EA Options History — November 2019

In November 2019, EA traded between $95.55 and $100.91. ATM implied volatility averaged 24.7%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.7% (HV 20d: 18.9%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2019-11-14: Highest Volume — 22,344 contracts
  • 2019-11-20: Largest IV spike — 6.8% change
  • 2019-11-14: Highest IV Rank — 8.4%
  • 2019-11-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.06$95.55$100.91$95.55$100.91
Max Pain$92.00$90.00$95.00$95.00$90.00
ATM IV24.7%22.6%26.2%25.2%23.6%
Expected Move7.2%6.7%7.9%7.6%7.0%
HV 20d18.9%17.2%20.3%18.4%17.2%
HV 60d19.6%17.8%22.2%22.2%17.8%
IV Rank2.7%0.0%8.4%0.0%3.4%
IV Percentile1.5%0.0%5.6%0.0%1.2%
Term Structure0.0%-1.4%1.0%0.6%0.5%
VWIV25.4%23.6%28.1%26.4%24.4%
Skew 25d1.7%-4.3%2.8%2.5%1.6%
Skew 10d4.5%0.2%16.1%4.3%3.0%
Call IV 25d23.8%21.8%25.9%24.0%22.8%
Put IV 25d25.5%21.1%27.4%26.5%24.4%
Bid-Ask Spread %7.823.1656.965.145.39
Gamma HHI0.100.080.300.080.14
Net GEX8.1M-814.2K32.0M5.2M16.0M
Net DEX-77.1M-198.9M26.2M1.6M-198.9M
Net VEX-2.2M-2.4M-2.1M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.261.020.580.60
Total Volume10,792.15,37022,34411,5917,901
Total OI203,168.05187,689237,906237,906207,098

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$95.55$95.0025.2%7.6%18.4%0.0%26.4%2.5%0.6%5.2M1.6M-2.4M0.585.14N/AN/A7,3544,237113,433124,473
2019-11-04$98.33$95.0025.1%7.3%19.6%0.0%25.2%2.8%0.2%7.0M-86.9M-2.3M0.7711.52N/AN/A6,6035,08490,672108,196
2019-11-05$98.35$95.0025.6%7.4%18.9%1.8%26.6%2.8%0.0%7.0M-86.7M-2.3M1.0056.96N/AN/A2,8892,90391,975109,889
2019-11-06$98.73$95.0024.5%7.1%18.9%0.0%25.8%2.7%0.4%7.4M-97.6M-2.2M0.523.92N/AN/A6,0313,14088,837110,281
2019-11-07$97.15$95.0025.5%7.6%20.0%4.0%25.4%2.4%0.3%3.5M-21.8M-2.2M0.826.15N/AN/A4,6843,83591,950110,943
2019-11-08$98.07$95.0023.9%6.9%19.3%0.0%24.8%2.3%0.4%8.2M-65.2M-2.2M0.664.62N/AN/A6,6474,37793,951112,018
2019-11-11$96.51$95.0024.1%7.1%20.3%0.9%24.5%2.4%0.7%-309.6K12.4M-2.1M0.583.16N/AN/A4,3662,51586,661105,386
2019-11-12$96.24$95.0025.0%7.3%20.2%4.0%26.5%-2.2%0.2%-788.0K19.6M-2.1M0.745.65N/AN/A8,4936,24589,668106,952
2019-11-13$95.99$90.0025.3%7.4%19.7%5.1%27.0%2.7%0.7%-814.2K26.2M-2.1M1.023.86N/AN/A2,6552,71593,525109,046
2019-11-14$97.41$90.0026.2%7.9%20.2%8.4%28.1%-4.3%1.0%6.8M-54.0M-2.2M0.398.57N/AN/A16,0316,31395,184110,349
2019-11-15$97.55$90.0024.8%7.1%19.1%3.2%26.4%1.9%-0.1%32.0M-85.9M-2.1M0.265.11N/AN/A14,0963,606102,420113,547
2019-11-18$97.66$90.0025.2%7.3%19.0%4.7%24.6%2.5%-0.9%2.3M-58.2M-2.1M0.464.63N/AN/A9,2614,27585,349102,340
2019-11-19$97.05$90.0024.5%7.0%18.5%2.0%24.8%2.1%-0.9%2.7M-44.0M-2.1M0.815.10N/AN/A5,9074,80792,258104,543
2019-11-20$98.15$90.0026.1%7.5%18.6%8.1%26.5%2.5%-1.4%7.4M-91.2M-2.2M0.414.15N/AN/A8,5583,54793,540106,422
2019-11-21$98.99$90.0025.7%7.4%18.7%6.3%25.9%2.4%-1.0%14.1M-140.0M-2.2M1.013.83N/AN/A4,7814,82495,978107,241
2019-11-22$98.92$90.0024.2%7.0%18.7%1.1%24.5%2.1%-0.7%18.6M-134.2M-2.2M0.596.41N/AN/A6,3833,75397,698109,684
2019-11-25$99.58$90.0023.0%6.8%18.7%0.0%23.7%1.8%0.1%7.4M-132.4M-2.1M0.914.52N/AN/A5,3914,91291,087105,850
2019-11-26$99.16$90.0023.0%6.8%17.2%0.0%23.7%2.1%0.3%5.5M-110.2M-2.1M0.684.12N/AN/A5,4363,67891,964108,239
2019-11-27$100.83$90.0022.6%6.7%17.2%0.0%23.6%1.6%0.2%12.6M-194.9M-2.1M0.463.59N/AN/A5,2192,39095,334109,380
2019-11-29$100.91$90.0023.6%7.0%17.2%3.4%24.4%1.6%0.5%16.0M-198.9M-2.1M0.605.39N/AN/A4,9482,95397,040110,058