8.8%5.0M-109.4M-808.6K0.8012.14N/AN/A4,0923,27147,49752,160
2016-12-29$80.12$75.0027.7%7.0%26.3%25.7%25.2%3.9%8.0%4.5M-101.0M-805.5K0.6418.47N/AN/A5,2583,34447,98352,814
2016-12-30$78.64$75.0030.1%7.3%19.6%34.3%25.9%4.0%8.0%-159.1K-64.3M-803.9K0.8023.67N/AN/A5,3314,25249,35553,108