EB Options History — February 2020

In February 2020, EB traded between $14.34 and $22.18. ATM implied volatility averaged 65.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 26.4% (HV 20d: 39.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2020-02-14: Highest Volume — 6,635 contracts
  • 2020-02-12: Largest IV spike — 47.2% change
  • 2020-02-27: Highest IV Rank — 51.7%
  • 2020-02-27: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.53$14.34$22.18$21.61$14.34
Max Pain$20.92$20.00$22.50$20.00$20.00
ATM IV65.9%43.4%99.6%45.8%97.3%
Expected Move20.1%12.8%28.6%13.1%27.9%
HV 20d39.5%30.4%74.0%30.4%74.0%
HV 60d41.1%35.1%55.7%55.7%51.7%
IV Rank22.6%3.1%51.7%5.2%49.7%
IV Percentile59.8%8.3%97.2%18.7%96.8%
Term Structure-9.1%-23.7%18.0%16.6%-23.3%
VWIV70.6%44.5%104.9%47.8%100.2%
Skew 25d3.9%-1.0%11.5%1.3%8.8%
Skew 10d6.6%-12.0%34.3%-2.3%6.7%
Call IV 25d69.2%45.0%101.0%46.4%96.8%
Put IV 25d73.1%45.3%107.2%47.8%105.5%
Bid-Ask Spread %40.9316.4990.5590.5526.71
Gamma HHI0.260.210.390.210.27
Net GEX209.0K-35.9K459.3K163.0K-35.9K
Net DEX-4.9M-11.6M3.4M-4.7M3.4M
Net VEX-28.3K-40.3K-15.5K-26.4K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.024.052.080.66
Total Volume1,174.053126,635373,846
Total OI13,956.84210,89618,09110,89816,632

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$21.61$20.0045.8%13.1%30.4%5.2%47.8%1.3%16.6%163.0K-4.7M-26.4K2.0890.55N/AN/A12257,3953,503
2020-02-04$21.91$20.0044.8%12.8%30.7%4.3%46.2%0.7%16.7%173.1K-5.1M-26.7K1.0086.08N/AN/A10107,4013,503
2020-02-05$21.28$20.0045.1%12.9%32.7%4.6%44.5%-1.0%18.0%154.6K-4.1M-25.3K0.3486.52N/AN/A71247,3953,501
2020-02-06$21.69$20.0043.4%17.8%32.7%3.1%62.3%3.4%-7.6%172.1K-4.8M-26.3K0.0929.35N/AN/A1117,4563,507
2020-02-07$21.42$20.0044.3%18.2%32.8%3.9%63.6%4.7%-8.7%166.0K-4.5M-25.9K0.2740.68N/AN/A9582617,4633,506
2020-02-10$22.01$20.0045.2%19.0%34.0%4.7%0.0%11.5%-10.0%211.6K-5.8M-28.8K0.1344.16N/AN/A84118,3803,758
2020-02-11$21.31$20.0044.3%18.5%36.1%3.9%64.5%2.2%-9.0%188.5K-4.6M-27.2K0.0533.53N/AN/A369198,3693,768
2020-02-12$21.74$20.0065.2%18.7%36.6%21.9%65.5%5.0%-9.6%207.8K-5.2M-27.6K0.7433.47N/AN/A57428,3033,758
2020-02-13$21.53$20.0066.3%19.0%36.5%22.9%0.0%4.9%-11.1%198.9K-4.8M-26.2K0.8850.61N/AN/A56498,2943,795
2020-02-14$21.93$20.0072.2%20.7%36.9%28.0%71.9%1.6%-12.2%215.9K-5.5M-28.1K0.0231.51N/AN/A6,4841518,2883,802
2020-02-18$22.18$22.5077.0%22.1%36.3%32.2%77.4%2.2%-15.6%433.4K-11.6M-40.3K0.1416.49N/AN/A6699413,3883,945
2020-02-19$21.45$22.5072.6%20.8%38.4%28.3%72.7%1.4%-13.8%389.1K-9.7M-38.3K0.0532.65N/AN/A1,0845013,7984,026
2020-02-20$21.83$22.5072.1%20.7%38.7%27.9%72.4%1.0%-13.4%459.3K-10.6M-39.4K0.4234.63N/AN/A51821913,9814,061
2020-02-21$21.02$22.5073.1%21.0%37.9%28.8%71.1%2.7%-13.6%344.6K-8.2M-36.2K0.1036.62N/AN/A9599413,9664,125
2020-02-24$19.49$22.5073.0%20.9%43.2%28.7%73.6%3.6%-13.4%244.5K-4.1M-29.3K0.0529.21N/AN/A3,19815312,6434,113
2020-02-25$18.38$22.5083.0%23.8%46.8%37.4%79.9%4.0%-16.4%121.5K-1.5M-24.1K0.3023.19N/AN/A3249810,9784,113
2020-02-26$17.89$22.5088.6%25.4%47.0%42.1%81.6%9.0%-22.4%92.8K-703.5K-22.6K4.0521.79N/AN/A6425910,8814,144
2020-02-27$17.03$20.0099.6%28.6%48.6%51.7%104.9%6.2%-23.7%69.6K-128.4K-23.2K2.7829.96N/AN/A5221,45110,8934,348
2020-02-28$14.34$20.0097.3%27.9%74.0%49.7%100.2%8.8%-23.3%-35.9K3.4M-15.5K0.6626.71N/AN/A2,3191,52711,1475,485