EA Options History — January 2020 In January 2020, EA traded between $107.07 and $113.29. ATM implied volatility averaged 31.7%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 18.8% (HV 20d: 12.9%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2020-01-30 : Highest Volume — 31,824 contracts2020-01-31 : Largest IV drop — 24.2% change2020-01-27 : Highest IV Rank — 51.6%2020-01-27 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $110.39 $107.07 $113.29 $107.07 $107.69 Max Pain $107.38 $100.00 $110.00 $100.00 $110.00 ATM IV 31.7% 25.1% 36.2% 31.6% 25.1% Expected Move 8.6% 6.1% 10.9% 6.2% 7.1% HV 20d 12.9% 11.5% 19.3% 12.6% 19.3% HV 60d 14.8% 14.2% 15.4% 15.4% 15.3% IV Rank 36.7% 14.8% 51.6% 36.4% 14.8% IV Percentile 34.0% 11.5% 61.9% 29.8% 11.5% Term Structure -1.5% -2.7% 0.9% -0.8% 0.9% VWIV 30.2% 21.2% 37.9% 21.6% 25.0% Skew 25d 1.6% -0.0% 3.5% 3.5% 0.6% Skew 10d 3.2% -1.8% 7.1% 5.6% 5.5% Call IV 25d 31.1% 25.6% 34.7% 30.1% 25.6% Put IV 25d 32.7% 26.2% 36.6% 33.6% 26.2% Bid-Ask Spread % 8.01 2.56 23.05 3.52 8.56 Gamma HHI 0.13 0.08 0.26 0.13 0.10 Net GEX 8.9M -2.1M 19.9M 6.9M -2.1M Net DEX -236.8M -482.1M 10.2M -218.3M 10.2M Net VEX -1.9M -2.1M -1.8M -1.9M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.19 1.55 0.78 0.81 Total Volume 10,747.19 4,817 31,824 6,366 24,583 Total OI 170,249.333 113,094 220,821 198,785 146,544
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 2020-01-02 $107.07 $100.00 31.6% 6.2% 12.6% 36.4% 21.6% 3.5% -0.8% 6.9M -218.3M -1.9M 0.78 3.52 N/A N/A 3,577 2,789 83,549 115,236 2020-01-03 $107.43 $100.00 32.2% 6.1% 12.3% 38.5% 21.2% 2.5% -1.4% 8.2M -236.6M -1.9M 1.35 3.20 N/A N/A 3,725 5,027 84,758 115,642 2020-01-06 $108.92 $105.00 31.6% 8.2% 12.3% 36.3% 29.7% 2.9% -1.1% 9.8M -283.4M -1.9M 0.97 4.42 N/A N/A 4,963 4,829 82,664 115,252 2020-01-07 $108.58 $105.00 31.2% 8.2% 12.3% 35.2% 29.1% 3.0% -1.1% 9.9M -271.4M -1.9M 1.28 9.27 N/A N/A 3,452 4,429 84,307 116,052 2020-01-08 $109.77 $105.00 31.4% 8.3% 11.7% 35.7% 29.4% 2.1% -1.3% 11.2M -318.0M -1.9M 0.19 2.56 N/A N/A 19,657 3,645 85,070 118,524 2020-01-09 $109.29 $105.00 30.9% 8.1% 12.0% 34.2% 28.1% 2.0% -1.8% 19.9M -331.1M -1.9M 0.30 3.69 N/A N/A 6,528 1,956 91,462 120,231 2020-01-10 $108.56 $110.00 30.3% 8.0% 12.2% 32.2% 28.2% 2.2% -1.4% 15.4M -307.1M -1.9M 0.37 3.71 N/A N/A 6,632 2,463 92,692 121,271 2020-01-13 $109.80 $110.00 31.1% 8.4% 11.6% 34.9% 29.2% 1.7% -1.5% 12.4M -319.6M -1.8M 0.57 4.35 N/A N/A 3,182 1,815 85,142 119,698 2020-01-14 $110.01 $105.00 32.2% 8.5% 11.5% 38.3% 30.0% 1.5% -2.7% 13.1M -330.3M -1.8M 0.27 4.30 N/A N/A 5,406 1,484 86,257 120,181 2020-01-15 $109.47 $105.00 32.5% 8.6% 11.5% 39.4% 30.2% 1.9% -2.2% 13.9M -307.5M -1.8M 0.36 12.06 N/A N/A 8,694 3,156 87,532 120,823 2020-01-16 $111.13 $105.00 31.4% 8.4% 12.4% 35.7% 29.1% 0.7% -2.5% 17.1M -416.9M -1.9M 0.56 23.05 N/A N/A 7,719 4,299 92,253 122,151 2020-01-17 $112.48 $110.00 31.3% 8.6% 12.4% 35.5% 29.8% -0.0% -2.2% 13.1M -482.1M -1.9M 0.34 4.57 N/A N/A 7,865 2,683 97,125 123,696 2020-01-21 $112.34 $110.00 32.3% 9.2% 12.5% 38.9% 32.1% 0.5% -2.1% 5.8M -161.0M -1.9M 0.58 4.15 N/A N/A 4,165 2,427 43,130 71,228 2020-01-22 $113.23 $110.00 32.1% 9.2% 12.5% 38.1% 32.8% 0.7% -2.1% 6.7M -177.0M -1.9M 1.02 4.12 N/A N/A 2,766 2,810 43,881 72,436 2020-01-23 $113.29 $110.00 32.3% 9.4% 12.5% 38.8% 32.8% 0.3% -2.0% 6.8M -175.2M -1.9M 1.32 11.42 N/A N/A 2,341 3,094 44,186 73,387 2020-01-24 $112.35 $110.00 32.9% 9.6% 12.9% 40.9% 33.6% 0.5% -2.4% 5.2M -152.0M -1.9M 0.82 12.19 N/A N/A 4,508 3,710 45,266 74,947 2020-01-27 $110.69 $110.00 36.2% 10.9% 14.0% 51.6% 37.9% 1.9% -1.4% 1.9M -94.1M -2.0M 0.47 10.65 N/A N/A 6,426 3,016 42,633 70,461 2020-01-28 $112.21 $110.00 31.8% 9.7% 14.7% 37.2% 33.9% 1.6% -1.2% 4.9M -145.5M -2.0M 0.66 11.69 N/A N/A 5,550 3,679 46,518 72,445 2020-01-29 $112.15 $110.00 31.7% 9.7% 13.5% 36.9% 34.1% 1.5% -1.4% 4.2M -134.0M -2.0M 1.55 19.53 N/A N/A 1,888 2,929 47,121 74,750 2020-01-30 $111.68 $110.00 33.1% 10.3% 13.7% 41.6% 36.1% 1.3% -0.5% 3.4M -121.8M -2.1M 1.29 7.27 N/A N/A 13,870 17,954 47,899 76,836 2020-01-31 $107.69 $110.00 25.1% 7.1% 19.3% 14.8% 25.0% 0.6% 0.9% -2.1M 10.2M -2.1M 0.81 8.56 N/A N/A 13,597 10,986 56,245 90,299
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