EA Options History — October 2017 In October 2017, EA traded between $113.01 and $120.13. ATM implied volatility averaged 32.6%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.1% (HV 20d: 19.5%). Max pain ranged from $115.00 to $119.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2017-10-18 : Highest Volume — 95,144 contracts2017-10-31 : Largest IV spike — 13.7% change2017-10-31 : Highest IV Rank — 97.4%2017-10-31 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $116.64 $113.01 $120.13 $117.95 $119.49 Max Pain $115.55 $115.00 $119.00 $119.00 $115.00 ATM IV 32.6% 29.9% 37.3% 29.9% 37.3% Expected Move 9.1% 6.4% 11.0% 6.5% 11.0% HV 20d 19.5% 15.9% 22.4% 22.0% 17.0% HV 60d 19.4% 18.7% 20.4% 19.8% 19.0% IV Rank 72.2% 57.9% 97.4% 57.9% 97.4% IV Percentile 80.8% 73.8% 99.2% 73.8% 99.2% Term Structure -1.2% -2.4% 0.2% -0.5% -2.4% VWIV 32.6% 23.7% 39.6% 23.7% 39.6% Skew 25d 3.2% 1.9% 7.2% 3.6% 7.2% Skew 10d 5.9% 3.7% 9.5% 6.4% 7.2% Call IV 25d 31.6% 30.1% 33.1% 30.4% 32.1% Put IV 25d 34.8% 32.5% 39.3% 34.1% 39.3% Bid-Ask Spread % 40.09 12.20 60.75 16.79 60.48 Gamma HHI 0.18 0.08 0.30 0.17 0.13 Net GEX 6.6M -9.6M 22.3M -1.1M 9.4M Net DEX -200.1M -340.2M -52.4M -146.7M -274.6M Net VEX -1.4M -1.9M -1.1M -1.2M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.32 2.11 1.53 1.06 Total Volume 18,642.227 6,480 95,144 7,538 42,932 Total OI 116,649.5 91,754 169,750 91,754 110,101
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 2017-10-02 $117.95 $119.00 29.9% 6.5% 22.0% 57.9% 23.7% 3.6% -0.5% -1.1M -146.7M -1.2M 1.53 16.79 N/A N/A 2,984 4,554 36,133 55,621 2017-10-03 $117.84 $119.00 32.0% 6.5% 21.7% 69.3% 24.2% 2.1% -1.9% -1.5M -141.4M -1.2M 1.63 23.24 N/A N/A 2,872 4,673 36,498 56,296 2017-10-04 $118.50 $119.00 31.6% 6.4% 21.4% 66.8% 24.0% 2.4% -0.0% -665.8K -157.6M -1.2M 1.35 29.34 N/A N/A 3,272 4,402 36,670 56,917 2017-10-05 $119.46 $115.00 30.9% 8.7% 20.8% 63.4% 31.6% 3.7% 0.2% 2.6M -187.3M -1.2M 1.34 22.18 N/A N/A 3,165 4,247 37,456 57,362 2017-10-06 $120.13 $115.00 32.0% 8.9% 20.8% 69.0% 32.8% 2.8% -1.1% 2.9M -203.9M -1.2M 1.54 37.89 N/A N/A 3,062 4,717 38,252 57,929 2017-10-09 $118.60 $115.00 32.1% 8.9% 19.4% 69.8% 32.5% 2.5% -1.2% 222.4K -164.7M -1.2M 1.53 12.20 N/A N/A 2,566 3,914 37,615 57,793 2017-10-10 $117.71 $115.00 32.7% 9.3% 19.4% 72.6% 32.8% 2.4% -0.3% -1.2M -145.1M -1.2M 0.92 33.85 N/A N/A 4,208 3,880 38,208 58,113 2017-10-11 $116.03 $115.00 33.0% 9.4% 19.9% 74.2% 33.7% 1.9% 0.0% -3.8M -113.0M -1.2M 1.49 35.10 N/A N/A 2,930 4,376 39,920 58,796 2017-10-12 $117.12 $115.00 33.3% 9.4% 20.2% 75.9% 34.5% 3.1% -0.5% -2.6M -138.7M -1.2M 1.66 44.51 N/A N/A 2,578 4,284 40,961 59,739 2017-10-13 $118.49 $115.00 32.3% 8.9% 20.7% 70.6% 32.5% 3.1% -1.9% 2.7M -184.0M -1.2M 2.11 51.43 N/A N/A 2,497 5,263 41,528 60,268 2017-10-16 $117.46 $115.00 33.0% 9.4% 20.8% 74.2% 32.8% 2.5% -1.3% 2.5M -161.9M -1.1M 1.95 59.35 N/A N/A 3,551 6,913 40,156 58,133 2017-10-17 $115.66 $115.00 31.4% 9.0% 21.3% 65.9% 31.0% 2.2% -1.6% 497.1K -118.2M -1.2M 1.18 52.88 N/A N/A 5,301 6,230 40,408 59,862 2017-10-18 $113.15 $115.00 33.2% 9.5% 22.4% 75.5% 33.0% 3.4% -1.2% -9.6M -52.4M -1.2M 0.50 57.96 N/A N/A 63,441 31,703 43,214 61,484 2017-10-19 $113.01 $115.00 34.0% 9.8% 21.6% 79.8% 35.4% 4.8% -1.7% 16.5M -232.2M -1.9M 1.38 60.75 N/A N/A 6,054 8,344 100,709 65,216 2017-10-20 $113.51 $115.00 32.3% 9.4% 21.6% 70.4% 33.0% 3.6% -1.6% 19.0M -241.3M -1.9M 1.20 59.02 N/A N/A 6,142 7,357 102,297 67,453 2017-10-23 $113.57 $115.00 32.5% 9.8% 17.1% 71.8% 34.3% 3.2% -1.7% 20.5M -276.2M -1.9M 1.52 27.84 N/A N/A 6,126 9,299 98,090 60,965 2017-10-24 $113.38 $115.00 33.8% 9.9% 17.0% 78.4% 33.8% 3.4% -1.7% 19.5M -264.5M -1.9M 0.60 36.26 N/A N/A 15,357 9,204 98,216 63,692 2017-10-25 $114.66 $115.00 32.1% 9.9% 16.1% 69.8% 35.2% 3.1% -1.3% 20.0M -292.7M -1.9M 1.37 32.23 N/A N/A 13,183 18,003 91,848 64,234 2017-10-26 $115.85 $115.00 32.3% 10.0% 16.6% 70.6% 35.2% 2.5% -2.0% 22.3M -340.2M -1.7M 0.47 41.55 N/A N/A 15,979 7,434 84,870 56,078 2017-10-27 $116.81 $115.00 32.6% 9.9% 15.9% 72.0% 34.7% 5.0% -1.6% 18.1M -327.3M -1.6M 0.32 49.54 N/A N/A 25,357 7,996 74,889 56,487 2017-10-30 $117.73 $115.00 32.8% 10.8% 16.1% 73.4% 37.9% 3.1% -1.5% 8.8M -238.2M -1.4M 1.05 37.64 N/A N/A 9,656 10,123 52,754 53,058 2017-10-31 $119.49 $115.00 37.3% 11.0% 17.0% 97.4% 39.6% 7.2% -2.4% 9.4M -274.6M -1.3M 1.06 60.48 N/A N/A 20,810 22,122 53,298 56,803
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