EA Options History — November 2017

In November 2017, EA traded between $105.64 and $114.27. ATM implied volatility averaged 24.1%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.2% (HV 20d: 23.9%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2017-11-01: Highest Volume — 89,460 contracts
2017-11-02: Largest IV drop — 8.9% change
2017-11-15: Highest IV Rank — 40.0%
2017-11-29: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.35	$105.64	$114.27	$114.27	$105.64
Max Pain	$113.33	$110.00	$115.00	$115.00	$110.00
ATM IV	24.1%	22.2%	26.4%	26.2%	24.9%
Expected Move	7.2%	6.9%	8.5%	7.8%	7.7%
HV 20d	23.9%	21.5%	25.9%	23.3%	21.5%
HV 60d	21.1%	20.6%	22.0%	21.1%	21.9%
IV Rank	27.6%	17.5%	40.0%	38.2%	32.1%
IV Percentile	44.1%	26.6%	63.9%	59.5%	53.2%
Term Structure	-0.1%	-2.6%	2.5%	-1.2%	-1.1%
VWIV	26.1%	24.5%	30.2%	28.5%	28.7%
Skew 25d	1.8%	-2.4%	3.1%	2.2%	-2.4%
Skew 10d	5.0%	-0.5%	9.8%	4.1%	7.8%
Call IV 25d	24.0%	21.1%	30.8%	25.2%	30.8%
Put IV 25d	25.8%	22.9%	28.4%	27.4%	28.4%
Bid-Ask Spread %	55.55	37.33	71.14	57.39	55.48
Gamma HHI	0.16	0.08	0.19	0.08	0.16
Net GEX	12.1M	1.9M	20.3M	1.9M	20.3M
Net DEX	-250.6M	-346.0M	-118.3M	-118.3M	-324.7M
Net VEX	-2.8M	-5.2M	-1.4M	-1.4M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.29	2.57	0.29	0.64
Total Volume	28,350.571	11,554	89,460	89,460	24,895
Total OI	189,687.238	130,608	302,431	130,608	302,431

Daily Data (21 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
2017-11-01	$114.27	$115.00	26.2%	7.8%	23.3%	38.2%	28.5%	2.2%	-1.2%	1.9M	-118.3M	-1.4M	0.29	57.39	N/A	N/A	69,255	20,205	63,035	67,573
2017-11-02	$112.74	$115.00	23.8%	7.1%	23.3%	26.2%	25.3%	1.9%	-0.3%	11.9M	-274.0M	-2.6M	1.92	43.55	N/A	N/A	6,280	12,061	114,705	68,856
2017-11-03	$113.13	$115.00	23.9%	6.9%	23.2%	26.9%	25.1%	2.6%	0.7%	14.4M	-289.9M	-2.6M	2.10	47.56	N/A	N/A	4,898	10,292	115,632	69,399
2017-11-06	$112.50	$115.00	22.2%	6.9%	22.9%	17.5%	24.5%	2.9%	1.7%	15.4M	-262.1M	-2.5M	1.33	59.47	N/A	N/A	6,216	8,271	106,826	58,066
2017-11-07	$111.68	$115.00	22.5%	6.9%	22.9%	18.7%	24.7%	0.4%	1.8%	12.7M	-239.9M	-2.5M	2.04	64.99	N/A	N/A	4,269	8,730	107,111	60,145
2017-11-08	$114.23	$115.00	22.7%	7.0%	24.1%	19.8%	24.5%	1.7%	1.6%	20.3M	-346.0M	-2.6M	2.29	38.09	N/A	N/A	7,233	16,562	107,367	60,942
2017-11-09	$111.96	$115.00	23.4%	7.3%	24.8%	23.6%	25.8%	2.1%	2.5%	12.1M	-238.8M	-2.5M	1.21	57.29	N/A	N/A	5,907	7,145	108,863	65,696
2017-11-10	$112.71	$115.00	23.7%	7.0%	24.5%	25.4%	26.0%	1.9%	1.1%	14.6M	-273.2M	-2.6M	1.61	55.11	N/A	N/A	4,428	7,126	110,746	65,877
2017-11-13	$111.95	$115.00	25.7%	7.5%	24.4%	36.1%	27.1%	3.1%	-2.4%	11.8M	-249.7M	-2.5M	2.57	67.87	N/A	N/A	5,249	13,488	107,018	63,765
2017-11-14	$112.19	$115.00	25.7%	7.4%	23.9%	36.1%	26.2%	1.3%	-1.9%	9.6M	-243.3M	-2.6M	0.61	67.33	N/A	N/A	13,026	7,918	107,273	69,872
2017-11-15	$111.33	$115.00	26.4%	7.6%	22.8%	40.0%	28.1%	2.3%	-2.6%	8.1M	-229.8M	-2.7M	0.83	63.17	N/A	N/A	12,573	10,481	115,642	71,361
2017-11-16	$111.72	$115.00	25.1%	7.3%	22.9%	33.2%	25.7%	1.5%	-1.6%	9.7M	-298.4M	-2.9M	0.73	71.14	N/A	N/A	9,995	7,248	124,599	70,207
2017-11-17	$108.80	$115.00	24.2%	7.0%	24.6%	28.1%	25.2%	2.3%	-1.1%	7.9M	-147.8M	-2.7M	0.33	43.79	N/A	N/A	41,139	13,503	130,815	70,622
2017-11-20	$107.62	$115.00	23.8%	7.1%	24.7%	25.9%	26.4%	2.9%	1.7%	10.6M	-239.0M	-2.9M	1.13	54.96	N/A	N/A	10,704	12,133	123,862	61,574
2017-11-21	$107.55	$110.00	23.2%	6.9%	24.7%	22.7%	24.8%	1.9%	0.6%	9.6M	-244.0M	-3.0M	1.58	37.33	N/A	N/A	5,063	8,009	128,866	64,857
2017-11-22	$107.37	$110.00	22.7%	6.9%	24.2%	20.1%	25.8%	2.4%	-0.2%	8.7M	-229.1M	-2.9M	0.69	64.76	N/A	N/A	13,320	9,240	129,832	66,351
2017-11-24	$107.94	$110.00	23.4%	6.9%	23.9%	23.7%	25.6%	1.8%	-1.4%	11.7M	-252.3M	-2.9M	1.38	43.81	N/A	N/A	6,295	8,669	132,865	68,282
2017-11-27	$107.10	$110.00	23.5%	6.9%	23.5%	24.2%	24.6%	1.2%	0.1%	10.9M	-224.5M	-2.7M	0.68	63.27	N/A	N/A	10,807	7,361	129,949	63,405
2017-11-28	$109.30	$110.00	23.8%	7.2%	24.8%	26.1%	25.0%	2.0%	-0.7%	16.9M	-313.7M	-2.9M	0.56	53.60	N/A	N/A	39,281	22,091	128,823	64,482
2017-11-29	$105.70	$110.00	25.2%	8.5%	25.9%	33.9%	30.2%	2.6%	-0.4%	14.5M	-224.8M	-3.6M	0.60	56.55	N/A	N/A	52,441	31,555	157,410	78,430
2017-11-30	$105.64	$110.00	24.9%	7.7%	21.5%	32.1%	28.7%	-2.4%	-1.1%	20.3M	-324.7M	-5.2M	0.64	55.48	N/A	N/A	15,145	9,750	202,194	100,237