EA Options History — September 2021

In September 2021, EA traded between $126.53 and $146.61. ATM implied volatility averaged 25.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.3% (HV 20d: 22.1%). Max pain ranged from $129.00 to $145.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-09-29: Highest Volume — 47,308 contracts
  • 2021-09-20: Largest IV spike — 16.1% change
  • 2021-09-30: Highest IV Rank — 41.7%
  • 2021-09-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.17$126.53$146.61$146.44$142.91
Max Pain$138.52$129.00$145.00$140.00$129.00
ATM IV25.4%21.6%30.5%22.0%30.5%
Expected Move7.3%5.9%8.9%5.9%8.6%
HV 20d22.1%11.4%34.4%13.7%34.4%
HV 60d19.9%16.9%24.0%17.5%24.0%
IV Rank23.6%10.3%41.7%11.7%41.7%
IV Percentile25.9%5.6%58.7%7.5%58.7%
Term Structure1.3%-1.0%6.6%0.2%6.6%
VWIV26.5%21.4%31.9%21.4%31.4%
Skew 25d3.1%0.8%8.6%2.0%3.4%
Skew 10d7.1%4.5%12.8%4.5%9.4%
Call IV 25d25.5%20.9%30.7%22.2%29.7%
Put IV 25d28.5%24.2%36.1%24.2%33.1%
Bid-Ask Spread %41.7424.7354.5137.1638.01
Gamma HHI0.090.070.120.120.09
Net GEX6.1M-12.9M19.6M11.4M19.1M
Net DEX-61.3M-398.8M242.6M-222.8M-398.8M
Net VEX-2.4M-2.8M-2.2M-2.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.191.870.280.66
Total Volume16,987.4292,38547,3085,57528,543
Total OI138,698.19116,740167,057116,740156,621

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$146.44$140.0022.0%5.9%13.7%11.7%21.4%2.0%0.2%11.4M-222.8M-2.4M0.2837.16N/AN/A4,3581,21754,36262,378
2021-09-02$145.36$140.0021.6%6.4%11.7%10.3%23.3%1.8%-1.0%11.1M-195.2M-2.4M0.1943.64N/AN/A10,7132,02655,27265,201
2021-09-03$146.61$140.0021.9%6.5%11.4%11.2%22.5%2.3%0.3%18.0M-240.5M-2.4M0.7138.68N/AN/A3,1942,27658,17365,902
2021-09-07$145.38$145.0022.3%6.6%12.1%12.8%23.3%1.9%0.6%13.7M-184.0M-2.4M0.7942.03N/AN/A1,6321,28660,91465,227
2021-09-08$144.05$145.0022.9%6.6%12.9%14.9%24.2%4.5%0.0%11.2M-150.4M-2.4M1.2744.05N/AN/A1,0521,33362,91666,394
2021-09-09$142.69$145.0023.6%6.7%13.2%17.5%25.2%0.8%0.0%8.3M-109.0M-2.4M0.3450.63N/AN/A14,3644,81463,58666,259
2021-09-10$145.69$145.0024.9%7.1%14.8%22.1%24.9%3.9%-0.5%10.6M-199.3M-2.4M0.2654.10N/AN/A13,5033,53963,80066,469
2021-09-13$144.71$145.0023.9%6.9%15.1%18.6%24.9%2.4%-0.3%18.6M-210.8M-2.4M0.9853.56N/AN/A2,0382,00665,56365,915
2021-09-14$145.35$145.0023.7%6.8%15.0%17.8%24.1%1.9%-0.4%19.6M-219.1M-2.4M1.2740.70N/AN/A1,9442,46666,99567,494
2021-09-15$137.32$145.0027.5%7.9%25.5%31.2%28.4%2.9%-0.4%1.1M32.7M-2.3M1.2153.76N/AN/A20,25624,55667,51268,176
2021-09-16$136.10$145.0025.3%7.2%25.6%23.4%26.4%2.6%1.0%-3.9M80.9M-2.2M1.8754.51N/AN/A7,94114,88667,49468,803
2021-09-17$133.99$140.0025.9%7.4%26.0%25.4%28.2%3.3%0.8%-7.0M195.4M-2.4M0.6637.60N/AN/A11,9967,91378,72883,782
2021-09-20$129.78$140.0030.0%8.9%28.0%40.1%31.9%8.6%-0.6%-7.3M146.0M-2.2M1.1231.54N/AN/A10,49011,79161,58363,128
2021-09-21$126.82$140.0030.1%8.7%27.5%40.4%31.7%4.0%-0.2%-12.9M234.6M-2.3M0.6724.73N/AN/A16,55711,06668,09568,116
2021-09-22$126.53$135.0026.6%7.6%27.5%27.8%26.7%5.8%1.1%-11.7M242.6M-2.2M1.1141.61N/AN/A6,6757,43271,56768,426
2021-09-23$128.14$129.0025.5%7.3%28.3%24.2%25.5%1.4%0.1%-4.6M161.0M-2.4M0.4846.49N/AN/A11,2835,45285,05175,243
2021-09-24$129.79$129.0024.0%6.9%29.0%18.8%25.0%3.8%0.8%483.2K111.3M-2.6M0.5942.76N/AN/A7,7304,58887,74079,317
2021-09-27$131.84$129.0024.6%6.9%29.4%20.8%25.4%1.0%6.6%8.0M-33.7M-2.5M0.2733.78N/AN/A8,5482,33876,48571,634
2021-09-28$133.81$129.0027.7%8.1%30.1%31.7%31.3%1.5%5.7%9.5M-90.9M-2.7M0.4828.20N/AN/A10,5615,06576,99372,885
2021-09-29$138.21$129.0028.1%8.5%32.0%33.1%30.5%4.8%6.6%14.5M-236.7M-2.7M0.2738.93N/AN/A37,25710,05178,77373,690
2021-09-30$142.91$129.0030.5%8.6%34.4%41.7%31.4%3.4%6.6%19.1M-398.8M-2.8M0.6638.01N/AN/A17,18611,35781,87674,745