EB Options History — April 2020

In April 2020, EB traded between $5.80 and $9.94. ATM implied volatility averaged 134.1%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 38.3%. IV traded above realized volatility by 8.8% (HV 20d: 125.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.76.

Notable Days

  • 2020-04-08: Highest Volume — 2,528 contracts
  • 2020-04-06: Largest IV drop — 18.2% change
  • 2020-04-02: Highest IV Rank — 93.6%
  • 2020-04-23: Largest Expected Move — 43.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.09$5.80$9.94$6.30$9.18
Max Pain$9.52$7.50$10.00$10.00$10.00
ATM IV134.1%113.7%153.9%141.0%134.0%
Expected Move38.3%33.8%43.7%40.4%38.4%
HV 20d125.3%95.4%161.4%151.8%95.4%
HV 60d111.8%101.6%117.2%101.6%117.2%
IV Rank77.3%60.6%93.6%83.0%77.3%
IV Percentile93.5%88.9%97.6%96.0%92.1%
Term Structure-28.8%-37.4%-13.3%-13.3%-37.3%
VWIV146.4%121.7%175.1%150.5%156.0%
Skew 25d21.1%12.5%32.2%20.6%21.0%
Skew 10d71.9%30.7%112.2%86.1%112.2%
Call IV 25d131.5%116.0%148.1%148.1%139.2%
Put IV 25d152.6%139.5%168.7%168.7%160.2%
Bid-Ask Spread %32.7818.3451.0538.4218.34
Gamma HHI0.430.290.700.320.41
Net GEX20.7K-8.8K66.8K-1.3K28.0K
Net DEX-14.7K-1.6M2.5M2.4M-667.7K
Net VEX-14.7K-18.4K-9.8K-12.3K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.760.1757.412.860.68
Total Volume868.333952,528676438
Total OI22,373.8113,97229,37526,78816,697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$6.30$10.00141.0%40.4%151.8%83.0%150.5%20.6%-13.3%-1.3K2.4M-12.3K2.8638.42N/AN/A17550116,37210,416
2020-04-02$5.83$7.50153.9%41.7%150.9%93.6%136.3%16.8%-36.0%-6.6K2.3M-10.1K2.3151.05N/AN/A17941416,4049,882
2020-04-03$5.80$7.50144.2%39.6%150.8%85.6%143.5%16.1%-27.4%-8.8K2.5M-9.8K9.5327.28N/AN/A4744816,5229,915
2020-04-06$6.49$7.50117.9%34.4%157.6%64.1%121.7%18.9%-18.7%-5.0K2.4M-10.0K2.5230.53N/AN/A26666916,5579,858
2020-04-07$6.73$7.50113.7%33.8%159.3%60.6%127.3%28.7%-20.4%2.4K2.2M-11.0K1.0825.66N/AN/A27129216,7209,761
2020-04-08$7.33$10.00129.4%37.1%161.4%73.5%123.5%27.5%-28.3%14.2K1.5M-12.4K0.2249.96N/AN/A2,07645216,8799,696
2020-04-09$8.38$10.00129.4%37.1%138.6%73.5%127.9%13.0%-26.0%66.8K-813.6K-18.4K0.5732.63N/AN/A85849319,5809,795
2020-04-13$8.83$10.00122.4%35.1%127.6%67.7%144.3%30.4%-28.3%27.7K-1.6M-15.9K1.8434.04N/AN/A25346619,1219,279
2020-04-14$8.36$10.00134.2%38.5%127.7%77.5%131.5%23.0%-30.4%44.5K-773.6K-14.7K1.1124.95N/AN/A21123419,2009,316
2020-04-15$8.21$10.00133.5%38.3%127.8%76.9%175.1%23.2%-33.9%23.3K-1.1M-14.9K5.6225.34N/AN/A15184919,2559,337
2020-04-16$7.90$10.00130.7%37.5%109.7%74.6%141.7%24.6%-26.5%19.4K-753.2K-14.4K0.1720.27N/AN/A1,61027319,2269,890
2020-04-17$8.69$10.00133.3%38.2%110.0%76.7%164.7%15.2%-30.7%24.4K-1.2M-14.8K2.6320.61N/AN/A15641019,0819,955
2020-04-20$8.81$10.00135.1%38.7%109.2%78.2%151.8%14.7%-30.9%22.4K-799.1K-15.3K2.1718.61N/AN/A2876238,4155,557
2020-04-21$8.56$10.00151.8%43.5%108.9%91.9%174.8%23.7%-33.4%25.5K-658.1K-15.9K3.2732.42N/AN/A1073508,5015,599
2020-04-22$8.40$10.00144.3%41.4%108.0%85.7%144.7%17.4%-29.1%21.9K-591.6K-15.0K3.1134.72N/AN/A621938,4805,624
2020-04-23$8.71$10.00152.4%43.7%108.5%92.4%154.2%27.1%-37.4%24.4K-763.3K-15.4K57.4143.26N/AN/A392,2398,4705,719
2020-04-24$8.95$10.00130.4%37.4%107.1%74.3%155.4%13.8%-28.5%21.9K-706.3K-17.8K0.4640.66N/AN/A65308,4927,551
2020-04-27$9.16$10.00129.8%37.2%106.9%73.9%159.1%12.5%-28.7%27.9K-829.1K-17.4K16.3338.77N/AN/A396378,5347,554
2020-04-28$9.43$10.00126.2%36.2%106.2%70.9%145.1%22.3%-29.0%28.7K-1.0M-17.9K3.4340.82N/AN/A1384738,5697,628
2020-04-29$9.94$10.00127.8%36.7%107.0%72.2%144.7%32.2%-29.8%32.5K-1.5M-18.4K3.6140.09N/AN/A1655968,6217,822
2020-04-30$9.18$10.00134.0%38.4%95.4%77.3%156.0%21.0%-37.3%28.0K-667.7K-17.6K0.6818.34N/AN/A2611778,6568,041