EA Options History — November 2020

In November 2020, EA traded between $117.12 and $127.63. ATM implied volatility averaged 31.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.9% (HV 20d: 34.1%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-11-06: Highest Volume — 31,107 contracts
  • 2020-11-06: Largest IV drop — 29.1% change
  • 2020-11-05: Highest IV Rank — 40.0%
  • 2020-11-02: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.12$117.12$127.63$119.20$127.63
Max Pain$125.80$125.00$130.00$127.00$125.00
ATM IV31.2%27.3%45.7%39.6%30.3%
Expected Move9.1%7.9%13.8%13.8%8.6%
HV 20d34.1%23.8%38.9%26.8%36.4%
HV 60d31.9%29.0%33.5%29.2%31.9%
IV Rank16.9%10.7%40.0%30.3%15.3%
IV Percentile33.9%16.3%89.7%74.2%29.0%
Term Structure-0.2%-4.2%1.7%0.3%0.9%
VWIV32.7%28.3%48.8%48.8%30.8%
Skew 25d4.0%0.4%12.1%6.2%2.7%
Skew 10d5.3%-13.6%16.5%16.5%5.3%
Call IV 25d30.3%27.1%39.8%38.6%30.1%
Put IV 25d34.3%29.2%47.3%44.8%32.7%
Bid-Ask Spread %43.0519.2767.2634.1926.63
Gamma HHI0.070.050.090.050.06
Net GEX-2.2M-11.7M8.2M-3.8M6.3M
Net DEX-2.1M-202.1M119.7M51.4M-202.1M
Net VEX-2.1M-2.2M-1.9M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.312.760.770.31
Total Volume10,777.954,24631,1074,24622,815
Total OI160,641.05144,144171,973144,144159,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$119.20$127.0039.6%13.8%26.8%30.3%48.8%6.2%0.3%-3.8M51.4M-2.1M0.7734.19N/AN/A2,4021,84458,18385,961
2020-11-03$120.97$127.0041.0%13.6%23.8%32.5%47.2%3.4%-0.6%-2.8M9.4M-2.1M0.3437.00N/AN/A9,0083,05858,18385,961
2020-11-04$125.07$127.0037.3%12.8%26.8%26.6%45.4%12.1%-1.3%3.7M-90.0M-2.2M0.8638.93N/AN/A2,8822,49365,69887,129
2020-11-05$127.46$130.0045.7%10.2%27.4%40.0%36.8%7.5%-4.2%6.5M-158.1M-2.2M0.9867.26N/AN/A7,1787,06466,53687,769
2020-11-06$118.99$130.0032.4%9.2%36.5%18.8%33.8%3.3%-1.4%-10.3M100.1M-2.0M1.0856.13N/AN/A14,95516,15269,15492,696
2020-11-09$118.08$125.0028.5%8.1%34.5%12.6%30.4%1.6%-0.8%-6.9M79.7M-1.9M1.1360.28N/AN/A5,9736,72564,40092,118
2020-11-10$119.67$125.0029.4%8.4%34.2%14.0%31.0%5.3%-0.2%-5.4M44.8M-2.1M0.6452.63N/AN/A6,1093,92766,53593,380
2020-11-11$119.72$125.0028.9%8.2%34.2%13.3%30.0%8.2%-0.6%-5.5M58.5M-2.2M0.5853.12N/AN/A3,6002,07768,81794,803
2020-11-12$119.26$125.0029.6%8.6%34.2%14.4%30.1%5.4%1.3%-5.2M64.2M-2.2M1.2355.69N/AN/A3,7854,65269,90195,858
2020-11-13$121.22$125.0029.4%8.4%34.8%14.0%29.0%4.7%-0.2%510.2K-17.2M-2.1M0.8350.17N/AN/A3,7773,14970,76195,964
2020-11-16$118.40$125.0028.5%8.2%35.3%12.5%30.3%2.5%1.5%-5.1M67.7M-2.1M2.7639.31N/AN/A3,70410,23967,84592,753
2020-11-17$118.57$125.0028.9%8.2%35.1%13.1%29.2%2.7%0.7%-8.6M75.2M-2.1M0.7255.97N/AN/A4,7343,40869,037101,681
2020-11-18$117.12$125.0028.2%8.1%35.2%12.0%28.4%2.4%-0.6%-11.7M119.7M-2.1M0.5334.04N/AN/A3,8232,03669,104101,670
2020-11-19$120.32$125.0027.9%8.0%36.9%11.6%28.8%1.6%-0.6%-4.6M17.6M-2.1M2.3354.97N/AN/A3,9969,30770,206101,767
2020-11-20$122.47$125.0028.0%8.0%37.6%11.8%28.7%2.6%1.7%5.9M-54.3M-2.1M0.6752.15N/AN/A5,3213,55670,65498,642
2020-11-23$122.02$125.0027.5%8.0%37.6%10.9%29.5%1.2%0.4%-648.0K-38.4M-2.1M0.7724.04N/AN/A4,3953,37764,51991,557
2020-11-24$120.30$125.0027.3%7.9%37.8%10.7%28.3%0.4%-0.6%-2.8M-837.9K-2.1M0.9419.27N/AN/A3,1102,92666,31492,951
2020-11-25$121.43$125.0027.6%8.0%38.1%11.1%28.6%3.3%-0.3%-961.0K-35.3M-2.1M0.5123.55N/AN/A5,1902,66167,21393,698
2020-11-27$124.47$125.0028.2%8.2%38.9%12.1%28.7%3.5%1.2%8.2M-134.0M-2.1M0.3425.61N/AN/A7,5962,55569,07194,492
2020-11-30$127.63$125.0030.3%8.6%36.4%15.3%30.8%2.7%0.9%6.3M-202.1M-2.1M0.3126.63N/AN/A17,3885,42766,90992,931