EA Options History — June 2017

In June 2017, EA traded between $106.82 and $115.32. ATM implied volatility averaged 25.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 5.1% (HV 20d: 30.3%). Max pain ranged from $95.00 to $112.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.60.

Notable Days

2017-06-06: Highest Volume — 24,627 contracts
2017-06-27: Largest IV spike — 19.6% change
2017-06-27: Highest IV Rank — 79.3%
2017-06-29: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.52	$106.82	$115.32	$113.57	$106.82
Max Pain	$108.86	$95.00	$112.00	$95.00	$111.00
ATM IV	25.2%	20.3%	33.9%	21.8%	31.9%
Expected Move	6.8%	6.0%	8.1%	6.3%	7.6%
HV 20d	30.3%	19.6%	51.4%	51.1%	22.6%
HV 60d	32.1%	30.9%	33.4%	30.9%	33.3%
IV Rank	32.6%	7.0%	79.3%	14.7%	68.7%
IV Percentile	44.1%	7.5%	83.3%	21.8%	75.8%
Term Structure	1.1%	-3.5%	6.8%	-0.4%	1.6%
VWIV	23.9%	21.0%	30.0%	22.7%	26.4%
Skew 25d	2.4%	1.1%	3.6%	1.1%	3.3%
Skew 10d	5.0%	3.1%	7.6%	3.1%	7.6%
Call IV 25d	24.2%	19.7%	32.6%	21.7%	30.8%
Put IV 25d	26.6%	21.3%	35.8%	22.8%	34.1%
Bid-Ask Spread %	31.57	9.44	53.61	12.15	28.91
Gamma HHI	0.19	0.06	0.44	0.18	0.19
Net GEX	-1.6M	-13.5M	7.0M	5.1M	-6.7M
Net DEX	-166.5M	-291.8M	-24.7M	-273.2M	-24.7M
Net VEX	-996.9K	-1.2M	-877.7K	-926.5K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	1.41	7.18	1.79	1.84
Total Volume	13,331.636	7,597	24,627	11,242	9,762
Total OI	84,941.273	66,348	98,687	87,744	92,122

