EA Options History — February 2017

In February 2017, EA traded between $81.39 and $87.88. ATM implied volatility averaged 21.3%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.8% (HV 20d: 16.6%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-02-01: Highest Volume — 33,566 contracts
  • 2017-02-15: Largest IV drop — 3.9% change
  • 2017-02-08: Highest IV Rank — 8.9%
  • 2017-02-02: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.19$81.39$87.88$83.16$86.58
Max Pain$80.92$80.00$82.50$82.50$82.50
ATM IV21.3%20.3%22.1%22.0%21.5%
Expected Move6.1%5.8%6.6%6.6%5.9%
HV 20d16.6%11.3%19.7%15.1%19.2%
HV 60d22.5%20.8%23.6%23.5%20.8%
IV Rank5.7%0.8%8.9%8.4%7.0%
IV Percentile3.6%0.4%8.7%4.8%7.1%
Term Structure0.2%-0.1%0.6%0.3%0.1%
VWIV22.1%19.9%24.5%23.3%20.4%
Skew 25d2.3%1.4%2.9%2.9%2.5%
Skew 10d4.8%2.7%11.8%5.6%4.5%
Call IV 25d20.5%19.3%21.4%20.8%20.3%
Put IV 25d22.8%21.8%23.7%23.7%22.9%
Bid-Ask Spread %25.6214.3961.7461.7423.09
Gamma HHI0.130.080.260.260.12
Net GEX8.3M-5.2M40.8M40.8M5.5M
Net DEX-140.8M-263.1M-58.6M-225.1M-118.2M
Net VEX-927.7K-1.1M-858.1K-1.1M-872.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.512.390.511.47
Total Volume11,424.0536,35433,56633,5668,593
Total OI92,25465,294161,301161,30165,831

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$83.16$82.5022.0%6.6%15.1%8.4%23.3%2.9%0.3%40.8M-225.1M-1.1M0.5161.74N/AN/A22,26211,30498,98562,316
2017-02-02$82.55$80.0021.7%6.6%13.5%7.2%23.1%2.4%0.4%15.0M-102.8M-1.0M0.9030.90N/AN/A6,3545,70084,81361,229
2017-02-03$81.39$80.0021.8%6.3%11.4%7.4%23.3%2.1%0.3%-5.2M-58.6M-1.0M1.0020.75N/AN/A6,6986,69685,63960,799
2017-02-06$81.60$80.0021.9%6.3%11.4%8.1%22.9%2.0%0.2%6.7M-68.7M-980.0K0.9224.59N/AN/A4,6534,25848,42443,126
2017-02-07$82.03$80.0021.9%6.3%11.3%8.2%23.1%2.2%-0.0%8.0M-84.2M-977.1K1.0918.56N/AN/A4,3054,70548,44243,685
2017-02-08$81.65$80.0022.1%6.3%11.6%8.9%22.9%2.6%-0.1%6.2M-71.2M-970.2K1.3625.55N/AN/A3,0504,14049,44244,905
2017-02-09$83.25$80.0021.6%6.3%13.2%6.7%22.4%1.9%0.5%13.6M-134.3M-959.3K1.6729.92N/AN/A4,8868,17949,71745,542
2017-02-10$86.40$80.0021.5%6.1%17.9%6.2%23.5%2.5%-0.1%8.4M-263.1M-909.4K1.4714.39N/AN/A10,24715,06450,91948,801
2017-02-13$86.40$80.0021.4%6.1%17.9%6.3%21.5%2.4%0.6%7.4M-170.7M-933.2K0.7616.67N/AN/A5,9724,52541,86241,595
2017-02-14$85.97$80.0021.8%6.3%18.0%8.2%22.0%2.3%-0.1%6.0M-155.4M-926.4K1.3418.06N/AN/A3,1204,17142,49143,077
2017-02-15$87.88$80.0020.9%6.0%19.1%4.0%20.7%1.9%0.2%8.6M-208.6M-885.3K1.1719.13N/AN/A3,7734,40042,49443,480
2017-02-16$87.75$80.0020.4%5.8%19.1%1.4%24.5%2.1%0.3%8.2M-201.2M-887.5K2.3916.45N/AN/A3,3668,03042,80743,474
2017-02-17$87.11$80.0020.4%5.8%19.2%1.2%20.9%2.7%0.4%3.3M-182.7M-894.1K1.3923.16N/AN/A3,6115,00742,77244,468
2017-02-21$87.55$82.5020.6%5.8%19.2%2.5%21.2%1.4%0.1%5.2M-137.8M-858.1K1.3525.10N/AN/A2,9924,03433,52431,868
2017-02-22$87.36$82.5020.3%5.8%19.3%0.8%19.9%2.0%-0.1%5.3M-133.8M-858.5K1.6235.67N/AN/A2,4343,95533,80632,102
2017-02-23$86.64$82.5021.0%5.9%19.6%4.5%20.8%2.2%0.3%5.5M-122.2M-866.2K1.6219.10N/AN/A3,9316,36634,01732,226
2017-02-24$86.36$82.5021.2%6.0%19.7%5.3%21.8%2.3%0.6%3.8M-112.1M-895.7K1.9633.31N/AN/A3,3526,57034,15234,702
2017-02-27$86.98$82.5021.3%6.0%19.2%5.8%21.5%2.4%0.3%5.4M-124.0M-869.1K1.3430.55N/AN/A2,7153,63933,43431,860
2017-02-28$86.58$82.5021.5%5.9%19.2%7.0%20.4%2.5%0.1%5.5M-118.2M-872.1K1.4723.09N/AN/A3,4815,11233,73832,093