EB Options History — March 2020

In March 2020, EB traded between $7.01 and $14.05. ATM implied volatility averaged 127.9%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 35.4%. IV traded above realized volatility by 7.5% (HV 20d: 120.4%). Max pain ranged from $10.00 to $20.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 6.95.

Notable Days

  • 2020-03-13: Highest Volume — 4,629 contracts
  • 2020-03-12: Largest IV spike — 55.9% change
  • 2020-03-12: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 46.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.41$7.01$14.05$13.59$7.30
Max Pain$16.59$10.00$20.00$20.00$10.00
ATM IV127.9%84.3%161.7%88.1%127.2%
Expected Move35.4%22.6%46.4%25.3%36.5%
HV 20d120.4%74.3%155.2%74.9%147.9%
HV 60d80.6%52.7%98.4%52.7%98.2%
IV Rank73.6%38.5%100.0%41.8%71.7%
IV Percentile97.1%93.3%100.0%94.4%95.2%
Term Structure-14.8%-42.8%16.4%-11.8%-0.5%
VWIV138.6%79.5%206.1%81.7%148.7%
Skew 25d19.6%-1.9%44.1%6.1%31.6%
Skew 10d63.9%-4.8%166.5%6.3%124.1%
Call IV 25d125.9%79.0%172.9%85.5%134.2%
Put IV 25d145.4%80.3%199.7%91.6%165.9%
Bid-Ask Spread %36.3818.4751.8122.1637.72
Gamma HHI0.250.120.720.260.33
Net GEX-29.6K-141.6K11.1K-51.9K11.1K
Net DEX3.4M1.4M4.8M3.9M1.5M
Net VEX-15.0K-19.9K-11.0K-17.6K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.950.2247.400.911.52
Total Volume1,907.5912444,629921244
Total OI23,229.45519,17027,30619,17026,731

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$13.59$20.0088.1%25.3%74.9%41.8%81.7%6.1%-11.8%-51.9K3.9M-17.6K0.9122.16N/AN/A48243913,0766,094
2020-03-03$13.71$20.0088.8%25.5%74.3%42.3%89.2%-1.9%-14.1%-42.3K3.5M-19.9K0.5918.47N/AN/A79846913,4466,331
2020-03-04$14.05$20.0084.3%24.2%75.1%38.5%85.7%-0.1%-17.1%-52.4K3.6M-19.2K0.8318.59N/AN/A40633913,5056,365
2020-03-05$12.74$17.50102.5%22.6%79.8%54.1%79.5%1.3%-6.1%-40.7K4.1M-17.1K1.6551.81N/AN/A39464913,7966,483
2020-03-06$12.73$17.50112.6%26.3%78.6%62.9%95.4%3.3%-10.7%-30.1K3.7M-19.5K0.3742.90N/AN/A1,43853313,8456,904
2020-03-09$11.43$17.50124.8%28.2%83.4%73.3%99.4%-0.6%-11.3%-31.0K4.3M-15.3K5.8143.98N/AN/A8549413,8697,062
2020-03-10$11.12$17.50124.2%28.9%80.6%72.9%106.3%6.6%-12.6%-31.2K4.4M-15.5K3.9048.89N/AN/A25499014,2747,233
2020-03-11$10.07$17.50101.4%29.1%83.8%53.2%114.5%10.3%-9.6%-33.0K4.8M-12.9K8.2446.87N/AN/A2512,06914,4387,730
2020-03-12$7.67$17.50158.1%45.3%115.4%100.0%163.3%26.3%-42.8%-11.8K4.1M-11.1K3.9148.60N/AN/A8773,42814,3748,617
2020-03-13$8.99$17.50148.5%42.6%137.1%91.9%164.6%25.3%-30.1%-15.3K3.3M-14.8K29.8626.57N/AN/A1504,47914,9358,681
2020-03-16$8.54$17.50161.7%46.4%135.1%100.0%163.6%19.8%-26.6%-26.3K3.4M-15.8K47.4025.91N/AN/A532,51214,91910,875
2020-03-17$8.41$17.50158.6%45.5%133.9%97.4%182.9%31.5%-36.9%-18.9K4.2M-13.5K23.4124.32N/AN/A831,94314,88711,902
2020-03-18$7.01$17.50157.7%45.2%141.9%96.7%181.1%36.3%-29.5%-29.3K4.2M-12.4K5.8320.94N/AN/A5523,22014,86712,227
2020-03-19$7.69$17.50156.1%44.8%149.3%95.4%206.1%20.5%-32.4%-28.7K3.4M-15.0K6.1337.23N/AN/A3171,94315,11212,194
2020-03-20$7.47$17.50141.4%40.5%149.5%83.3%194.3%37.2%-25.9%-141.6K4.1M-12.5K5.1147.83N/AN/A2491,27214,70312,064
2020-03-23$7.21$17.50136.9%39.2%149.3%79.6%162.3%44.1%-17.5%-26.2K3.4M-11.0K0.5936.84N/AN/A1,44185310,00811,058
2020-03-24$7.60$17.50116.7%33.4%153.6%63.1%120.5%30.8%2.3%-18.2K2.8M-12.8K1.0638.46N/AN/A49152211,37110,644
2020-03-25$7.75$15.00124.0%35.6%155.2%69.1%151.9%28.2%16.4%-21.1K2.6M-15.1K1.1045.49N/AN/A20022111,72510,840
2020-03-26$7.42$15.00116.6%33.4%155.1%63.0%135.8%11.7%10.8%-19.6K2.5M-12.5K0.3243.32N/AN/A2,38275911,85110,538
2020-03-27$7.32$10.00143.0%41.0%147.5%84.7%147.8%27.1%-11.1%-1.6K2.2M-14.8K0.2238.39N/AN/A2,27451114,31210,324
2020-03-30$7.14$10.00141.5%40.6%147.3%83.4%175.0%35.1%-9.7%9.3K1.4M-16.4K4.0935.01N/AN/A17772416,32610,512
2020-03-31$7.30$10.00127.2%36.5%147.9%71.7%148.7%31.6%-0.5%11.1K1.5M-15.4K1.5237.72N/AN/A9714716,28910,442