EA Options History — December 2017

In December 2017, EA traded between $100.92 and $109.12. ATM implied volatility averaged 24.7%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.4% (HV 20d: 29.1%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2017-12-06: Highest Volume — 49,208 contracts
2017-12-04: Largest IV spike — 22.8% change
2017-12-29: Highest IV Rank — 48.0%
2017-12-04: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.86	$100.92	$109.12	$105.99	$105.18
Max Pain	$105.25	$105.00	$110.00	$110.00	$105.00
ATM IV	24.7%	22.1%	27.8%	22.1%	27.8%
Expected Move	7.2%	6.6%	8.1%	7.6%	6.6%
HV 20d	29.1%	21.4%	31.4%	21.4%	28.0%
HV 60d	24.2%	21.6%	25.4%	21.6%	24.1%
IV Rank	30.7%	16.9%	48.0%	16.9%	48.0%
IV Percentile	51.5%	25.0%	72.2%	25.0%	72.2%
Term Structure	1.9%	-1.3%	10.3%	0.7%	10.3%
VWIV	25.3%	23.2%	29.3%	29.3%	23.2%
Skew 25d	3.0%	0.3%	5.8%	0.3%	2.9%
Skew 10d	6.1%	-1.5%	18.4%	-1.2%	4.4%
Call IV 25d	23.7%	22.7%	25.6%	23.8%	22.9%
Put IV 25d	26.7%	24.1%	31.1%	24.1%	25.7%
Bid-Ask Spread %	55.91	16.18	80.82	71.87	16.18
Gamma HHI	0.17	0.15	0.23	0.17	0.18
Net GEX	42.5M	12.0M	65.9M	16.7M	44.1M
Net DEX	-562.6M	-913.5M	-113.2M	-344.3M	-551.0M
Net VEX	-6.2M	-7.2M	-4.5M	-5.1M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.44	1.73	1.42	0.44
Total Volume	30,672.55	10,960	49,208	15,105	27,500
Total OI	396,159.85	302,104	447,080	309,761	447,080

Daily Data (20 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
2017-12-01	$105.99	$110.00	22.1%	7.6%	21.4%	16.9%	29.3%	0.3%	0.7%	16.7M	-344.3M	-5.1M	1.42	71.87	N/A	N/A	6,254	8,851	208,525	101,236
2017-12-04	$100.92	$105.00	27.2%	8.1%	26.7%	44.5%	27.9%	5.5%	-1.3%	12.0M	-113.2M	-4.5M	0.59	71.06	N/A	N/A	30,252	17,932	203,145	98,959
2017-12-05	$103.48	$105.00	25.7%	7.6%	28.8%	36.3%	25.8%	5.8%	1.1%	20.1M	-261.2M	-5.2M	0.83	76.97	N/A	N/A	21,619	17,915	223,219	106,390
2017-12-06	$103.05	$105.00	25.0%	7.2%	28.8%	32.6%	24.8%	4.9%	0.1%	21.2M	-248.0M	-5.2M	0.92	71.90	N/A	N/A	25,646	23,562	233,111	109,029
2017-12-07	$104.33	$105.00	24.1%	7.9%	27.8%	27.4%	27.3%	3.8%	1.2%	23.3M	-355.2M	-5.8M	0.58	80.82	N/A	N/A	17,988	10,481	249,309	122,926
2017-12-08	$105.16	$105.00	24.3%	7.3%	27.5%	28.6%	25.6%	2.7%	0.7%	65.5M	-451.8M	-5.8M	0.56	60.56	N/A	N/A	30,802	17,178	258,166	125,285
2017-12-11	$107.93	$105.00	23.2%	6.6%	29.2%	22.6%	24.3%	3.3%	-0.6%	44.5M	-689.8M	-6.2M	1.73	59.66	N/A	N/A	9,880	17,082	264,774	130,203
2017-12-12	$107.67	$105.00	23.9%	6.8%	29.1%	26.8%	25.0%	2.7%	-0.1%	44.3M	-677.6M	-6.2M	0.93	61.07	N/A	N/A	17,797	16,479	266,550	129,898
2017-12-13	$105.53	$105.00	24.6%	7.2%	29.8%	30.3%	24.6%	3.0%	0.3%	40.7M	-503.1M	-6.2M	0.50	63.93	N/A	N/A	29,443	14,705	274,224	129,580
2017-12-14	$106.59	$105.00	24.3%	7.3%	30.1%	29.0%	24.4%	3.6%	1.5%	50.1M	-626.3M	-6.6M	0.53	70.15	N/A	N/A	22,246	11,708	292,004	136,715
2017-12-15	$109.12	$105.00	23.6%	6.8%	31.4%	24.9%	23.9%	1.8%	0.7%	65.5M	-913.5M	-6.9M	0.79	64.43	N/A	N/A	16,801	13,210	307,146	137,066
2017-12-18	$107.38	$105.00	25.0%	7.2%	30.5%	32.5%	25.4%	2.2%	-0.2%	53.4M	-779.0M	-6.7M	0.96	35.37	N/A	N/A	10,495	10,080	274,263	117,715
2017-12-19	$107.05	$105.00	24.8%	7.1%	30.3%	31.7%	25.0%	2.1%	0.3%	54.4M	-731.9M	-6.7M	1.48	40.72	N/A	N/A	4,415	6,545	276,784	121,977
2017-12-20	$108.49	$105.00	24.8%	7.1%	30.6%	31.7%	24.8%	2.7%	-0.4%	58.9M	-855.0M	-6.8M	0.56	42.92	N/A	N/A	29,966	16,776	277,341	123,878
2017-12-21	$107.89	$105.00	23.8%	6.8%	30.7%	25.8%	25.0%	2.1%	-0.3%	65.9M	-861.1M	-7.2M	1.07	39.69	N/A	N/A	12,141	12,974	296,861	135,415
2017-12-22	$105.93	$105.00	24.3%	7.0%	31.3%	29.0%	25.0%	2.4%	0.1%	40.5M	-624.5M	-6.7M	1.48	39.59	N/A	N/A	9,058	13,434	296,791	138,737
2017-12-26	$104.99	$105.00	25.0%	7.3%	31.4%	32.7%	25.2%	2.9%	7.8%	41.8M	-550.2M	-6.4M	0.70	40.31	N/A	N/A	12,631	8,786	292,737	134,751
2017-12-27	$105.20	$105.00	24.1%	7.2%	30.4%	27.5%	25.2%	3.1%	8.4%	42.5M	-559.3M	-6.6M	1.07	47.54	N/A	N/A	10,077	10,814	298,644	138,360
2017-12-28	$105.39	$105.00	25.6%	6.8%	28.0%	35.6%	23.4%	2.8%	8.2%	44.8M	-556.0M	-6.6M	0.78	63.38	N/A	N/A	11,219	8,709	304,620	139,783
2017-12-29	$105.18	$105.00	27.8%	6.6%	28.0%	48.0%	23.2%	2.9%	10.3%	44.1M	-551.0M	-6.6M	0.44	16.18	N/A	N/A	19,036	8,464	306,872	140,208