EB Options History — January 2020

In January 2020, EB traded between $20.61 and $22.60. ATM implied volatility averaged 43.6%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 17.0% (HV 20d: 26.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-01-16: Highest Volume — 880 contracts
  • 2020-01-08: Largest IV drop — 12.1% change
  • 2020-01-31: Highest IV Rank — 6.0%
  • 2020-01-06: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.32$20.61$22.60$20.85$21.23
Max Pain$19.76$17.50$20.00$17.50$20.00
ATM IV43.6%39.8%46.7%44.5%46.7%
Expected Move13.0%11.8%17.2%12.8%13.4%
HV 20d26.6%20.7%32.6%32.6%29.9%
HV 60d55.7%55.0%56.3%56.3%55.7%
IV Rank3.1%0.0%6.0%3.4%6.0%
IV Percentile8.5%0.0%23.8%6.0%23.8%
Term Structure9.9%-8.8%17.0%14.2%16.2%
VWIV45.3%41.3%58.8%47.0%45.8%
Skew 25d1.7%-4.3%4.7%-4.3%-2.6%
Skew 10d3.2%-15.3%15.5%-7.9%-15.3%
Call IV 25d44.9%41.2%58.0%46.8%47.1%
Put IV 25d46.6%42.5%62.4%42.5%44.6%
Bid-Ask Spread %80.1364.4889.7575.2083.28
Gamma HHI0.260.200.420.250.20
Net GEX241.9K112.4K408.5K361.1K150.7K
Net DEX-10.5M-15.9M-3.2M-14.6M-4.3M
Net VEX-28.7K-33.4K-25.6K-33.0K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.005.000.220.36
Total Volume220.905788039919
Total OI15,652.14310,31119,73519,20710,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$20.85$17.5044.5%12.8%32.6%3.4%47.0%-4.3%14.2%361.1K-14.6M-33.0K0.2275.20N/AN/A3287114,4304,777
2020-01-03$20.76$17.5043.5%12.5%31.9%2.5%43.8%0.1%15.2%366.7K-14.5M-33.4K5.0074.55N/AN/A21014,8524,868
2020-01-06$20.88$20.0046.6%17.2%31.8%5.2%58.8%4.4%-8.8%373.8K-14.8M-32.3K1.3064.48N/AN/A233014,8524,878
2020-01-07$20.89$20.0045.2%14.1%31.8%4.0%48.0%2.8%1.4%362.5K-14.8M-31.3K0.3777.63N/AN/A833114,8654,870
2020-01-08$21.30$20.0039.8%13.4%32.2%0.0%46.2%1.9%3.9%407.4K-15.8M-30.4K0.0280.70N/AN/A8441914,8454,870
2020-01-09$21.07$20.0041.9%13.8%23.9%1.8%47.9%1.6%3.2%327.6K-14.9M-29.8K0.1579.67N/AN/A3645614,3784,869
2020-01-10$21.23$20.0041.9%13.8%21.7%1.8%0.0%2.5%2.8%324.6K-15.1M-29.0K0.7579.41N/AN/A675014,1884,921
2020-01-13$21.31$20.0041.5%12.0%21.6%1.5%41.8%4.1%9.6%342.1K-15.2M-28.1K1.3381.42N/AN/A9012014,1754,971
2020-01-14$21.53$20.0040.9%11.8%21.6%1.0%41.3%1.3%9.8%408.5K-15.9M-28.9K0.1080.73N/AN/A82814,1514,893
2020-01-15$21.27$20.0042.9%12.3%21.2%2.7%43.2%1.2%8.0%189.6K-14.6M-26.5K0.0181.08N/AN/A235314,1624,895
2020-01-16$21.12$20.0042.7%12.2%21.4%2.5%41.6%1.0%6.9%125.7K-14.2M-25.6K0.0086.27N/AN/A877314,2484,895
2020-01-17$20.74$20.0043.5%12.5%22.6%3.2%41.7%2.9%6.7%115.4K-13.9M-26.6K0.0485.28N/AN/A77314,6444,895
2020-01-21$20.61$20.0044.7%12.8%21.4%4.2%43.4%2.5%12.5%112.4K-3.2M-26.4K0.3282.82N/AN/A105346,8523,459
2020-01-22$20.82$20.0042.5%12.2%20.7%2.4%42.5%1.4%15.5%121.6K-3.4M-26.2K0.0486.88N/AN/A7736,9273,484
2020-01-23$21.76$20.0042.1%12.1%25.3%2.0%43.2%3.8%14.8%147.0K-4.5M-27.2K0.0774.53N/AN/A229156,9473,487
2020-01-24$22.60$20.0043.0%12.3%27.9%2.8%43.5%4.7%14.7%176.3K-5.9M-28.9K0.2867.24N/AN/A174497,2733,488
2020-01-27$22.17$20.0046.3%13.3%29.1%5.7%48.1%1.9%14.2%168.4K-5.4M-29.0K0.3480.84N/AN/A185627,3283,489
2020-01-28$22.19$20.0045.6%13.1%29.1%5.1%47.0%0.3%14.4%173.5K-5.5M-28.4K1.3885.70N/AN/A40557,3793,513
2020-01-29$21.55$20.0045.1%12.9%30.1%4.6%45.1%0.2%16.6%158.5K-4.6M-27.5K0.0889.75N/AN/A10187,3733,498
2020-01-30$21.78$20.0043.7%12.5%30.1%3.4%46.1%3.8%17.0%166.3K-5.0M-27.4K0.4085.32N/AN/A527,3983,504
2020-01-31$21.23$20.0046.7%13.4%29.9%6.0%45.8%-2.6%16.2%150.7K-4.3M-27.3K0.3683.28N/AN/A1457,3983,506