EA Options History — January 2017

In January 2017, EA traded between $78.75 and $83.76. ATM implied volatility averaged 33.9%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 15.9% (HV 20d: 18.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-01-31: Highest Volume — 80,683 contracts
  • 2017-01-09: Largest IV spike — 3.7% change
  • 2017-01-10: Highest IV Rank — 58.3%
  • 2017-01-31: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.47$78.75$83.76$79.02$83.36
Max Pain$77.50$75.00$80.00$75.00$80.00
ATM IV33.9%30.8%36.2%35.3%31.1%
Expected Move9.6%7.1%10.6%7.4%10.6%
HV 20d18.0%15.0%21.2%19.6%15.0%
HV 60d25.2%23.6%26.1%25.4%23.6%
IV Rank52.5%45.1%58.3%52.0%49.1%
IV Percentile69.0%57.5%81.0%75.4%59.1%
Term Structure-1.6%-2.6%-0.7%-1.9%-1.4%
VWIV34.2%25.3%38.2%25.7%37.6%
Skew 25d3.6%2.7%5.0%4.0%3.1%
Skew 10d7.9%4.3%11.5%7.0%6.8%
Call IV 25d32.5%28.7%35.0%34.8%29.3%
Put IV 25d36.0%31.9%39.0%38.8%32.4%
Bid-Ask Spread %33.1212.5258.8919.9953.77
Gamma HHI0.150.080.600.090.12
Net GEX12.8M2.4M31.5M3.5M15.0M
Net DEX-130.6M-206.5M-70.2M-81.6M-204.0M
Net VEX-890.1K-1.0M-785.0K-785.0K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.302.760.810.57
Total Volume16,935.46,27680,6838,54680,683
Total OI109,754.2580,367128,89596,946106,179

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$79.02$75.0035.3%7.4%19.6%52.0%25.7%4.0%-1.9%3.5M-81.6M-785.0K0.8119.99N/AN/A4,7293,81747,89349,053
2017-01-04$80.82$75.0035.5%7.1%19.4%52.5%25.3%3.3%-1.6%6.3M-127.4M-815.3K1.0258.89N/AN/A5,3875,51749,65550,702
2017-01-05$78.94$77.5036.0%9.5%21.2%54.1%36.2%4.1%-1.7%2.4M-70.2M-836.4K0.3020.00N/AN/A18,4645,55151,22253,942
2017-01-06$79.04$77.5034.9%9.3%20.8%50.6%33.2%3.6%-1.2%10.4M-99.8M-893.3K0.5612.52N/AN/A6,5923,70964,66755,640
2017-01-09$78.75$77.5036.2%10.0%20.8%57.5%33.7%2.9%-0.7%7.6M-91.1M-866.4K0.5331.06N/AN/A6,5923,48262,30653,532
2017-01-10$78.82$77.5035.9%9.8%20.3%58.3%35.2%3.8%-1.3%7.9M-100.2M-891.6K0.7929.73N/AN/A3,5132,76365,76254,891
2017-01-11$79.00$77.5035.3%9.6%18.6%56.1%35.5%3.0%-1.7%8.6M-103.7M-882.1K1.6221.97N/AN/A5,1518,36066,45055,208
2017-01-12$79.63$77.5034.5%9.7%18.7%53.1%33.3%3.9%-0.7%11.4M-127.2M-908.0K1.6931.46N/AN/A3,2965,58268,54958,125
2017-01-13$80.43$77.5034.8%9.7%19.1%54.9%32.2%4.6%-1.3%18.2M-170.3M-908.8K2.0830.95N/AN/A4,4459,23568,91459,981
2017-01-17$80.16$77.5035.4%10.1%18.8%57.2%35.5%4.4%-2.4%16.7M-139.1M-857.6K1.1931.61N/AN/A4,1334,90667,82757,817
2017-01-18$80.56$77.5035.2%10.1%16.1%57.1%36.6%4.2%-2.6%20.0M-149.7M-833.4K1.1628.05N/AN/A3,8994,52167,36557,888
2017-01-19$80.35$77.5034.4%9.9%16.2%53.9%35.5%5.0%-2.1%19.8M-134.9M-834.2K0.7831.18N/AN/A3,8022,98067,90159,440
2017-01-20$79.95$77.5033.6%9.8%16.3%54.7%37.8%4.1%-2.5%31.5M-109.8M-812.3K0.3535.01N/AN/A18,3806,49367,73859,612
2017-01-23$79.96$77.5033.0%10.0%16.1%52.8%38.2%3.1%-1.6%8.4M-83.2M-890.5K2.7622.99N/AN/A2,8057,75049,30731,060
2017-01-24$80.62$77.5032.2%9.8%16.4%49.6%34.5%3.2%-1.3%10.7M-104.3M-894.6K0.9332.29N/AN/A8,0067,44850,28631,053
2017-01-25$81.43$77.5031.3%9.5%16.3%46.8%33.3%2.7%-1.1%14.2M-144.5M-937.9K0.7845.68N/AN/A7,0935,54356,22834,625
2017-01-26$81.74$77.5031.4%9.8%16.2%47.4%34.1%2.8%-1.6%15.2M-160.3M-945.1K0.7827.87N/AN/A14,64011,44559,24036,337
2017-01-27$83.00$78.0030.8%9.7%16.5%45.1%34.5%2.9%-1.4%14.3M-203.4M-994.5K1.0748.08N/AN/A6,8307,32960,75938,810
2017-01-30$83.76$79.5030.8%10.0%16.6%47.9%36.3%3.2%-1.2%14.0M-206.5M-998.1K0.4449.41N/AN/A16,5447,29359,83039,291
2017-01-31$83.36$80.0031.1%10.6%15.0%49.1%37.6%3.1%-1.4%15.0M-204.0M-1.0M0.5753.77N/AN/A51,22829,45565,02841,151