EA Options History — September 2019

In September 2019, EA traded between $95.14 and $99.69. ATM implied volatility averaged 29.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.0% (HV 20d: 21.6%). Max pain ranged from $93.00 to $95.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2019-09-10: Highest Volume — 25,928 contracts
  • 2019-09-30: Largest IV spike — 9.1% change
  • 2019-09-30: Highest IV Rank — 31.5%
  • 2019-09-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.01$95.14$99.69$95.14$97.95
Max Pain$94.80$93.00$95.00$93.00$95.00
ATM IV29.6%26.8%36.6%31.5%36.6%
Expected Move8.4%7.6%9.2%9.2%8.4%
HV 20d21.6%15.9%31.5%30.4%18.3%
HV 60d30.2%26.4%31.5%31.2%26.4%
IV Rank16.4%9.0%31.5%22.8%31.5%
IV Percentile9.7%2.4%49.2%13.5%49.2%
Term Structure2.0%-1.4%8.5%0.3%-1.4%
VWIV30.4%28.0%33.6%33.6%29.7%
Skew 25d3.8%3.3%5.0%4.4%5.0%
Skew 10d7.8%6.7%9.7%9.0%9.5%
Call IV 25d28.1%25.9%36.5%30.1%36.5%
Put IV 25d32.0%29.6%41.5%34.6%41.5%
Bid-Ask Spread %11.303.7648.106.685.55
Gamma HHI0.180.090.410.160.09
Net GEX12.7M150.5K28.3M18.6M3.7M
Net DEX-163.4M-364.6M28.0M-146.0M-64.1M
Net VEX-2.9M-3.2M-2.7M-3.2M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.281.310.870.52
Total Volume13,008.256,17125,9287,8828,417
Total OI236,306.15174,644271,430259,751185,706

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$95.14$93.0031.5%9.2%30.4%22.8%33.6%4.4%0.3%18.6M-146.0M-3.2M0.876.68N/AN/A4,2083,674142,612117,139
2019-09-04$97.76$93.0030.6%8.6%31.5%20.0%31.2%4.6%0.8%24.3M-318.3M-3.2M0.958.48N/AN/A9,0868,662143,967117,592
2019-09-05$97.24$95.0029.2%8.9%30.7%16.2%31.8%4.0%0.7%27.0M-283.0M-3.1M1.216.49N/AN/A10,84713,125144,512120,070
2019-09-06$98.66$95.0028.8%8.4%29.3%14.8%29.6%3.5%0.8%20.6M-364.6M-3.2M0.283.76N/AN/A19,1125,352145,002126,428
2019-09-09$98.69$95.0030.3%8.6%26.8%19.2%32.8%4.2%0.1%17.3M-258.4M-3.1M0.744.70N/AN/A7,5665,588132,766124,284
2019-09-10$99.17$95.0030.3%8.7%26.7%19.2%32.6%4.2%-0.1%15.4M-262.2M-3.0M0.424.34N/AN/A18,2637,665129,423125,502
2019-09-11$98.78$95.0028.9%8.3%26.8%15.2%29.6%3.3%-0.1%12.1M-210.8M-2.9M0.715.80N/AN/A7,1045,057125,846128,458
2019-09-12$98.48$95.0028.7%8.1%19.0%14.6%30.5%3.5%-0.3%12.1M-186.8M-2.9M0.8312.07N/AN/A9,2857,711126,246129,006
2019-09-13$98.49$95.0027.7%8.0%19.0%11.8%28.6%3.5%0.1%150.5K-181.7M-2.9M0.7148.10N/AN/A7,3885,225129,126131,629
2019-09-16$99.08$95.0028.9%8.3%18.5%15.1%30.4%4.2%0.4%17.2M-214.1M-2.9M1.314.48N/AN/A4,1765,465124,534127,466
2019-09-17$98.41$95.0028.2%8.1%18.5%13.1%31.3%3.9%0.3%15.4M-171.3M-2.8M0.8643.44N/AN/A3,3172,854125,109131,240
2019-09-18$98.11$95.0027.8%8.0%16.9%11.9%29.8%3.8%0.2%14.4M-148.9M-2.8M0.7313.18N/AN/A4,2903,134124,938132,079
2019-09-19$99.69$95.0027.5%7.9%17.6%11.2%28.8%3.7%-0.3%28.3M-241.4M-2.8M0.796.26N/AN/A7,5665,997125,054132,366
2019-09-20$98.92$95.0026.8%7.6%17.9%9.0%28.6%3.6%0.6%22.7M-164.2M-2.7M0.8515.52N/AN/A7,1076,039124,706133,923
2019-09-23$98.30$95.0027.8%8.0%16.9%11.0%28.0%3.4%7.4%1.3M-44.1M-2.7M0.606.38N/AN/A4,5312,71276,69697,948
2019-09-24$97.32$95.0029.3%8.6%17.3%14.7%30.5%3.6%7.2%721.8K-14.4M-2.7M0.853.89N/AN/A6,1415,24980,196101,224
2019-09-25$97.72$95.0029.1%8.6%17.3%14.2%29.9%3.5%7.6%1.4M-27.7M-2.7M0.814.61N/AN/A4,4663,61881,421102,799
2019-09-26$96.66$95.0031.3%8.6%15.9%20.6%30.5%3.3%8.0%834.4K5.0M-2.7M0.577.17N/AN/A6,3783,65383,152103,963
2019-09-27$95.59$95.0033.5%8.8%16.5%22.2%30.6%3.6%8.5%787.8K28.0M-2.8M0.6815.15N/AN/A6,0364,10187,185104,810
2019-09-30$97.95$95.0036.6%8.4%18.3%31.5%29.7%5.0%-1.4%3.7M-64.1M-2.8M0.525.55N/AN/A5,5352,88285,87899,828