EA Options History — January 2021

In January 2021, EA traded between $136.12 and $146.50. ATM implied volatility averaged 37.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 12.1% (HV 20d: 25.8%). Max pain ranged from $140.00 to $140.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-01-27: Highest Volume — 12,173 contracts
  • 2021-01-27: Largest IV spike — 13.5% change
  • 2021-01-27: Highest IV Rank — 34.0%
  • 2021-01-27: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.00$136.12$146.50$139.17$142.93
Max Pain$140.00$140.00$140.00$140.00$140.00
ATM IV37.9%35.6%43.0%37.7%41.7%
Expected Move10.9%9.9%12.8%10.5%12.8%
HV 20d25.8%19.8%28.2%19.8%28.1%
HV 60d28.5%27.5%29.2%27.5%27.8%
IV Rank25.7%22.0%34.0%25.3%31.9%
IV Percentile65.9%57.5%84.9%65.9%81.7%
Term Structure-1.6%-5.3%0.9%-1.5%-0.1%
VWIV39.0%35.3%46.3%37.2%46.1%
Skew 25d1.6%-3.6%5.7%3.8%5.7%
Skew 10d5.1%-0.5%20.8%2.3%3.6%
Call IV 25d38.4%34.5%42.6%39.6%42.6%
Put IV 25d40.0%35.8%48.3%43.4%48.3%
Bid-Ask Spread %36.6523.0152.9743.8729.91
Gamma HHI0.110.050.410.110.05
Net GEX10.6M2.1M29.7M10.8M2.1M
Net DEX-294.2M-422.0M-153.5M-353.8M-153.5M
Net VEX-2.1M-2.2M-2.0M-2.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.221.090.930.98
Total Volume7,338.4743,44212,1738,2427,366
Total OI127,301.73784,910168,486154,63394,817

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$139.17$140.0037.7%10.5%19.8%25.3%37.2%3.8%-1.5%10.8M-353.8M-2.2M0.9343.87N/AN/A4,2613,98168,03086,603
2021-01-05$140.97$140.0035.7%10.1%20.0%22.1%35.9%1.5%-1.0%12.4M-391.1M-2.2M0.6748.28N/AN/A2,0621,38068,70988,531
2021-01-06$136.64$140.0038.6%10.3%23.3%26.7%36.4%4.1%0.2%7.1M-280.8M-2.1M0.7252.97N/AN/A3,2732,34669,55089,357
2021-01-07$140.62$140.0035.6%9.9%25.0%22.0%35.3%0.7%0.5%12.6M-390.4M-2.1M0.7145.31N/AN/A2,7641,95270,13790,310
2021-01-08$141.81$140.0036.7%10.0%25.1%23.8%35.3%3.5%-2.0%12.4M-422.0M-2.1M0.6643.64N/AN/A3,3972,25870,81190,609
2021-01-11$140.99$140.0037.9%10.3%24.8%25.7%37.7%1.4%-1.8%12.1M-380.6M-2.0M0.2247.75N/AN/A6,6581,48067,04889,548
2021-01-12$139.18$140.0038.2%10.4%25.3%26.2%36.6%-3.6%-2.4%10.9M-341.0M-2.0M0.9842.16N/AN/A4,5354,44470,24890,172
2021-01-13$136.12$140.0036.5%10.3%26.2%23.5%36.6%-0.4%0.1%6.5M-266.2M-2.1M0.7043.72N/AN/A4,2582,96572,18193,019
2021-01-14$139.21$140.0038.6%10.4%26.4%26.8%37.3%1.4%-2.3%10.0M-354.7M-2.1M1.0544.49N/AN/A3,8564,06372,95594,318
2021-01-15$138.98$140.0036.6%10.2%26.2%23.6%36.5%-1.4%-0.7%3.4M-342.9M-2.0M0.4548.93N/AN/A5,7452,59473,38195,105
2021-01-19$141.10$140.0037.1%10.5%26.4%24.4%37.6%1.8%0.7%7.5M-181.0M-2.0M0.3728.40N/AN/A5,5122,04544,29340,752
2021-01-20$145.55$140.0036.9%10.6%28.2%24.0%38.0%1.2%-1.2%14.6M-277.5M-2.0M0.3524.03N/AN/A8,8013,08146,86341,571
2021-01-21$146.03$140.0037.3%10.8%27.9%24.7%38.7%1.1%-1.7%15.5M-278.7M-2.1M0.6923.01N/AN/A3,3672,32746,80642,408
2021-01-22$146.23$140.0036.6%10.8%27.7%23.5%40.7%0.9%-5.3%29.7M-285.6M-2.0M1.0924.96N/AN/A2,3332,54047,28343,143
2021-01-25$146.15$140.0039.9%11.6%27.3%29.0%41.7%0.2%-4.6%7.9M-237.1M-2.0M0.5424.74N/AN/A5,7593,09542,94641,964
2021-01-26$146.50$140.0037.9%11.6%27.3%25.7%42.5%2.8%0.9%8.8M-239.9M-2.1M0.9523.44N/AN/A3,4803,29845,20043,548
2021-01-27$146.31$140.0043.0%12.8%27.1%34.0%46.3%2.8%-3.9%10.8M-240.4M-2.2M0.5431.64N/AN/A7,9224,25148,30945,533
2021-01-28$143.45$140.0037.9%12.5%28.2%25.6%44.9%3.5%-4.9%6.3M-172.6M-2.1M0.7225.15N/AN/A3,4752,50746,77645,899
2021-01-29$142.93$140.0041.7%12.8%28.1%31.9%46.1%5.7%-0.1%2.1M-153.5M-2.2M0.9829.91N/AN/A3,7143,65247,68347,134