EA Options History — March 2017

In March 2017, EA traded between $86.99 and $91.51. ATM implied volatility averaged 20.3%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.8% (HV 20d: 15.5%). Max pain ranged from $82.50 to $90.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.83.

Notable Days

2017-03-16: Highest Volume — 27,547 contracts
2017-03-17: Largest IV drop — 5.2% change
2017-03-21: Highest IV Rank — 7.5%
2017-03-07: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.17	$86.99	$91.51	$88.07	$89.65
Max Pain	$86.98	$82.50	$90.00	$82.50	$90.00
ATM IV	20.3%	19.3%	21.2%	20.9%	19.5%
Expected Move	5.8%	5.2%	6.1%	5.9%	5.2%
HV 20d	15.5%	11.3%	20.5%	19.8%	11.7%
HV 60d	16.8%	15.3%	18.2%	18.0%	15.3%
IV Rank	3.0%	0.0%	7.5%	4.1%	0.8%
IV Percentile	2.7%	0.0%	8.7%	3.2%	1.2%
Term Structure	0.2%	-0.5%	1.1%	0.3%	0.3%
VWIV	20.4%	18.1%	22.2%	20.6%	18.1%
Skew 25d	2.3%	0.9%	8.0%	2.2%	1.6%
Skew 10d	5.4%	0.8%	9.6%	5.0%	4.4%
Call IV 25d	19.6%	18.6%	20.8%	20.1%	19.0%
Put IV 25d	21.9%	20.3%	26.9%	22.3%	20.5%
Bid-Ask Spread %	36.33	20.38	69.40	25.81	34.23
Gamma HHI	0.15	0.10	0.20	0.11	0.13
Net GEX	-418.4K	-10.6M	6.6M	6.1M	-8.9M
Net DEX	-115.3M	-215.1M	-28.2M	-144.3M	-77.4M
Net VEX	-910.5K	-984.7K	-842.4K	-856.3K	-984.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.29	6.96	1.51	1.77
Total Volume	10,141.391	4,623	27,547	6,316	10,177
Total OI	74,027.13	61,332	95,291	68,290	83,610

