EA Options History — July 2020 In July 2020, EA traded between $134.04 and $142.14. ATM implied volatility averaged 38.9%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 16.4% (HV 20d: 22.6%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2020-07-30 : Highest Volume — 34,558 contracts2020-07-31 : Largest IV drop — 24.2% change2020-07-15 : Highest IV Rank — 37.4%2020-07-13 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $137.26 $134.04 $142.14 $135.26 $141.05 Max Pain $126.82 $125.00 $130.00 $125.00 $130.00 ATM IV 38.9% 27.4% 44.1% 42.9% 27.4% Expected Move 10.5% 7.8% 11.9% 9.0% 8.1% HV 20d 22.6% 19.3% 24.7% 24.3% 24.0% HV 60d 26.2% 23.8% 27.7% 27.5% 23.8% IV Rank 29.2% 10.8% 37.4% 35.6% 10.8% IV Percentile 73.2% 23.0% 88.5% 85.3% 23.0% Term Structure -1.2% -6.7% 3.1% -2.1% 1.9% VWIV 38.3% 27.2% 44.6% 31.6% 29.0% Skew 25d 3.8% -3.0% 11.3% 6.4% 1.6% Skew 10d 10.7% -0.2% 20.4% 20.4% 9.8% Call IV 25d 37.2% 29.6% 45.9% 36.9% 29.6% Put IV 25d 40.9% 31.2% 47.8% 43.3% 31.2% Bid-Ask Spread % 38.04 20.54 57.68 29.06 29.25 Gamma HHI 0.08 0.04 0.13 0.10 0.10 Net GEX 6.5M -2.7M 17.0M 9.1M 17.0M Net DEX -322.5M -430.0M -192.3M -330.6M -430.0M Net VEX -2.1M -2.4M -1.9M -2.2M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.34 1.92 0.50 0.64 Total Volume 9,625.909 4,154 34,558 6,735 26,968 Total OI 129,301.864 116,799 154,115 123,796 154,115
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 2020-07-01 $135.26 $125.00 42.9% 9.0% 24.3% 35.6% 31.6% 6.4% -2.1% 9.1M -330.6M -2.2M 0.50 29.06 N/A N/A 4,493 2,242 50,093 73,703 2020-07-02 $134.04 $125.00 38.0% 7.8% 23.4% 27.6% 27.2% 6.8% -2.8% 3.8M -324.6M -2.1M 0.86 25.47 N/A N/A 2,698 2,307 51,177 74,672 2020-07-06 $134.32 $125.00 39.4% 10.2% 23.3% 29.8% 37.4% 11.3% -1.9% 8.5M -318.1M -2.0M 0.76 49.03 N/A N/A 5,100 3,851 48,971 73,424 2020-07-07 $135.05 $125.00 40.5% 10.5% 23.3% 31.7% 37.1% 4.0% -1.7% 9.0M -339.5M -2.0M 1.15 34.29 N/A N/A 2,252 2,591 50,291 74,033 2020-07-08 $135.88 $125.00 39.7% 10.5% 22.7% 30.4% 36.7% 7.0% -0.0% 9.4M -342.4M -2.1M 0.60 50.11 N/A N/A 2,593 1,561 50,858 74,901 2020-07-09 $138.77 $125.00 41.5% 10.9% 21.7% 33.3% 38.6% -3.0% -6.7% 11.5M -418.4M -1.9M 0.34 44.85 N/A N/A 4,740 1,635 52,000 75,114 2020-07-10 $140.49 $125.00 41.8% 11.2% 19.9% 33.7% 39.7% 0.2% -1.5% 10.7M -429.8M -2.1M 1.12 40.18 N/A N/A 5,404 6,058 51,905 75,700 2020-07-13 $136.13 $125.00 44.0% 11.9% 23.3% 37.2% 41.4% 3.2% 3.0% 6.6M -324.8M -2.0M 0.62 48.14 N/A N/A 4,640 2,899 50,467 74,626 2020-07-14 $138.06 $125.00 43.0% 11.6% 20.4% 35.7% 42.0% 3.6% -2.1% 7.8M -360.3M -2.0M 0.79 46.18 N/A N/A 5,059 3,979 52,328 76,160 2020-07-15 $138.52 $125.00 44.1% 11.3% 20.0% 37.4% 44.6% 5.5% -6.6% 7.8M -366.7M -2.2M 1.06 41.23 N/A N/A 5,909 6,237 54,228 78,407 2020-07-16 $138.10 $125.00 40.0% 10.8% 19.5% 30.9% 43.4% 1.3% -1.2% 9.6M -356.9M -2.1M 1.19 50.62 N/A N/A 2,781 3,312 55,652 80,297 2020-07-17 $138.35 $125.00 36.7% 10.0% 19.3% 25.5% 35.5% 3.9% -2.8% 8.6M -367.2M -2.1M 0.50 57.68 N/A N/A 3,053 1,524 56,275 82,320 2020-07-20 $142.14 $125.00 37.1% 10.8% 21.0% 26.3% 38.1% 2.8% 3.1% 6.0M -349.2M -2.0M 0.74 37.63 N/A N/A 7,216 5,344 46,597 70,202 2020-07-21 $139.40 $125.00 37.8% 10.8% 22.5% 27.4% 40.9% 5.1% -1.4% 4.9M -301.1M -2.3M 1.92 20.54 N/A N/A 2,529 4,844 50,061 72,513 2020-07-22 $138.35 $130.00 37.1% 10.6% 22.6% 26.3% 37.9% 3.8% -1.5% 2.6M -285.0M -2.1M 1.07 30.71 N/A N/A 2,568 2,749 50,848 75,884 2020-07-23 $135.36 $130.00 36.9% 10.5% 24.2% 25.9% 39.3% 5.8% 2.3% -18.7K -210.3M -2.3M 0.81 31.41 N/A N/A 4,526 3,651 51,991 76,829 2020-07-24 $134.95 $130.00 39.1% 11.2% 24.1% 29.5% 40.3% 7.9% 1.2% -2.7M -192.3M -2.4M 1.72 40.38 N/A N/A 3,446 5,931 53,530 78,759 2020-07-27 $136.29 $130.00 38.0% 10.7% 24.3% 27.6% 38.1% 2.0% -1.6% 2.6M -255.1M -2.2M 0.85 33.93 N/A N/A 2,727 2,309 51,964 75,781 2020-07-28 $134.79 $130.00 38.1% 11.0% 24.7% 27.8% 42.1% 0.9% 1.1% 1.8M -222.7M -2.2M 1.35 29.72 N/A N/A 1,973 2,664 52,579 76,896 2020-07-29 $136.13 $130.00 37.6% 10.9% 24.7% 27.0% 40.8% 2.9% -1.0% 2.1M -240.7M -2.3M 0.51 33.87 N/A N/A 7,182 3,667 53,188 77,864 2020-07-30 $138.36 $130.00 36.2% 11.4% 23.5% 24.8% 40.2% -0.7% -4.2% 5.6M -329.6M -2.1M 0.53 32.57 N/A N/A 22,587 11,971 58,001 79,437 2020-07-31 $141.05 $130.00 27.4% 8.1% 24.0% 10.8% 29.0% 1.6% 1.9% 17.0M -430.0M -2.0M 0.64 29.25 N/A N/A 16,454 10,514 67,696 86,419
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