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
2017-06-01	$113.57	$95.00	21.8%	6.3%	51.1%	14.7%	22.7%	1.1%	-0.4%	5.1M	-273.2M	-926.5K	1.79	12.15	N/A	N/A	4,023	7,219	37,424	50,320
2017-06-02	$114.24	$95.00	21.0%	6.0%	51.1%	10.5%	21.9%	1.8%	-0.5%	7.0M	-291.8M	-877.7K	2.19	16.52	N/A	N/A	3,203	7,024	38,417	50,363
2017-06-05	$114.73	$110.00	20.4%	6.1%	51.1%	7.0%	21.8%	1.7%	0.1%	6.4M	-284.4M	-902.7K	2.20	21.20	N/A	N/A	3,493	7,679	37,260	43,238
2017-06-06	$113.83	$110.00	20.8%	6.0%	51.4%	9.2%	21.1%	1.6%	0.3%	5.5M	-266.5M	-935.7K	7.18	9.44	N/A	N/A	3,009	21,618	37,890	44,689
2017-06-07	$115.32	$110.00	20.3%	6.0%	51.3%	7.0%	21.0%	1.6%	-0.0%	1.3M	-279.0M	-966.2K	1.41	11.09	N/A	N/A	4,799	6,754	38,261	52,619
2017-06-08	$114.20	$110.00	20.9%	6.1%	27.1%	10.0%	21.6%	1.7%	-0.2%	-1.4M	-252.7M	-984.3K	1.73	50.30	N/A	N/A	4,315	7,467	38,530	53,163
2017-06-09	$109.93	$110.00	24.3%	7.1%	30.7%	28.0%	24.3%	2.2%	-0.2%	-6.1M	-136.4M	-1.0M	1.42	50.10	N/A	N/A	8,546	12,127	39,558	53,921
2017-06-12	$109.04	$110.00	26.7%	7.3%	30.8%	40.7%	26.0%	2.5%	-0.6%	-6.5M	-119.1M	-1.0M	1.77	48.77	N/A	N/A	5,448	9,636	40,920	54,814
2017-06-13	$109.89	$110.00	24.6%	7.0%	30.2%	29.5%	24.2%	2.1%	-0.4%	-8.9M	-134.5M	-1.0M	2.41	43.87	N/A	N/A	3,461	8,355	41,342	56,722
2017-06-14	$109.63	$110.00	25.0%	7.1%	30.2%	31.7%	24.4%	2.7%	0.0%	-9.0M	-134.6M	-1.1M	1.84	53.61	N/A	N/A	4,454	8,199	42,237	56,450
2017-06-15	$110.26	$110.00	24.4%	7.0%	21.8%	28.6%	24.5%	2.8%	0.4%	-12.2M	-160.0M	-993.5K	2.51	47.08	N/A	N/A	3,027	7,609	41,798	56,474
2017-06-16	$110.62	$110.00	23.6%	6.8%	21.0%	24.5%	24.1%	2.9%	0.2%	-13.5M	-194.2M	-972.7K	4.93	50.95	N/A	N/A	4,090	20,156	41,687	56,659
2017-06-19	$113.47	$110.00	21.8%	6.3%	22.6%	14.9%	22.1%	2.5%	5.6%	1.9M	-159.0M	-953.0K	2.61	26.43	N/A	N/A	3,097	8,080	29,322	40,520
2017-06-20	$113.52	$110.00	23.1%	6.6%	22.6%	21.7%	23.8%	2.5%	5.2%	2.3M	-158.0M	-1.0M	2.15	24.28	N/A	N/A	3,219	6,912	30,105	43,757
2017-06-21	$113.30	$110.00	23.4%	6.7%	22.6%	23.2%	23.6%	2.5%	5.7%	3.2M	-160.2M	-964.6K	2.49	24.15	N/A	N/A	2,734	6,805	30,818	44,687
2017-06-22	$112.91	$110.00	24.6%	6.8%	20.2%	29.6%	23.7%	2.5%	5.2%	3.4M	-156.9M	-964.7K	2.34	29.53	N/A	N/A	2,876	6,727	31,498	45,331
2017-06-23	$111.73	$110.00	25.5%	6.6%	20.0%	34.3%	23.4%	2.4%	6.8%	-2.5M	-136.6M	-976.2K	2.64	28.69	N/A	N/A	2,745	7,253	32,164	45,913
2017-06-26	$112.00	$110.00	28.4%	6.6%	19.6%	49.8%	23.3%	3.3%	-0.9%	2.7M	-134.9M	-954.7K	1.72	26.15	N/A	N/A	2,794	4,803	29,113	37,235
2017-06-27	$108.53	$112.00	33.9%	7.7%	22.5%	79.3%	27.0%	3.0%	-3.5%	564.8K	-89.1M	-1.0M	3.72	34.86	N/A	N/A	4,094	15,247	29,729	37,794
2017-06-28	$108.86	$111.00	33.8%	7.4%	22.2%	78.6%	25.6%	3.6%	-1.5%	-3.0M	-76.0M	-1.1M	2.40	26.35	N/A	N/A	4,068	9,752	31,633	48,610
2017-06-29	$106.94	$111.00	33.3%	8.1%	22.8%	75.7%	30.0%	2.2%	1.4%	-4.2M	-42.2M	-1.1M	3.91	30.06	N/A	N/A	3,383	13,234	33,642	49,959
2017-06-30	$106.82	$111.00	31.9%	7.6%	22.6%	68.7%	26.4%	3.3%	1.6%	-6.7M	-24.7M	-1.2M	1.84	28.91	N/A	N/A	3,438	6,324	34,554	57,568