EA Options History — December 2020 In December 2020, EA traded between $127.26 and $143.60. ATM implied volatility averaged 29.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.7% (HV 20d: 22.3%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.48.
Notable Days 2020-12-14 : Highest Volume — 13,802 contracts2020-12-22 : Largest IV drop — 7.4% change2020-12-21 : Highest IV Rank — 15.7%2020-12-10 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $136.90 $127.26 $143.60 $127.26 $143.60 Max Pain $117.27 $115.00 $125.00 $125.00 $120.00 ATM IV 29.0% 28.1% 30.5% 29.9% 29.7% Expected Move 8.3% 7.6% 8.8% 8.5% 7.6% HV 20d 22.3% 15.3% 36.6% 36.5% 15.3% HV 60d 29.2% 26.6% 31.9% 31.9% 26.6% IV Rank 12.8% 9.7% 15.7% 14.8% 12.3% IV Percentile 19.7% 10.3% 31.3% 26.6% 24.2% Term Structure 1.9% -1.5% 8.3% -0.2% 8.3% VWIV 29.8% 27.7% 32.6% 31.0% 27.7% Skew 25d 1.9% -0.5% 3.5% 1.8% 0.9% Skew 10d 3.9% -1.4% 6.9% 5.6% 4.6% Call IV 25d 29.3% 27.7% 31.0% 31.0% 28.0% Put IV 25d 31.2% 28.6% 33.2% 32.7% 29.0% Bid-Ask Spread % 27.56 6.35 47.87 26.19 6.35 Gamma HHI 0.11 0.08 0.16 0.08 0.10 Net GEX 14.2M 8.8M 17.6M 8.8M 17.3M Net DEX -412.5M -598.7M -206.1M -206.1M -495.6M Net VEX -2.2M -2.3M -2.1M -2.1M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.23 0.98 0.41 0.43 Total Volume 8,597.636 3,276 13,802 11,454 7,181 Total OI 167,430.273 152,258 180,651 165,801 159,852
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 2020-12-01 $127.26 $125.00 29.9% 8.5% 36.5% 14.8% 31.0% 1.8% -0.2% 8.8M -206.1M -2.1M 0.41 26.19 N/A N/A 8,139 3,315 71,032 94,769 2020-12-02 $129.44 $125.00 28.4% 8.5% 36.6% 12.3% 30.4% 2.9% 0.7% 11.7M -264.7M -2.2M 0.23 14.63 N/A N/A 9,621 2,179 73,745 96,443 2020-12-03 $128.74 $115.00 28.7% 8.5% 34.9% 12.8% 30.1% 0.0% 0.5% 16.1M -262.8M -2.2M 0.30 44.64 N/A N/A 8,498 2,571 76,423 97,025 2020-12-04 $128.92 $115.00 28.5% 8.4% 34.3% 12.6% 29.7% -0.5% 2.6% 14.0M -263.3M -2.2M 0.53 27.71 N/A N/A 5,075 2,676 77,924 98,356 2020-12-07 $130.85 $115.00 29.3% 8.6% 22.8% 13.8% 30.7% 2.0% 0.5% 11.9M -294.3M -2.2M 0.58 22.38 N/A N/A 6,698 3,916 73,842 94,523 2020-12-08 $132.04 $115.00 30.2% 8.6% 22.3% 15.3% 30.4% 0.9% 0.5% 12.9M -328.5M -2.2M 0.34 19.49 N/A N/A 6,881 2,330 74,053 96,341 2020-12-09 $132.56 $115.00 29.4% 8.5% 22.1% 14.0% 32.0% 2.9% 0.5% 14.3M -348.7M -2.3M 0.49 41.98 N/A N/A 8,703 4,276 75,820 97,234 2020-12-10 $134.78 $115.00 30.0% 8.8% 22.4% 14.9% 31.2% 3.5% 0.8% 15.4M -413.5M -2.3M 0.33 42.63 N/A N/A 5,680 1,879 76,482 98,638 2020-12-11 $135.82 $115.00 29.1% 8.6% 22.1% 13.5% 32.6% 0.3% 1.0% 17.5M -449.8M -2.3M 0.58 45.53 N/A N/A 4,897 2,841 77,815 99,079 2020-12-14 $137.56 $115.00 29.2% 8.4% 22.0% 13.7% 30.4% 2.5% -0.1% 13.3M -447.2M -2.3M 0.27 42.09 N/A N/A 10,898 2,904 73,986 96,284 2020-12-15 $140.38 $115.00 28.7% 8.2% 19.4% 12.8% 30.5% 2.2% 0.8% 16.1M -558.9M -2.2M 0.50 34.30 N/A N/A 8,431 4,178 79,327 97,740 2020-12-16 $141.62 $115.00 28.9% 8.3% 19.2% 13.2% 29.9% 2.4% 0.2% 16.4M -590.9M -2.3M 0.31 47.87 N/A N/A 7,564 2,311 79,870 98,479 2020-12-17 $139.86 $115.00 28.2% 8.1% 19.3% 12.0% 29.2% 2.1% -0.4% 16.5M -529.8M -2.3M 0.55 38.77 N/A N/A 4,683 2,566 80,294 99,186 2020-12-18 $141.84 $115.00 28.6% 8.3% 18.2% 12.7% 29.6% 1.8% -1.5% 15.5M -598.7M -2.2M 0.42 37.12 N/A N/A 6,712 2,810 80,582 100,069 2020-12-21 $140.49 $115.00 30.5% 8.5% 18.8% 15.7% 30.6% 3.3% -0.1% 11.8M -425.8M -2.2M 0.75 22.98 N/A N/A 3,712 2,775 67,537 84,721 2020-12-22 $139.56 $115.00 28.2% 8.1% 19.1% 12.1% 28.8% 0.8% 2.8% 11.0M -405.3M -2.2M 0.94 23.79 N/A N/A 2,664 2,494 68,418 86,352 2020-12-23 $141.74 $120.00 28.7% 7.8% 17.6% 11.9% 28.8% 2.7% 1.5% 14.0M -461.4M -2.2M 0.35 25.05 N/A N/A 4,977 1,718 68,875 87,484 2020-12-24 $141.42 $120.00 28.4% 7.7% 18.0% 10.2% 27.7% 2.2% 1.7% 14.2M -459.6M -2.2M 0.98 8.15 N/A N/A 1,653 1,623 70,367 88,009 2020-12-28 $140.48 $120.00 28.7% 8.0% 17.5% 10.6% 28.6% 0.7% 7.2% 12.3M -409.1M -2.1M 0.42 8.52 N/A N/A 4,106 1,737 67,610 85,953 2020-12-29 $140.86 $120.00 28.1% 7.9% 16.0% 9.7% 28.1% 2.2% 8.1% 14.2M -411.1M -2.2M 0.54 10.70 N/A N/A 3,350 1,816 68,558 86,591 2020-12-30 $142.02 $120.00 28.2% 7.9% 15.8% 9.8% 28.3% 3.2% 6.4% 17.6M -450.1M -2.1M 0.35 15.40 N/A N/A 4,533 1,577 70,112 87,666 2020-12-31 $143.60 $120.00 29.7% 7.6% 15.3% 12.3% 27.7% 0.9% 8.3% 17.3M -495.6M -2.2M 0.43 6.35 N/A N/A 5,027 2,154 71,645 88,207
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