EA Options History — May 2020

In May 2020, EA traded between $113.08 and $121.70. ATM implied volatility averaged 33.4%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.6% (HV 20d: 29.8%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-05-05: Highest Volume — 35,640 contracts
  • 2020-05-06: Largest IV drop — 22.7% change
  • 2020-05-01: Highest IV Rank — 36.1%
  • 2020-05-01: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.60$113.08$121.70$113.08$121.70
Max Pain$107.25$105.00$110.00$110.00$110.00
ATM IV33.4%29.8%43.3%43.3%31.6%
Expected Move9.6%8.5%14.5%14.5%9.2%
HV 20d29.8%25.3%34.5%30.8%27.1%
HV 60d49.2%47.1%49.8%48.7%47.1%
IV Rank20.4%14.5%36.1%36.1%17.6%
IV Percentile48.7%28.6%84.5%84.5%42.9%
Term Structure-0.5%-7.8%2.8%-2.4%-1.1%
VWIV33.7%30.6%49.2%49.2%32.1%
Skew 25d4.0%-2.6%11.4%11.4%-1.9%
Skew 10d10.4%-1.2%21.2%18.2%11.5%
Call IV 25d31.9%26.0%39.1%38.7%34.1%
Put IV 25d35.9%28.1%50.1%50.1%32.2%
Bid-Ask Spread %24.0110.3746.2514.6339.30
Gamma HHI0.110.080.290.080.10
Net GEX8.3M2.8M17.4M2.8M15.3M
Net DEX-181.1M-281.2M-112.0M-112.0M-281.2M
Net VEX-2.3M-2.5M-2.2M-2.2M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.221.681.681.04
Total Volume12,379.85,00435,6406,0918,229
Total OI136,338.85117,636151,095122,284151,095

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$113.08$110.0043.3%14.5%30.8%36.1%49.2%11.4%-2.4%2.8M-112.0M-2.2M1.6814.63N/AN/A2,2773,81454,25768,027
2020-05-04$117.07$105.0041.0%11.5%32.5%32.4%40.4%-0.8%-7.8%4.6M-177.3M-2.2M0.3025.59N/AN/A10,7543,24350,61467,022
2020-05-05$119.35$105.0041.6%10.9%31.5%33.5%38.5%5.3%-1.7%6.6M-235.3M-2.2M0.4727.70N/AN/A24,29511,34553,72769,242
2020-05-06$115.45$105.0032.2%8.9%34.5%18.4%31.5%1.3%0.0%5.7M-131.6M-2.2M0.6625.02N/AN/A18,52812,21167,67576,606
2020-05-07$115.47$105.0032.3%9.0%34.5%18.6%31.3%2.4%-0.1%7.4M-131.1M-2.3M0.7714.02N/AN/A5,3284,07667,98179,400
2020-05-08$116.25$105.0032.8%9.1%34.1%19.4%32.2%1.4%0.4%7.5M-148.4M-2.2M0.6446.25N/AN/A4,6192,97167,06778,645
2020-05-11$117.60$105.0031.1%8.8%32.4%16.7%31.6%3.0%-0.7%7.8M-183.5M-2.2M0.5324.29N/AN/A5,8733,11856,96071,433
2020-05-12$116.82$105.0029.9%9.0%31.3%14.7%31.0%9.8%2.8%8.0M-165.9M-2.2M0.3220.80N/AN/A5,3571,73559,27573,411
2020-05-13$116.40$105.0033.2%10.0%31.0%20.1%32.8%7.5%1.5%6.9M-151.0M-2.2M0.4527.05N/AN/A7,1023,18760,02473,923
2020-05-14$116.75$105.0033.0%9.8%28.8%19.8%33.6%9.8%1.1%9.7M-170.3M-2.2M0.5419.38N/AN/A3,2491,75563,08474,633
2020-05-15$118.00$105.0031.0%9.0%27.5%16.5%30.6%1.6%0.2%10.8M-211.5M-2.3M0.2239.84N/AN/A8,1231,82464,36275,144
2020-05-18$117.14$105.0031.0%8.9%27.6%16.6%34.3%5.9%0.1%5.6M-146.8M-2.2M1.1511.81N/AN/A6,3997,36955,03069,850
2020-05-19$118.75$110.0031.3%9.0%27.3%17.0%32.2%6.0%0.5%8.5M-194.8M-2.3M0.2812.23N/AN/A8,5922,42058,90974,679
2020-05-20$119.84$110.0031.1%8.9%27.4%16.6%31.7%5.4%0.2%10.5M-233.2M-2.3M0.5211.52N/AN/A8,2664,31960,83275,848
2020-05-21$117.88$110.0034.6%9.8%28.2%22.3%32.8%5.9%-0.8%8.4M-169.1M-2.3M0.3731.97N/AN/A6,3302,32662,74276,802
2020-05-22$119.61$110.0029.8%8.5%27.9%14.5%32.1%7.3%-0.5%17.4M-219.2M-2.3M0.6618.99N/AN/A5,7283,79264,83576,892
2020-05-26$116.41$110.0030.2%8.9%29.7%15.3%30.6%-2.6%-0.4%5.0M-136.5M-2.3M0.7826.50N/AN/A5,6844,45061,13876,406
2020-05-27$117.21$110.0030.3%9.2%25.3%15.4%33.0%2.4%-0.6%5.2M-148.9M-2.3M0.5210.37N/AN/A7,5713,91363,63179,244
2020-05-28$121.28$110.0036.6%9.6%27.2%25.5%33.3%-0.8%-0.7%12.2M-273.6M-2.4M0.4132.92N/AN/A12,3475,07765,77080,562
2020-05-29$121.70$110.0031.6%9.2%27.1%17.6%32.1%-1.9%-1.1%15.3M-281.2M-2.5M1.0439.30N/AN/A4,0414,18868,15882,937