EA Options History — December 2019

In December 2019, EA traded between $100.59 and $108.77. ATM implied volatility averaged 23.3%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.5% (HV 20d: 12.7%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-12-12: Highest Volume — 18,221 contracts
  • 2019-12-30: Largest IV spike — 16.1% change
  • 2019-12-31: Highest IV Rank — 31.2%
  • 2019-12-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.02$100.59$108.77$100.59$107.28
Max Pain$94.88$90.00$100.00$90.00$100.00
ATM IV23.3%20.6%30.0%24.3%30.0%
Expected Move6.5%5.8%7.7%7.4%6.1%
HV 20d12.7%11.0%16.8%16.8%12.5%
HV 60d17.5%15.9%18.3%17.6%16.0%
IV Rank6.1%0.0%31.2%5.9%31.2%
IV Percentile3.9%0.0%23.8%2.8%23.8%
Term Structure1.8%-1.6%9.7%0.4%-1.6%
VWIV22.9%20.4%26.8%26.0%21.5%
Skew 25d2.4%0.5%4.5%1.7%3.4%
Skew 10d4.2%0.6%9.3%3.8%6.3%
Call IV 25d22.1%20.0%29.3%23.4%29.3%
Put IV 25d24.4%21.7%32.9%25.1%32.7%
Bid-Ask Spread %3.041.659.215.722.54
Gamma HHI0.140.080.250.090.13
Net GEX13.8M6.6M26.2M7.6M7.0M
Net DEX-277.5M-453.8M-168.5M-168.5M-223.0M
Net VEX-2.0M-2.2M-1.9M-2.1M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.331.711.460.75
Total Volume8,861.5714,15518,22110,2956,544
Total OI207,815.238190,195226,630202,256196,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$100.59$90.0024.3%7.4%16.8%5.9%26.0%1.7%0.4%7.6M-168.5M-2.1M1.465.72N/AN/A4,1906,10594,224108,032
2019-12-03$101.14$90.0025.5%7.7%13.8%10.3%26.8%4.5%0.3%8.0M-186.9M-2.2M0.969.21N/AN/A3,9793,83196,418112,201
2019-12-04$100.73$90.0023.3%7.0%13.9%2.6%25.2%2.2%0.8%7.7M-171.4M-2.2M0.804.45N/AN/A5,0214,00998,126113,423
2019-12-05$102.17$95.0022.4%6.9%14.7%0.0%23.7%2.7%0.7%14.1M-227.0M-2.1M0.582.46N/AN/A4,4212,56597,635113,472
2019-12-06$103.01$95.0021.6%6.5%13.2%0.0%22.8%2.1%1.0%26.2M-260.1M-2.1M0.862.14N/AN/A5,7874,98697,651114,622
2019-12-09$101.98$95.0023.0%7.0%13.7%4.9%23.3%2.5%1.4%9.5M-187.5M-2.1M0.382.91N/AN/A5,9532,27694,983111,206
2019-12-10$102.05$95.0022.9%7.0%12.0%4.4%24.5%2.5%1.6%10.9M-194.6M-2.1M1.342.13N/AN/A1,8832,52798,431112,070
2019-12-11$103.16$95.0023.2%6.8%12.1%5.4%25.1%2.5%0.4%14.1M-240.8M-2.1M1.471.68N/AN/A3,2694,79798,885113,226
2019-12-12$104.81$95.0023.2%6.8%12.7%5.4%24.2%2.4%0.6%20.1M-328.7M-2.1M0.332.07N/AN/A13,6634,558100,360115,329
2019-12-13$104.65$95.0021.9%6.4%12.2%1.3%22.7%2.3%0.8%20.3M-312.6M-2.1M0.351.83N/AN/A7,4782,649100,779116,437
2019-12-16$105.66$95.0022.1%6.4%12.4%1.7%23.0%2.8%-0.3%21.1M-355.8M-2.0M1.071.73N/AN/A3,4633,70198,885115,166
2019-12-17$105.77$95.0022.0%6.4%12.4%1.5%22.5%2.7%-0.4%20.9M-343.5M-2.0M0.671.65N/AN/A3,9712,68097,815117,123
2019-12-18$107.03$95.0022.0%6.3%12.0%1.6%21.5%2.0%-0.4%20.5M-407.8M-2.0M1.091.81N/AN/A5,7016,24199,190118,306
2019-12-19$107.09$95.0021.4%6.2%11.9%0.0%20.8%1.7%-0.2%19.3M-411.8M-2.0M1.132.14N/AN/A4,3954,975100,821122,309
2019-12-20$107.91$95.0021.3%6.1%11.9%0.0%21.6%0.5%-0.4%12.8M-453.8M-2.0M0.383.25N/AN/A12,6674,794102,396124,234
2019-12-23$107.90$95.0020.6%5.8%11.8%0.0%20.4%1.8%8.8%10.2M-272.7M-2.0M0.463.73N/AN/A3,9291,82381,303108,892
2019-12-24$108.77$95.0021.3%6.0%11.9%2.3%20.7%1.5%7.9%11.3M-300.2M-2.0M0.433.73N/AN/A2,9041,25182,421109,898
2019-12-26$108.34$95.0022.9%5.9%11.8%7.6%20.6%2.0%9.7%11.7M-286.5M-1.9M0.413.21N/AN/A5,0042,03383,492110,220
2019-12-27$108.43$97.5024.9%6.1%11.0%14.0%22.1%1.7%9.1%9.9M-286.7M-1.9M1.713.10N/AN/A3,0815,26584,284110,763
2019-12-30$106.88$100.0028.8%6.2%12.7%27.3%21.9%4.1%-1.6%6.6M-207.6M-1.9M0.802.32N/AN/A4,2973,42780,836111,777
2019-12-31$107.28$100.0030.0%6.1%12.5%31.2%21.5%3.4%-1.6%7.0M-223.0M-1.9M0.752.54N/AN/A3,7442,80082,195114,284