EA Options History — May 2017

In May 2017, EA traded between $94.00 and $113.62. ATM implied volatility averaged 23.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 13.7% (HV 20d: 36.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.93.

Notable Days

2017-05-09: Highest Volume — 52,612 contracts
2017-05-17: Largest IV spike — 27.6% change
2017-05-09: Highest IV Rank — 42.6%
2017-05-03: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.21	$94.00	$113.62	$95.07	$113.34
Max Pain	$93.39	$90.00	$95.00	$92.00	$95.00
ATM IV	23.0%	19.0%	27.2%	24.9%	22.2%
Expected Move	6.7%	5.5%	8.8%	8.2%	6.5%
HV 20d	36.7%	10.5%	51.6%	10.7%	51.2%
HV 60d	24.9%	12.0%	31.0%	14.6%	31.0%
IV Rank	19.9%	0.0%	42.6%	26.6%	16.7%
IV Percentile	31.0%	0.0%	61.1%	44.8%	28.2%
Term Structure	-0.4%	-2.2%	0.7%	-1.0%	-0.4%
VWIV	23.9%	19.1%	30.7%	28.2%	22.5%
Skew 25d	1.8%	1.3%	2.7%	1.6%	1.7%
Skew 10d	4.6%	2.7%	7.3%	7.3%	3.8%
Call IV 25d	22.4%	18.5%	26.9%	24.1%	21.9%
Put IV 25d	24.3%	20.0%	28.2%	25.6%	23.6%
Bid-Ask Spread %	31.96	6.67	55.61	55.61	8.45
Gamma HHI	0.14	0.07	0.28	0.08	0.17
Net GEX	3.4M	-5.6M	12.4M	6.9M	5.1M
Net DEX	-257.8M	-511.9M	-115.9M	-151.8M	-268.2M
Net VEX	-907.7K	-998.9K	-755.0K	-907.7K	-941.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.83	3.91	1.04	2.27
Total Volume	18,493.591	8,256	52,612	10,764	10,418
Total OI	93,401.773	65,592	128,440	65,592	87,016

Daily Data (22 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
2017-05-01	$95.07	$92.00	24.9%	8.2%	10.7%	26.6%	28.2%	1.6%	-1.0%	6.9M	-151.8M	-907.7K	1.04	55.61	N/A	N/A	5,274	5,490	33,557	32,035
2017-05-02	$94.29	$92.50	25.5%	8.6%	11.0%	29.3%	30.1%	1.5%	-0.8%	4.2M	-131.3M	-934.7K	3.91	43.78	N/A	N/A	2,386	9,318	33,890	33,802
2017-05-03	$94.00	$92.50	25.6%	8.8%	11.1%	29.9%	30.7%	1.8%	-0.8%	2.5M	-115.9M	-964.9K	2.53	31.09	N/A	N/A	2,339	5,917	34,811	36,895
2017-05-04	$94.80	$90.00	26.6%	7.4%	10.5%	35.2%	26.6%	2.5%	-1.1%	4.9M	-133.9M	-954.3K	1.33	47.00	N/A	N/A	5,916	7,861	35,180	37,064
2017-05-05	$95.61	$90.00	26.7%	7.6%	10.6%	37.1%	28.4%	1.3%	-0.6%	9.8M	-169.4M	-973.9K	1.83	48.67	N/A	N/A	4,364	7,965	39,763	41,386
2017-05-08	$95.69	$90.00	26.5%	7.3%	10.6%	37.8%	26.0%	1.7%	-0.5%	5.6M	-153.3M	-925.8K	0.85	47.24	N/A	N/A	6,705	5,727	37,444	38,487
2017-05-09	$95.63	$90.00	27.2%	7.2%	10.6%	42.6%	25.3%	1.3%	-2.2%	3.1M	-135.7M	-998.9K	0.98	51.27	N/A	N/A	26,595	26,017	40,867	45,822
2017-05-10	$108.54	$90.00	20.8%	6.2%	44.9%	7.8%	22.8%	1.8%	0.7%	6.0M	-511.9M	-755.0K	1.02	42.70	N/A	N/A	23,710	24,259	54,441	62,858
2017-05-11	$108.34	$92.50	19.7%	5.6%	45.1%	2.1%	19.8%	1.8%	-0.6%	536.5K	-436.5M	-788.8K	0.83	47.94	N/A	N/A	13,407	11,139	52,397	73,348
2017-05-12	$109.02	$95.00	19.3%	5.6%	44.7%	0.0%	19.8%	1.8%	0.2%	5.1M	-454.6M	-813.5K	0.92	32.66	N/A	N/A	10,702	9,818	55,163	73,277
2017-05-15	$110.89	$95.00	19.5%	5.6%	44.7%	1.3%	19.8%	1.8%	0.1%	4.5M	-351.0M	-782.9K	1.53	33.33	N/A	N/A	5,212	7,967	42,372	54,633
2017-05-16	$111.50	$95.00	19.0%	5.5%	44.5%	0.0%	19.1%	1.5%	-0.3%	5.8M	-368.4M	-769.7K	1.52	55.35	N/A	N/A	5,358	8,171	43,607	55,501
2017-05-17	$105.34	$95.00	24.3%	7.0%	50.6%	28.0%	24.6%	2.7%	-0.7%	-5.5M	-241.3M	-903.2K	2.97	51.79	N/A	N/A	6,518	19,330	45,173	55,832
2017-05-18	$107.22	$95.00	24.4%	7.0%	50.5%	28.8%	23.9%	2.5%	-0.5%	-5.6M	-274.3M	-952.9K	3.85	50.06	N/A	N/A	5,397	20,775	46,223	64,925
2017-05-19	$107.77	$95.00	22.3%	6.3%	50.5%	17.3%	22.6%	2.4%	0.6%	-5.2M	-281.3M	-953.4K	2.48	6.67	N/A	N/A	4,986	12,374	46,988	71,791
2017-05-22	$108.27	$95.00	22.2%	6.4%	50.5%	16.9%	23.2%	1.9%	0.1%	-3.5M	-192.4M	-900.4K	3.15	8.72	N/A	N/A	4,094	12,893	35,082	51,294
2017-05-23	$108.97	$95.00	22.2%	6.4%	50.4%	16.6%	22.4%	1.9%	0.0%	-1.8M	-205.8M	-960.5K	1.82	8.64	N/A	N/A	5,399	9,817	36,034	54,211
2017-05-24	$112.22	$95.00	21.7%	6.2%	50.9%	14.0%	22.1%	1.7%	-0.1%	6.7M	-269.6M	-917.4K	1.35	10.18	N/A	N/A	6,977	9,419	37,213	55,093
2017-05-25	$113.62	$95.00	21.9%	6.3%	51.0%	15.5%	22.3%	1.6%	0.3%	7.7M	-300.6M	-948.6K	1.94	7.41	N/A	N/A	4,649	9,002	39,347	56,404
2017-05-26	$112.19	$95.00	21.9%	6.2%	51.5%	15.4%	22.7%	1.4%	-0.0%	12.4M	-270.7M	-972.7K	2.36	7.54	N/A	N/A	3,821	9,020	39,810	57,476
2017-05-30	$112.22	$95.00	22.6%	6.5%	51.6%	18.9%	23.1%	2.0%	-0.3%	4.9M	-253.0M	-947.5K	1.92	6.90	N/A	N/A	3,546	6,807	37,304	49,023
2017-05-31	$113.34	$95.00	22.2%	6.5%	51.2%	16.7%	22.5%	1.7%	-0.4%	5.1M	-268.2M	-941.8K	2.27	8.45	N/A	N/A	3,186	7,232	37,275	49,741