EA Options History — March 2020 In March 2020, EA traded between $87.97 and $111.36. ATM implied volatility averaged 54.3%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 1.2% (HV 20d: 53.1%). Max pain ranged from $99.00 to $110.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2020-03-04 : Highest Volume — 13,923 contracts2020-03-18 : Largest IV spike — 29.3% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 23.9%Monthly Statistics Metric Avg Min Max Open Close Price $98.50 $87.97 $111.36 $106.06 $100.60 Max Pain $102.68 $99.00 $110.00 $105.00 $99.00 ATM IV 54.3% 31.6% 83.3% 33.0% 39.2% Expected Move 15.7% 9.2% 23.9% 9.7% 12.6% HV 20d 53.1% 34.2% 74.1% 35.1% 68.7% HV 60d 34.4% 23.9% 45.3% 23.9% 45.3% IV Rank 70.1% 29.6% 100.0% 41.2% 29.6% IV Percentile 88.9% 39.7% 100.0% 54.4% 78.2% Term Structure -1.1% -12.2% 12.4% -0.5% 3.6% VWIV 54.6% 31.3% 83.1% 33.3% 45.3% Skew 25d 11.9% 7.1% 20.9% 7.8% 7.1% Skew 10d 19.5% 4.2% 36.6% 12.3% 4.2% Call IV 25d 48.6% 28.2% 72.8% 29.0% 33.2% Put IV 25d 60.5% 36.3% 86.9% 36.8% 40.3% Bid-Ask Spread % 47.23 12.79 90.45 16.82 90.45 Gamma HHI 0.09 0.05 0.24 0.07 0.05 Net GEX -2.9M -9.5M 6.3M -2.2M 1.4M Net DEX 101.9M -136.8M 310.7M 12.1M 7.3M Net VEX -2.2M -2.4M -1.9M -2.2M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.27 3.05 0.65 0.70 Total Volume 6,080.636 2,193 13,923 8,392 7,250 Total OI 131,831.591 96,111 150,563 132,756 110,737
Daily Data (22 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 2020-03-02 $106.06 $105.00 33.0% 9.7% 35.1% 41.2% 33.3% 7.8% -0.5% -2.2M 12.1M -2.2M 0.65 16.82 N/A N/A 5,094 3,298 50,007 82,749 2020-03-03 $107.87 $105.00 33.9% 10.2% 34.2% 43.9% 39.6% 9.0% -0.4% 233.7K -33.2M -2.2M 0.57 12.79 N/A N/A 5,913 3,384 52,389 84,898 2020-03-04 $111.36 $105.00 31.6% 9.2% 35.3% 36.4% 31.3% 8.2% -0.3% 6.3M -136.8M -2.2M 0.36 27.49 N/A N/A 10,252 3,671 55,042 85,535 2020-03-05 $110.54 $105.00 35.7% 10.7% 35.4% 50.2% 39.0% 9.8% 1.3% 5.5M -116.3M -2.4M 1.10 34.68 N/A N/A 2,552 2,814 59,735 87,594 2020-03-06 $107.08 $105.00 42.5% 12.5% 36.6% 72.6% 43.4% 12.4% -2.4% -267.1K -9.1M -2.4M 1.36 51.33 N/A N/A 2,400 3,271 60,722 89,841 2020-03-09 $101.38 $105.00 52.8% 14.7% 41.2% 100.0% 53.2% 8.7% -2.9% -3.9M 101.0M -2.4M 0.68 58.59 N/A N/A 1,503 1,027 57,831 87,159 2020-03-10 $102.99 $105.00 47.6% 12.8% 41.8% 83.8% 46.8% 14.3% -2.6% -4.7M 91.7M -2.3M 1.33 37.90 N/A N/A 2,165 2,879 58,852 86,924 2020-03-11 $100.90 $110.00 49.6% 13.7% 42.1% 90.0% 48.8% 8.8% -1.1% -5.7M 124.9M -2.3M 3.05 52.90 N/A N/A 541 1,652 59,404 86,324 2020-03-12 $95.12 $105.00 61.5% 17.8% 46.3% 100.0% 60.8% 17.4% 1.8% -7.0M 219.0M -2.2M 1.08 49.17 N/A N/A 3,161 3,407 59,485 85,975 2020-03-13 $96.03 $105.00 63.9% 17.7% 46.6% 100.0% 63.9% 17.2% -3.5% -7.7M 219.3M -2.2M 0.89 47.40 N/A N/A 3,709 3,287 61,051 87,808 2020-03-16 $91.08 $105.00 71.1% 20.2% 49.1% 100.0% 69.8% 20.9% -4.1% -6.6M 243.0M -2.2M 2.67 48.78 N/A N/A 1,866 4,979 59,071 85,663 2020-03-17 $95.97 $100.00 64.4% 18.3% 53.7% 86.7% 61.3% 17.1% -3.9% -7.2M 185.4M -2.2M 0.42 43.94 N/A N/A 1,951 815 59,889 84,282 2020-03-18 $88.35 $100.00 83.3% 23.9% 60.0% 100.0% 83.1% 14.1% -12.2% -7.0M 276.1M -2.0M 1.94 57.36 N/A N/A 1,538 2,976 60,453 84,199 2020-03-19 $90.40 $100.00 67.8% 19.4% 61.2% 75.2% 64.5% 12.5% -0.2% -8.2M 264.5M -2.0M 1.16 70.08 N/A N/A 3,006 3,500 61,081 84,331 2020-03-20 $87.97 $100.00 72.4% 20.7% 61.5% 82.5% 72.2% 16.8% 1.7% -9.5M 310.7M -1.9M 1.84 61.79 N/A N/A 1,777 3,263 62,689 83,484 2020-03-23 $94.55 $100.00 60.3% 17.0% 68.1% 63.2% 54.2% 11.1% -2.4% -2.6M 106.9M -2.0M 0.28 43.99 N/A N/A 6,754 1,877 38,287 57,824 2020-03-24 $94.01 $100.00 55.9% 16.9% 68.0% 56.2% 57.5% 8.6% -0.9% -1.8M 103.4M -2.0M 0.61 39.74 N/A N/A 2,983 1,832 44,121 58,747 2020-03-25 $91.10 $100.00 62.1% 18.9% 68.4% 66.2% 66.6% 11.5% -1.5% -2.0M 126.8M -2.0M 0.90 44.90 N/A N/A 2,488 2,228 45,132 59,407 2020-03-26 $98.28 $100.00 61.4% 18.5% 74.1% 65.0% 63.1% 12.6% -6.0% -254.7K 40.0M -2.2M 0.45 40.72 N/A N/A 4,087 1,857 46,104 60,609 2020-03-27 $97.13 $100.00 57.3% 16.0% 72.5% 58.4% 56.9% 7.6% -0.4% -222.7K 58.7M -2.1M 0.39 50.38 N/A N/A 3,142 1,216 47,760 61,015 2020-03-30 $98.20 $100.00 47.0% 14.2% 68.3% 42.0% 47.5% 8.1% 12.4% -822.3K 45.3M -2.1M 0.27 57.80 N/A N/A 5,066 1,343 46,758 59,327 2020-03-31 $100.60 $99.00 39.2% 12.6% 68.7% 29.6% 45.3% 7.1% 3.6% 1.4M 7.3M -2.1M 0.70 90.45 N/A N/A 4,270 2,980 50,844 59,893
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