EB Options History — May 2020

In May 2020, EB traded between $6.41 and $10.47. ATM implied volatility averaged 121.6%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded below realized volatility by 4.2% (HV 20d: 125.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2020-05-12: Highest Volume — 5,700 contracts
  • 2020-05-12: Largest IV drop — 38.6% change
  • 2020-05-06: Highest IV Rank — 100.0%
  • 2020-05-01: Largest Expected Move — 43.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.63$6.41$10.47$8.43$8.61
Max Pain$8.75$7.50$10.00$10.00$7.50
ATM IV121.6%79.6%221.0%151.5%98.6%
Expected Move27.8%22.8%43.4%43.4%28.3%
HV 20d125.8%78.9%154.6%96.5%151.4%
HV 60d131.7%118.0%142.6%118.0%138.7%
IV Rank53.2%22.0%100.0%91.6%32.5%
IV Percentile84.2%70.2%100.0%96.4%77.8%
Term Structure-6.1%-39.9%6.1%-39.9%-7.0%
VWIV100.6%81.3%175.7%175.7%94.3%
Skew 25d13.5%-0.8%22.3%12.5%14.5%
Skew 10d34.2%-5.6%71.0%44.9%71.0%
Call IV 25d94.4%77.6%152.7%152.7%83.9%
Put IV 25d107.9%86.9%165.2%165.2%98.4%
Bid-Ask Spread %19.6811.5536.8215.6911.55
Gamma HHI0.350.230.420.380.36
Net GEX21.3K-27.1K42.8K16.8K30.9K
Net DEX-639.2K-2.6M2.2M-47.2K-1.6M
Net VEX-17.9K-25.6K-11.4K-15.4K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.044.521.680.21
Total Volume2,120.34165,7001,245427
Total OI20,053.815,74123,41316,80121,711

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$8.43$10.00151.5%43.4%96.5%91.6%175.7%12.5%-39.9%16.8K-47.2K-15.4K1.6815.69N/AN/A4647818,7268,075
2020-05-04$8.93$10.00155.0%29.8%97.0%94.5%111.9%15.5%-8.6%22.1K-405.0K-16.1K1.0124.40N/AN/A2752789,1728,531
2020-05-05$9.72$7.50155.1%29.1%94.0%94.6%114.3%13.5%-8.6%37.5K-1.6M-17.4K0.8520.77N/AN/A3102629,4018,745
2020-05-06$9.64$7.50171.3%29.8%94.4%100.0%104.4%9.9%-12.1%34.0K-1.4M-17.0K0.5016.82N/AN/A4862419,3958,817
2020-05-07$10.09$10.00179.5%30.4%91.6%100.0%114.1%16.5%-11.3%40.9K-2.0M-18.2K0.6415.67N/AN/A4482869,7478,964
2020-05-08$10.30$10.00186.3%29.8%80.4%100.0%107.3%17.0%-11.1%41.7K-2.3M-18.0K0.4117.42N/AN/A3,6371,5089,7629,050
2020-05-11$10.47$10.00221.0%28.8%78.9%100.0%104.9%13.2%-6.8%34.0K-1.8M-17.3K1.8623.43N/AN/A1,6893,1409,4279,865
2020-05-12$8.28$10.00135.6%26.6%115.4%52.9%89.8%16.7%-10.0%721.7M-12.5K1.7836.82N/AN/A2,0523,64810,21811,842
2020-05-13$6.97$10.0097.7%28.0%130.5%32.0%109.3%22.3%-7.7%-27.1K2.0M-12.6K4.5220.02N/AN/A7973,60111,32811,551
2020-05-14$6.64$10.00100.2%28.7%130.9%33.3%105.3%17.0%-8.1%-7.8K2.1M-11.9K3.3624.49N/AN/A27793111,34911,903
2020-05-15$6.41$10.0094.6%27.1%125.2%30.3%94.7%9.8%-4.6%-9.3K2.2M-11.4K2.5217.11N/AN/A28070611,50611,907
2020-05-18$8.10$10.0090.3%25.9%153.2%27.9%91.4%21.1%-0.4%998469.0K-13.9K0.6020.36N/AN/A2,2341,3408,3337,408
2020-05-19$7.96$7.5082.4%23.6%153.1%23.5%82.0%18.8%1.3%5.5K307.2K-15.0K0.0718.19N/AN/A2,6521749,6378,038
2020-05-20$8.35$7.5086.3%24.7%154.0%25.7%81.3%13.6%3.0%12.1K-154.9K-16.5K0.0417.75N/AN/A4,9421789,9488,112
2020-05-21$8.64$7.5088.2%25.3%153.9%26.7%83.8%7.2%6.1%41.1K-2.1M-25.6K0.0412.42N/AN/A1,4796413,8128,140
2020-05-22$8.47$7.5087.0%24.9%153.7%26.1%87.2%-0.8%0.4%35.3K-1.8M-23.9K0.0830.58N/AN/A6314813,6638,125
2020-05-26$8.64$7.5089.1%25.5%153.7%27.2%81.9%7.8%3.8%38.8K-2.0M-23.9K0.1617.15N/AN/A4346913,5908,133
2020-05-27$9.12$7.5079.6%22.8%154.6%22.0%90.3%8.9%1.8%42.8K-2.6M-25.2K0.5521.27N/AN/A78943213,3838,146
2020-05-28$8.77$7.5082.8%23.7%153.8%23.8%87.2%15.4%-2.2%35.8K-1.9M-23.5K0.5011.79N/AN/A27813813,1508,466
2020-05-29$8.61$7.5098.6%28.3%151.4%32.5%94.3%14.5%-7.0%30.9K-1.6M-22.7K0.2111.55N/AN/A3537413,1408,571