EA Options History — September 2020 In September 2020, EA traded between $124.41 and $139.85. ATM implied volatility averaged 34.2%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.5% (HV 20d: 32.6%). Max pain ranged from $125.00 to $140.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2020-09-11 : Highest Volume — 11,786 contracts2020-09-21 : Largest IV spike — 15.0% change2020-09-03 : Highest IV Rank — 30.3%2020-09-03 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $129.59 $124.41 $139.85 $138.13 $130.37 Max Pain $130.71 $125.00 $140.00 $125.00 $130.00 ATM IV 34.2% 30.2% 39.6% 33.6% 31.8% Expected Move 9.8% 8.7% 11.7% 9.2% 8.7% HV 20d 32.6% 22.5% 35.9% 22.5% 35.9% HV 60d 27.5% 24.0% 28.8% 24.2% 28.5% IV Rank 21.6% 15.2% 30.3% 20.7% 17.7% IV Percentile 55.2% 32.5% 76.6% 57.9% 42.9% Term Structure 1.7% -2.0% 9.5% 4.2% 3.8% VWIV 34.9% 29.6% 43.5% 33.3% 29.6% Skew 25d 5.1% 0.4% 9.4% 0.4% 4.0% Skew 10d 7.8% -0.7% 15.6% 5.8% 8.5% Call IV 25d 32.9% 28.6% 39.7% 36.8% 28.7% Put IV 25d 38.0% 32.7% 44.8% 37.3% 32.7% Bid-Ask Spread % 41.06 8.33 63.73 52.44 33.00 Gamma HHI 0.05 0.04 0.08 0.05 0.05 Net GEX -545.1K -5.8M 7.5M 1.1M 2.7M Net DEX -92.7M -290.2M 42.6M -256.0M -127.0M Net VEX -2.3M -2.5M -2.1M -2.2M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.47 1.81 1.81 0.72 Total Volume 6,866.81 3,458 11,786 7,748 3,869 Total OI 146,239.095 128,972 158,129 144,646 138,583
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 2020-09-01 $138.13 $125.00 33.6% 9.2% 22.5% 20.7% 33.3% 0.4% 4.2% 1.1M -256.0M -2.2M 1.81 52.44 N/A N/A 2,762 4,986 61,647 82,999 2020-09-02 $139.85 $130.00 34.8% 9.7% 23.2% 22.6% 35.5% 9.4% 3.2% 2.4M -290.2M -2.3M 0.74 45.84 N/A N/A 3,944 2,921 62,683 85,819 2020-09-03 $132.19 $140.00 39.6% 11.7% 29.9% 30.3% 43.5% 5.1% 2.4% -4.4M -87.0M -2.5M 1.59 41.91 N/A N/A 3,793 6,018 63,296 86,917 2020-09-04 $130.81 $135.00 35.3% 10.8% 29.3% 23.5% 38.7% 6.0% -1.8% -5.8M -59.1M -2.3M 1.06 46.41 N/A N/A 4,202 4,460 64,233 89,616 2020-09-08 $124.41 $135.00 38.5% 11.4% 32.8% 28.5% 40.9% 7.1% 2.4% -5.6M 42.6M -2.3M 0.84 42.62 N/A N/A 5,921 4,974 61,925 86,969 2020-09-09 $128.81 $130.00 35.9% 10.4% 34.9% 24.4% 37.4% 3.6% 1.1% -3.0M -67.4M -2.2M 0.73 53.86 N/A N/A 4,249 3,119 65,231 88,653 2020-09-10 $127.60 $130.00 34.9% 10.3% 33.4% 22.8% 36.3% 5.4% 1.3% -2.5M -38.7M -2.3M 0.82 55.42 N/A N/A 4,172 3,408 66,827 89,578 2020-09-11 $126.02 $130.00 35.5% 10.0% 33.0% 23.7% 34.7% 5.8% 1.2% -4.5M -1.7M -2.2M 1.14 55.50 N/A N/A 5,498 6,288 67,963 90,166 2020-09-14 $126.51 $130.00 34.4% 9.9% 33.1% 21.9% 34.5% 5.7% 1.1% -2.8M -49.5M -2.2M 1.26 54.74 N/A N/A 1,531 1,927 65,039 87,166 2020-09-15 $128.11 $130.00 32.3% 9.2% 33.6% 18.6% 32.9% 4.1% 0.8% -2.9M -77.6M -2.2M 0.47 41.65 N/A N/A 3,836 1,807 65,673 87,667 2020-09-16 $127.04 $130.00 33.8% 9.7% 32.8% 20.9% 33.4% 4.7% -1.1% -2.5M -53.8M -2.2M 0.53 63.73 N/A N/A 3,018 1,586 67,207 88,183 2020-09-17 $124.78 $130.00 33.0% 9.5% 33.1% 19.6% 33.4% 5.3% 0.0% -2.5M 1.4M -2.2M 0.95 57.65 N/A N/A 3,120 2,966 68,142 88,428 2020-09-18 $125.60 $130.00 30.2% 8.9% 32.6% 15.2% 32.0% 4.5% -2.0% 155.7K -31.5M -2.1M 1.19 61.82 N/A N/A 3,719 4,435 68,770 89,282 2020-09-21 $128.31 $130.00 34.7% 10.1% 33.7% 22.4% 36.5% 6.9% -0.3% -60.2K -76.5M -2.2M 0.92 31.82 N/A N/A 3,025 2,769 50,654 78,318 2020-09-22 $131.14 $130.00 34.4% 9.5% 34.8% 21.9% 33.8% 7.5% -0.7% 2.9M -146.3M -2.2M 0.73 10.89 N/A N/A 4,178 3,034 52,176 79,869 2020-09-23 $128.79 $130.00 35.3% 10.0% 35.1% 23.4% 35.3% 6.2% -0.9% 1.6M -91.4M -2.4M 0.74 8.33 N/A N/A 3,003 2,226 54,403 81,307 2020-09-24 $129.56 $130.00 33.2% 9.7% 34.9% 20.1% 34.8% 7.1% 0.7% 3.0M -96.7M -2.4M 1.03 35.46 N/A N/A 2,342 2,417 55,454 81,923 2020-09-25 $131.29 $130.00 32.6% 9.5% 35.4% 19.1% 33.4% 1.0% 3.2% 7.5M -159.7M -2.3M 0.60 32.94 N/A N/A 3,211 1,914 56,333 82,123 2020-09-28 $132.22 $130.00 31.5% 8.8% 35.5% 17.3% 31.0% 4.0% 8.2% 3.0M -165.8M -2.3M 0.66 13.34 N/A N/A 2,871 1,903 53,431 80,595 2020-09-29 $129.76 $130.00 32.5% 9.2% 35.9% 18.9% 31.4% 2.6% 9.5% 787.3K -115.5M -2.3M 0.55 22.92 N/A N/A 5,666 3,115 54,531 81,242 2020-09-30 $130.37 $130.00 31.8% 8.7% 35.9% 17.7% 29.6% 4.0% 3.8% 2.7M -127.0M -2.3M 0.72 33.00 N/A N/A 2,253 1,616 56,629 81,954
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