EB Options History — June 2020

In June 2020, EB traded between $8.06 and $12.60. ATM implied volatility averaged 107.0%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded below realized volatility by 16.4% (HV 20d: 123.4%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-06-10: Highest Volume — 7,205 contracts
  • 2020-06-08: Largest IV spike — 43.1% change
  • 2020-06-09: Highest IV Rank — 51.4%
  • 2020-06-11: Largest Expected Move — 34.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.73$8.06$12.60$9.33$8.53
Max Pain$10.34$7.50$12.50$7.50$10.00
ATM IV107.0%80.8%132.8%80.9%109.3%
Expected Move30.2%23.2%34.5%23.2%31.3%
HV 20d123.4%100.5%156.0%150.9%104.5%
HV 60d125.8%118.8%138.8%138.6%118.8%
IV Rank37.1%22.6%51.4%22.7%38.4%
IV Percentile77.2%69.0%87.7%69.8%75.4%
Term Structure1.6%-11.2%17.9%-1.9%17.9%
VWIV109.7%81.5%129.7%86.0%109.3%
Skew 25d9.5%-3.1%40.1%13.6%8.6%
Skew 10d23.2%-19.5%67.3%33.4%40.1%
Call IV 25d107.3%63.5%122.8%85.2%102.3%
Put IV 25d116.9%91.4%133.1%98.7%110.9%
Bid-Ask Spread %40.9711.0255.5311.0248.39
Gamma HHI0.240.190.380.380.24
Net GEX66.1K29.5K137.8K44.2K37.8K
Net DEX-4.3M-10.4M-1.7M-2.7M-2.2M
Net VEX-28.7K-39.2K-23.2K-23.9K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.0412.900.5112.90
Total Volume1,897.0453337,2051,180806
Total OI25,916.521,67831,05621,70725,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$9.33$7.5080.9%23.2%150.9%22.7%86.0%13.6%-1.9%44.2K-2.7M-23.9K0.5111.02N/AN/A77940113,1558,552
2020-06-02$9.61$7.5082.0%23.5%149.9%23.3%85.0%40.1%-1.9%48.4K-2.8M-23.5K0.3311.62N/AN/A47816013,0768,602
2020-06-03$9.69$7.5080.8%23.2%146.9%22.6%81.5%14.5%-1.9%47.7K-2.8M-23.2K0.0414.11N/AN/A6452313,0388,682
2020-06-04$9.95$12.5082.1%23.4%147.1%23.4%82.4%11.7%6.3%51.8K-3.4M-24.0K0.5047.91N/AN/A1,35167013,2298,688
2020-06-05$11.47$12.5085.8%23.4%154.8%25.4%83.5%7.5%7.1%73.7K-5.9M-27.6K0.0450.81N/AN/A4,82319313,7198,925
2020-06-08$11.94$12.50122.8%30.7%155.2%45.8%111.9%-1.7%-6.5%84.2K-7.6M-33.3K0.0540.13N/AN/A5,40826015,0338,990
2020-06-09$12.60$12.50132.8%33.4%156.0%51.4%119.1%-0.1%-11.2%137.8K-10.4M-39.2K0.0539.00N/AN/A4,20222118,5929,043
2020-06-10$10.61$12.50111.0%31.8%144.1%39.3%119.2%-3.1%-6.4%101.5K-5.9M-33.6K0.1455.53N/AN/A6,30190419,7449,176
2020-06-11$10.30$12.50120.3%34.5%127.9%44.4%124.6%11.6%-9.6%100.0K-6.3M-37.9K0.6249.76N/AN/A1,9571,20921,2709,786
2020-06-12$10.18$10.00114.7%32.9%125.9%41.3%116.1%15.7%1.3%95.9K-6.0M-34.5K0.2452.04N/AN/A1,40134220,3299,378
2020-06-15$9.55$10.00117.6%33.7%128.0%43.0%129.7%9.8%-7.8%76.5K-4.7M-31.6K0.4446.65N/AN/A86938219,9879,355
2020-06-16$9.94$10.00111.5%32.0%100.6%39.6%117.1%12.9%-4.6%84.4K-5.3M-31.2K0.0853.30N/AN/A8346419,8739,514
2020-06-17$9.56$10.00109.9%31.5%101.7%38.7%120.9%7.5%-3.2%76.8K-4.6M-31.1K0.2043.70N/AN/A2775619,9409,491
2020-06-18$9.48$10.00107.1%30.7%100.8%37.2%113.0%6.2%9.4%61.3K-4.0M-30.1K0.1435.71N/AN/A6339119,9999,499
2020-06-19$9.20$10.00108.6%31.1%101.0%38.0%117.6%7.2%8.8%57.1K-3.6M-28.5K1.0837.96N/AN/A59764720,1309,524
2020-06-22$9.16$10.00108.5%31.1%100.7%37.9%111.9%8.8%5.6%56.7K-3.4M-27.4K0.0754.58N/AN/A6064517,1806,719
2020-06-23$9.18$10.00103.4%29.7%100.5%35.1%115.6%0.5%11.1%57.3K-3.4M-27.2K0.8336.44N/AN/A98281817,3206,755
2020-06-24$8.44$10.00117.4%33.7%103.1%42.9%120.3%2.8%3.2%45.2K-2.6M-25.8K0.4240.61N/AN/A35214917,2897,054
2020-06-25$8.72$10.00117.4%33.6%103.0%42.8%109.9%8.6%4.5%44.9K-2.8M-25.7K0.1941.90N/AN/A3606717,3917,098
2020-06-26$8.06$10.00110.4%31.7%106.6%39.0%123.6%13.6%11.9%29.5K-1.7M-23.2K0.3252.21N/AN/A74123517,4627,097
2020-06-29$8.61$10.00119.4%34.2%105.2%43.9%114.4%13.9%2.6%42.3K-2.4M-24.2K0.2538.06N/AN/A3187818,0147,203
2020-06-30$8.53$10.00109.3%31.3%104.5%38.4%109.3%8.6%17.9%37.8K-2.2M-23.6K12.9048.39N/AN/A5874818,0267,236