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$88.07	$82.50	20.9%	5.9%	19.8%	4.1%	20.6%	2.2%	0.3%	6.1M	-144.3M	-856.3K	1.51	25.81	N/A	N/A	2,520	3,796	34,584	33,706
2017-03-02	$86.99	$82.50	21.2%	5.9%	20.5%	5.4%	20.8%	1.9%	0.7%	5.7M	-121.8M	-872.6K	1.50	24.45	N/A	N/A	2,885	4,326	34,999	34,085
2017-03-03	$87.09	$82.50	20.7%	5.6%	20.1%	2.8%	20.4%	2.0%	0.3%	5.9M	-125.1M	-881.4K	2.13	33.57	N/A	N/A	2,673	5,689	35,662	34,824
2017-03-06	$87.23	$85.00	20.8%	6.0%	19.1%	3.5%	22.2%	2.3%	-0.0%	6.1M	-125.0M	-877.5K	1.75	20.81	N/A	N/A	2,300	4,026	35,299	34,667
2017-03-07	$88.36	$85.00	20.8%	6.1%	19.4%	3.2%	21.1%	1.8%	-0.0%	6.6M	-148.9M	-872.4K	1.06	26.21	N/A	N/A	2,783	2,954	35,430	35,197
2017-03-08	$89.01	$85.00	20.5%	5.9%	19.5%	2.0%	21.1%	2.6%	0.1%	6.0M	-161.5M	-871.9K	0.98	32.09	N/A	N/A	2,337	2,286	36,421	36,876
2017-03-09	$88.99	$85.00	20.2%	5.9%	19.3%	0.4%	20.7%	2.3%	-0.2%	6.0M	-160.9M	-879.3K	0.29	30.56	N/A	N/A	6,833	1,948	36,713	37,258
2017-03-10	$89.63	$85.00	19.9%	5.8%	18.5%	0.0%	20.3%	2.2%	0.5%	6.1M	-180.9M	-890.3K	2.83	27.92	N/A	N/A	3,884	10,981	39,381	37,449
2017-03-13	$90.78	$85.00	20.5%	6.0%	14.1%	2.9%	21.6%	2.2%	0.3%	2.4M	-190.8M	-861.4K	1.19	24.23	N/A	N/A	3,281	3,916	38,206	43,385
2017-03-14	$90.80	$85.00	19.7%	5.9%	14.1%	0.0%	20.3%	2.9%	1.1%	3.5M	-198.2M	-860.7K	1.66	68.87	N/A	N/A	2,198	3,650	39,573	41,893
2017-03-15	$91.51	$87.50	19.4%	5.6%	13.9%	0.0%	20.0%	2.0%	0.3%	5.6M	-215.1M	-842.4K	2.13	69.40	N/A	N/A	2,542	5,422	39,599	42,272
2017-03-16	$90.17	$87.50	20.4%	5.8%	13.4%	4.8%	21.8%	2.3%	-0.2%	3.4M	-185.6M	-867.8K	6.96	65.40	N/A	N/A	3,460	24,087	39,842	41,779
2017-03-17	$89.74	$87.50	19.3%	5.5%	13.6%	0.0%	19.4%	8.0%	-0.4%	-4.5M	-137.0M	-935.2K	1.58	67.40	N/A	N/A	5,223	8,266	40,340	54,951
2017-03-20	$88.92	$90.00	19.9%	5.8%	13.8%	2.6%	19.0%	0.9%	-0.5%	-5.9M	-41.5M	-917.7K	2.09	29.76	N/A	N/A	3,643	7,623	27,235	34,097
2017-03-21	$88.36	$90.00	20.9%	6.0%	13.9%	7.5%	20.7%	2.3%	0.0%	-6.7M	-28.2M	-964.1K	2.00	43.43	N/A	N/A	3,207	6,416	28,608	35,744
2017-03-22	$88.60	$90.00	20.4%	5.9%	13.9%	5.2%	20.6%	2.2%	0.3%	-7.2M	-31.5M	-974.2K	2.01	30.06	N/A	N/A	3,215	6,461	29,196	37,320
2017-03-23	$88.66	$89.50	20.4%	5.8%	13.5%	4.9%	20.5%	2.0%	0.5%	-7.6M	-33.1M	-973.2K	1.39	27.93	N/A	N/A	3,845	5,362	29,829	37,587
2017-03-24	$89.47	$89.50	20.4%	5.8%	13.7%	5.0%	19.9%	2.0%	0.3%	-4.8M	-56.8M	-964.0K	1.34	31.81	N/A	N/A	3,598	4,835	30,807	37,983
2017-03-27	$89.20	$89.50	20.8%	6.0%	13.6%	7.2%	21.0%	1.7%	0.3%	-6.5M	-53.6M	-933.9K	1.34	32.09	N/A	N/A	4,001	5,350	30,625	36,687
2017-03-28	$89.78	$89.00	20.2%	5.6%	13.5%	4.2%	20.1%	1.8%	0.2%	-3.9M	-79.5M	-927.8K	2.27	20.38	N/A	N/A	5,852	13,289	32,271	36,886
2017-03-29	$89.70	$89.00	20.0%	5.5%	12.3%	3.1%	19.7%	1.6%	0.7%	-10.6M	-68.6M	-963.8K	1.17	39.20	N/A	N/A	4,661	5,449	34,230	45,020
2017-03-30	$90.21	$89.00	19.4%	5.3%	11.3%	0.2%	18.3%	1.7%	0.2%	-6.3M	-87.0M	-968.1K	1.04	29.97	N/A	N/A	5,887	6,115	34,362	46,136
2017-03-31	$89.65	$90.00	19.5%	5.2%	11.7%	0.8%	18.1%	1.6%	0.3%	-8.9M	-77.4M	-984.7K	1.77	34.23	N/A	N/A	3,668	6,509	36,118	47,492