EB Options History — November 2019

In November 2019, EB traded between $17.28 and $21.88. ATM implied volatility averaged 61.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 8.1% (HV 20d: 69.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2019-11-08: Highest Volume — 5,894 contracts
  • 2019-11-08: Largest IV drop — 62.3% change
  • 2019-11-07: Highest IV Rank — 85.2%
  • 2019-11-01: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.17$17.28$21.88$18.68$21.54
Max Pain$17.00$15.00$17.50$17.50$17.50
ATM IV61.7%44.1%138.6%83.9%46.3%
Expected Move14.6%12.6%24.1%24.1%13.3%
HV 20d69.8%32.5%83.0%36.9%82.0%
HV 60d52.2%40.1%56.9%40.3%55.8%
IV Rank18.3%3.0%85.2%37.7%4.9%
IV Percentile33.0%0.4%99.6%96.1%8.7%
Term Structure-2.7%-28.4%1.6%-28.4%-1.7%
VWIV50.4%39.1%78.4%78.4%39.1%
Skew 25d2.5%-0.3%11.3%11.3%-0.3%
Skew 10d5.3%-9.3%24.2%23.9%-9.3%
Call IV 25d50.4%43.9%76.8%76.8%46.8%
Put IV 25d52.9%45.1%88.1%88.1%46.5%
Bid-Ask Spread %64.2633.8078.7175.0233.80
Gamma HHI0.250.200.410.270.21
Net GEX331.4K69.3K542.2K73.2K400.1K
Net DEX-12.5M-20.0M-2.2M-2.5M-18.0M
Net VEX-36.0K-46.6K-13.8K-14.7K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.000.930.120.26
Total Volume1,129.2245,89415524
Total OI15,4846,04919,6976,04918,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$18.68$17.5083.9%24.1%36.9%37.7%78.4%11.3%-28.4%73.2K-2.5M-14.7K0.1275.02N/AN/A138174,4021,647
2019-11-04$18.21$15.0090.1%16.3%33.7%43.1%56.2%1.3%-4.8%69.3K-2.2M-13.8K0.0871.31N/AN/A475394,4631,652
2019-11-05$18.39$15.0099.8%16.7%32.5%51.4%58.3%2.9%-5.3%77.8K-2.5M-14.8K0.0172.95N/AN/A1,279194,7881,660
2019-11-06$17.94$15.00106.6%17.3%33.3%57.4%59.3%4.2%-5.2%105.7K-3.3M-17.1K0.0272.75N/AN/A3,088715,9261,679
2019-11-07$17.28$15.00138.6%20.6%35.8%85.2%71.8%5.8%-7.9%160.1K-5.5M-25.5K0.8666.87N/AN/A3,0252,6158,9861,731
2019-11-08$20.85$17.5052.3%13.6%75.7%10.2%47.0%2.9%-1.4%355.4K-13.9M-30.5K0.2062.09N/AN/A4,91697811,1253,626
2019-11-11$21.88$17.5055.9%12.7%76.8%13.3%46.6%3.3%1.0%453.4K-20.0M-40.1K0.8751.83N/AN/A19517013,9824,557
2019-11-12$20.14$17.5059.2%12.8%82.9%16.2%44.8%1.6%1.6%429.3K-14.3M-40.5K0.8378.71N/AN/A1,12193313,9024,684
2019-11-13$19.96$17.5045.9%13.1%83.0%4.6%45.4%1.8%1.0%411.7K-13.1M-42.2K0.7074.26N/AN/A533714,3505,347
2019-11-14$19.80$17.5045.1%12.9%83.0%3.9%45.7%2.1%0.0%424.2K-12.3M-41.4K0.2972.17N/AN/A341014,3355,341
2019-11-15$19.90$17.5044.1%12.6%82.4%3.0%44.0%1.2%-0.6%542.2K-12.6M-41.1K0.2671.69N/AN/A721914,3405,341
2019-11-18$20.09$17.5046.4%13.3%82.4%5.1%46.4%0.3%-0.5%383.1K-12.9M-40.8K0.8642.68N/AN/A1,1821,01612,9133,038
2019-11-19$19.95$17.5045.2%13.0%81.8%4.0%46.9%1.1%0.7%387.4K-12.5M-46.2K0.2277.31N/AN/A2054513,9494,032
2019-11-20$20.99$17.5048.0%13.8%82.6%6.4%48.0%2.3%-0.4%377.8K-15.6M-46.6K0.2474.19N/AN/A2335513,9374,068
2019-11-21$21.44$17.5046.3%13.3%82.6%5.0%47.3%2.3%0.5%389.5K-17.2M-46.5K0.4471.11N/AN/A683014,1424,106
2019-11-22$21.49$17.5046.0%13.2%82.6%4.7%46.0%1.1%-0.1%392.5K-17.4M-45.7K0.9368.97N/AN/A444114,1444,143
2019-11-25$21.74$17.5045.3%13.0%82.1%4.1%46.5%1.1%-1.0%393.5K-18.4M-43.5K0.0451.89N/AN/A159614,1344,180
2019-11-26$21.71$17.5044.8%12.9%82.1%3.7%45.3%1.8%-1.5%398.5K-18.1M-43.6K0.0048.64N/AN/A71014,1724,185
2019-11-27$21.49$17.5044.2%12.7%82.1%3.1%45.0%1.1%-0.5%402.6K-17.8M-43.3K0.0146.88N/AN/A100114,1724,185
2019-11-29$21.54$17.5046.3%13.3%82.0%4.9%39.1%-0.3%-1.7%400.1K-18.0M-42.4K0.2633.80N/AN/A19514,1304,186