EB Options History — December 2019

In December 2019, EB traded between $18.55 and $20.70. ATM implied volatility averaged 44.9%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 10.2% (HV 20d: 55.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2019-12-17: Highest Volume — 3,408 contracts
  • 2019-12-13: Largest IV drop — 5.7% change
  • 2019-12-03: Highest IV Rank — 9.7%
  • 2019-12-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.75$18.55$20.70$19.73$20.20
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV44.9%41.3%51.8%50.1%42.9%
Expected Move12.8%11.8%14.8%14.4%12.3%
HV 20d55.1%31.0%88.0%88.0%31.0%
HV 60d57.9%56.9%58.9%58.8%56.9%
IV Rank3.7%0.6%9.7%8.3%2.0%
IV Percentile6.8%0.4%26.2%19.0%4.0%
Term Structure8.5%-4.0%17.0%-3.0%16.1%
VWIV44.9%40.8%51.9%50.5%43.3%
Skew 25d1.0%-1.3%4.3%0.1%2.6%
Skew 10d7.8%-3.1%17.2%5.1%9.4%
Call IV 25d45.2%41.1%52.4%50.4%44.6%
Put IV 25d46.2%41.8%53.4%50.5%47.2%
Bid-Ask Spread %68.0416.4480.6516.4471.33
Gamma HHI0.290.220.780.230.22
Net GEX603.7K347.5K3.0M419.8K347.5K
Net DEX-12.1M-16.4M-7.9M-12.1M-12.9M
Net VEX-36.0K-40.5K-30.8K-40.5K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.860.190.29
Total Volume476.095183,408211321
Total OI19,036.90518,31020,26318,31019,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$19.73$17.5050.1%14.4%88.0%8.3%50.5%0.1%-3.0%419.8K-12.1M-40.5K0.1916.44N/AN/A1773414,1244,186
2019-12-03$19.56$17.5051.8%14.8%87.5%9.7%51.9%1.1%-4.0%419.3K-11.3M-40.5K1.5873.34N/AN/A12419614,1214,190
2019-12-04$19.24$17.5049.4%14.2%87.7%7.7%49.8%-0.5%-2.6%421.7K-10.3M-39.6K0.0080.65N/AN/A41014,1904,398
2019-12-05$19.23$17.5047.3%13.5%87.2%5.8%46.9%-0.2%5.5%435.3K-10.2M-38.9K0.2940.66N/AN/A14414,2124,398
2019-12-06$19.38$17.5046.8%13.2%85.8%5.4%46.2%0.6%6.5%451.2K-10.7M-38.5K0.1045.32N/AN/A86914,2134,401
2019-12-09$19.62$17.5048.9%12.9%52.6%7.2%46.2%1.9%6.9%464.0K-11.5M-37.6K0.0369.55N/AN/A230714,2764,403
2019-12-10$18.55$17.5048.6%13.4%52.1%6.9%45.9%1.1%6.4%436.8K-7.9M-34.3K0.3372.41N/AN/A481614,4944,403
2019-12-11$19.18$17.5046.0%13.2%46.1%4.7%46.2%1.1%6.2%479.0K-10.0M-35.8K3.8670.86N/AN/A2911214,5044,413
2019-12-12$19.17$17.5045.2%12.9%46.0%4.0%45.3%0.6%7.2%488.5K-10.0M-36.1K0.4972.22N/AN/A1748514,6114,525
2019-12-13$19.23$17.5042.6%12.2%46.0%1.7%44.6%2.0%8.4%506.6K-10.1M-35.4K0.3368.19N/AN/A2167114,7464,592
2019-12-16$19.72$17.5043.5%12.5%46.9%2.5%46.4%-1.3%7.9%601.7K-12.3M-34.5K0.0276.57N/AN/A281514,8304,662
2019-12-17$19.65$17.5042.4%12.2%46.8%1.6%44.7%-1.3%8.9%632.8K-11.8M-31.7K0.0277.74N/AN/A3,3347414,8404,662
2019-12-18$19.86$17.5042.1%12.1%46.9%1.3%42.1%-1.3%9.1%820.6K-13.8M-33.8K0.1470.65N/AN/A731015,5654,672
2019-12-19$20.31$17.5042.1%12.1%43.8%1.3%40.8%2.0%9.1%878.5K-16.4M-33.2K0.8772.54N/AN/A383315,5814,682
2019-12-20$19.98$17.5041.3%11.8%43.2%0.6%41.5%1.0%9.3%3.0M-14.0M-30.8K0.0075.69N/AN/A3,0701315,5574,697
2019-12-23$20.23$17.5041.9%12.0%43.5%1.1%42.2%0.0%15.8%368.3K-13.1M-37.1K0.4775.34N/AN/A22210513,9694,543
2019-12-24$20.52$17.5041.3%11.8%43.6%0.6%41.0%2.3%16.5%375.9K-14.0M-38.0K0.1077.54N/AN/A30314,1314,637
2019-12-26$20.51$17.5042.1%12.1%43.7%1.3%41.9%2.9%17.0%373.4K-13.9M-35.9K0.8375.42N/AN/A937714,1244,639
2019-12-27$20.70$17.5042.4%12.2%43.8%1.6%42.3%2.2%16.1%374.8K-14.4M-36.4K0.0075.13N/AN/A142014,1054,716
2019-12-30$20.26$17.5043.5%12.5%44.3%2.5%43.3%4.3%15.9%353.2K-12.8M-33.7K0.0071.26N/AN/A400113,9814,716
2019-12-31$20.20$17.5042.9%12.3%31.0%2.0%43.3%2.6%16.1%347.5K-12.9M-33.3K0.2971.33N/AN/A2487314,3504,716