EA Options History — September 2017

In September 2017, EA traded between $113.91 and $121.25. ATM implied volatility averaged 23.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.9% (HV 20d: 19.8%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.35.

Notable Days

  • 2017-09-12: Highest Volume — 19,169 contracts
  • 2017-09-25: Largest IV spike — 17.5% change
  • 2017-09-26: Highest IV Rank — 43.4%
  • 2017-09-25: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.38$113.91$121.25$119.47$118.08
Max Pain$119.10$110.00$120.00$110.00$119.00
ATM IV23.7%21.5%27.2%23.2%26.3%
Expected Move6.7%6.1%7.5%6.5%6.1%
HV 20d19.8%16.8%22.9%18.6%22.6%
HV 60d19.6%18.6%20.7%20.7%20.0%
IV Rank24.6%12.9%43.4%22.2%38.4%
IV Percentile37.6%17.9%64.7%33.3%60.7%
Term Structure2.2%-1.5%7.9%0.1%6.6%
VWIV24.3%22.2%26.9%23.8%22.4%
Skew 25d2.2%1.4%3.4%1.8%2.8%
Skew 10d5.1%1.7%7.9%7.9%3.7%
Call IV 25d22.9%21.0%25.9%23.1%23.6%
Put IV 25d25.1%23.0%28.4%25.0%26.4%
Bid-Ask Spread %32.806.4252.2949.4418.94
Gamma HHI0.200.130.280.150.17
Net GEX-894.6K-10.0M5.9M2.0M-1.2M
Net DEX-145.7M-232.0M-28.1M-196.0M-154.1M
Net VEX-1.1M-1.3M-952.4K-1.0M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.351.236.252.301.67
Total Volume10,554.76,82219,16911,3239,031
Total OI88,322.574,78599,57289,00698,535

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$119.47$110.0023.2%6.5%18.6%22.2%23.8%1.8%0.1%2.0M-196.0M-1.0M2.3049.44N/AN/A3,4277,89635,92453,082
2017-09-05$118.29$120.0024.6%7.2%18.9%29.7%26.4%3.4%-1.5%1.6M-173.0M-1.0M2.7343.46N/AN/A2,4396,66034,16052,075
2017-09-06$117.01$120.0024.2%7.3%19.3%27.3%25.8%2.0%0.4%693.8K-151.3M-1.0M2.3033.76N/AN/A2,6906,17534,58052,398
2017-09-07$118.98$120.0023.8%6.9%20.1%25.5%25.6%2.0%0.4%3.8M-190.1M-1.0M2.1640.11N/AN/A2,7515,94935,33452,358
2017-09-08$118.40$120.0023.2%7.0%19.0%21.9%25.3%2.4%1.5%2.9M-179.2M-991.1K2.7844.29N/AN/A2,3716,60035,25352,722
2017-09-11$121.25$120.0023.6%7.0%20.3%24.3%24.7%1.7%0.6%5.4M-232.0M-952.4K2.7648.96N/AN/A2,5597,05534,27351,668
2017-09-12$120.40$120.0022.9%6.9%20.0%20.4%26.9%2.3%1.0%5.9M-218.1M-981.0K6.2546.77N/AN/A2,64416,52534,89352,582
2017-09-13$119.49$120.0022.8%6.5%20.3%20.2%24.2%1.9%0.1%3.7M-179.0M-1.1M2.8943.19N/AN/A2,2596,52935,27963,393
2017-09-14$119.15$120.0022.3%6.4%19.8%17.1%23.9%1.4%0.5%4.5M-169.0M-1.1M2.4845.86N/AN/A2,3795,91035,39863,963
2017-09-15$119.40$120.0021.5%6.1%18.5%12.9%22.3%1.9%-0.8%-3.0M-179.4M-1.0M2.0452.29N/AN/A3,1016,33035,39664,176
2017-09-18$120.07$120.0021.9%6.3%18.5%15.0%22.8%2.0%1.6%-2.8M-130.3M-1.0M1.4022.86N/AN/A3,4734,84625,67449,111
2017-09-19$120.17$120.0021.9%6.3%18.3%15.3%23.1%2.5%1.9%-2.1M-139.4M-1.0M1.5634.62N/AN/A2,6614,16127,54650,204
2017-09-20$120.39$117.0022.4%6.4%16.8%17.9%22.8%1.9%2.3%-1.6M-145.6M-1.1M2.0228.06N/AN/A2,9085,87228,43150,618
2017-09-21$118.10$120.0022.2%6.2%18.0%16.8%22.7%2.0%1.8%-4.5M-104.2M-1.1M1.8517.68N/AN/A3,5796,61628,74252,001
2017-09-22$118.55$120.0022.4%6.2%18.0%17.9%22.2%1.9%2.2%-4.2M-110.1M-1.1M2.3012.47N/AN/A3,0817,07229,97254,120
2017-09-25$114.15$119.0026.3%7.5%22.4%38.8%26.3%3.1%6.0%-7.2M-31.4M-1.2M2.0325.11N/AN/A5,75711,69729,50052,268
2017-09-26$113.91$119.0027.2%7.0%21.8%43.4%25.6%2.5%3.3%-10.0M-28.1M-1.2M1.2327.02N/AN/A7,8969,73331,43557,056
2017-09-27$116.07$119.0024.9%6.9%22.9%31.0%24.6%2.1%7.9%-5.6M-98.9M-1.3M1.8714.59N/AN/A3,6296,78436,69659,005
2017-09-28$116.28$119.0025.9%6.9%21.7%36.7%24.5%2.1%7.6%-6.4M-104.8M-1.3M2.306.42N/AN/A3,0457,00436,81659,813
2017-09-29$118.08$119.0026.3%6.1%22.6%38.4%22.4%2.8%6.6%-1.2M-154.1M-1.2M1.6718.94N/AN/A3,3805,65137,19861,337