EA Options History — June 2020 In June 2020, EA traded between $116.50 and $131.65. ATM implied volatility averaged 34.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.7% (HV 20d: 27.6%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2020-06-12 : Highest Volume — 14,505 contracts2020-06-11 : Largest IV spike — 19.2% change2020-06-12 : Highest IV Rank — 31.9%2020-06-12 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $125.54 $116.50 $131.65 $122.88 $131.65 Max Pain $116.82 $110.00 $125.00 $110.00 $125.00 ATM IV 34.2% 26.9% 40.7% 30.3% 38.5% Expected Move 9.6% 8.5% 11.2% 9.4% 8.7% HV 20d 27.6% 24.1% 31.3% 27.1% 26.0% HV 60d 37.5% 27.7% 47.1% 47.1% 27.7% IV Rank 21.7% 9.9% 31.9% 15.4% 28.4% IV Percentile 55.5% 22.6% 81.0% 32.9% 74.6% Term Structure 1.5% -4.2% 9.8% 3.9% -2.6% VWIV 34.3% 29.4% 40.1% 33.3% 32.3% Skew 25d 3.9% -4.9% 18.8% 10.4% 8.4% Skew 10d 11.3% -7.8% 28.9% 18.2% 9.4% Call IV 25d 33.6% 23.5% 49.2% 26.4% 37.5% Put IV 25d 37.5% 26.1% 54.9% 36.8% 45.9% Bid-Ask Spread % 32.26 10.11 53.13 31.06 29.40 Gamma HHI 0.15 0.08 0.65 0.12 0.09 Net GEX 13.6M 2.6M 52.0M 11.3M 6.9M Net DEX -304.6M -532.1M -104.3M -293.8M -265.0M Net VEX -2.3M -2.5M -2.1M -2.3M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.25 1.91 0.96 1.77 Total Volume 9,284.227 3,452 14,505 6,548 6,554 Total OI 145,830.955 119,998 167,317 144,241 122,545
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 2020-06-01 $122.88 $110.00 30.3% 9.4% 27.1% 15.4% 33.3% 10.4% 3.9% 11.3M -293.8M -2.3M 0.96 31.06 N/A N/A 3,344 3,204 63,874 80,367 2020-06-02 $121.89 $110.00 30.2% 8.8% 24.9% 15.2% 30.9% 1.6% 1.1% 11.3M -274.7M -2.3M 0.84 10.11 N/A N/A 1,871 1,581 65,370 81,013 2020-06-03 $118.46 $110.00 28.3% 8.5% 26.3% 12.2% 29.4% 5.6% -1.7% 6.4M -173.4M -2.3M 0.54 18.00 N/A N/A 8,060 4,375 65,750 81,762 2020-06-04 $116.50 $110.00 30.8% 9.2% 24.1% 16.2% 32.2% 3.5% 0.6% 2.6M -104.3M -2.4M 0.99 36.65 N/A N/A 6,677 6,579 68,364 84,540 2020-06-05 $118.15 $115.00 26.9% 8.5% 24.6% 9.9% 31.9% -4.9% 1.4% 6.6M -164.7M -2.3M 0.52 24.65 N/A N/A 6,301 3,269 69,679 85,415 2020-06-08 $119.07 $115.00 32.0% 9.1% 24.6% 18.1% 32.0% -1.7% 0.1% 7.6M -197.5M -2.3M 0.80 48.19 N/A N/A 6,362 5,069 66,984 83,026 2020-06-09 $121.60 $115.00 37.4% 9.5% 25.3% 26.7% 32.6% -1.6% -4.2% 12.1M -285.8M -2.3M 0.52 46.97 N/A N/A 5,234 2,738 70,069 85,603 2020-06-10 $125.25 $115.00 33.9% 9.5% 27.0% 21.2% 34.5% 7.8% -1.4% 15.0M -391.3M -2.3M 0.67 48.90 N/A N/A 5,354 3,568 70,159 85,985 2020-06-11 $122.95 $115.00 40.5% 11.1% 28.0% 31.6% 40.1% 18.8% -3.1% 11.7M -300.3M -2.5M 1.11 50.75 N/A N/A 6,330 7,011 69,850 87,260 2020-06-12 $121.60 $115.00 40.7% 11.2% 28.4% 31.9% 39.7% 5.7% -1.1% 12.1M -255.5M -2.5M 0.60 53.13 N/A N/A 9,089 5,416 69,671 86,851 2020-06-15 $126.23 $115.00 36.9% 10.5% 31.0% 26.0% 38.3% 4.2% -1.7% 15.5M -402.6M -2.3M 1.08 46.36 N/A N/A 5,819 6,293 69,665 85,253 2020-06-16 $125.44 $120.00 35.4% 10.1% 30.9% 23.6% 35.4% 4.8% 0.4% 16.0M -371.3M -2.4M 0.51 43.52 N/A N/A 5,073 2,600 71,729 89,254 2020-06-17 $127.83 $120.00 34.4% 9.9% 31.2% 21.9% 35.4% 2.2% 0.4% 18.1M -450.1M -2.3M 0.25 41.22 N/A N/A 7,819 1,955 73,257 90,110 2020-06-18 $129.35 $120.00 33.6% 9.5% 31.3% 20.6% 34.8% 1.3% 0.8% 20.5M -519.5M -2.3M 0.51 39.16 N/A N/A 4,680 2,385 75,971 90,858 2020-06-19 $129.93 $120.00 33.9% 9.7% 30.3% 21.1% 34.6% 3.0% -0.7% 52.0M -532.1M -2.2M 0.38 25.21 N/A N/A 7,911 2,988 75,712 91,605 2020-06-22 $129.27 $120.00 34.1% 9.6% 30.3% 21.5% 35.3% 2.1% 6.9% 7.0M -259.8M -2.2M 0.76 16.99 N/A N/A 4,885 3,716 51,296 72,341 2020-06-23 $130.83 $120.00 31.7% 9.2% 28.1% 17.7% 32.9% 0.7% 9.1% 11.9M -306.1M -2.2M 1.12 17.12 N/A N/A 6,737 7,516 53,659 72,595 2020-06-24 $131.26 $120.00 35.0% 9.9% 28.1% 22.9% 35.4% 0.9% 7.5% 11.1M -313.7M -2.1M 1.05 26.71 N/A N/A 3,892 4,090 53,913 72,287 2020-06-25 $130.52 $120.00 33.1% 9.5% 26.3% 19.9% 33.8% 0.7% 9.8% 12.0M -288.4M -2.2M 1.50 11.34 N/A N/A 1,708 2,554 53,694 72,855 2020-06-26 $130.87 $120.00 38.0% 9.8% 26.3% 27.7% 35.2% 6.0% 9.3% 26.0M -300.1M -2.1M 0.59 14.83 N/A N/A 3,962 2,322 54,028 74,064 2020-06-29 $130.44 $120.00 37.9% 9.6% 26.3% 27.4% 34.1% 6.4% -2.4% 5.8M -251.6M -2.1M 1.91 29.46 N/A N/A 2,529 4,833 48,906 71,092 2020-06-30 $131.65 $125.00 38.5% 8.7% 26.0% 28.4% 32.3% 8.4% -2.6% 6.9M -265.0M -2.1M 1.77 29.40 N/A N/A 2,366 4,188 49,394 73,151
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