EB Options History — July 2020 In July 2020, EB traded between $8.32 and $9.30. ATM implied volatility averaged 110.9%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 33.2%. IV traded above realized volatility by 40.5% (HV 20d: 70.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2020-07-08 : Highest Volume — 27,133 contracts2020-07-14 : Largest IV spike — 44.5% change2020-07-30 : Highest IV Rank — 47.2%2020-07-14 : Largest Expected Move — 36.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.64 $8.32 $9.30 $8.78 $8.52 Max Pain $8.52 $7.50 $10.00 $10.00 $7.50 ATM IV 110.9% 75.9% 125.3% 100.0% 124.9% Expected Move 33.2% 28.7% 36.2% 28.7% 35.8% HV 20d 70.4% 50.2% 105.1% 105.1% 50.2% HV 60d 111.6% 106.6% 116.9% 116.9% 106.6% IV Rank 39.2% 20.0% 47.2% 33.2% 47.0% IV Percentile 75.5% 55.2% 84.1% 71.8% 83.7% Term Structure -12.4% -23.6% 14.0% 13.1% -21.1% VWIV 115.5% 86.4% 129.7% 105.9% 124.2% Skew 25d 6.1% -2.8% 12.4% 8.0% 12.4% Skew 10d 17.7% -31.3% 40.0% 7.2% 26.3% Call IV 25d 114.9% 97.7% 125.1% 104.6% 119.6% Put IV 25d 121.0% 99.9% 132.1% 112.5% 132.0% Bid-Ask Spread % 41.36 22.74 50.10 45.94 48.56 Gamma HHI 0.22 0.18 0.28 0.22 0.21 Net GEX 52.6K 8.3K 87.7K 40.5K 13.3K Net DEX -3.0M -4.8M -1.1M -2.5M -1.5M Net VEX -38.7K -52.2K -21.7K -24.3K -29.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.01 2.57 0.16 0.84 Total Volume 2,668.273 81 27,133 770 81 Total OI 39,933.909 25,776 53,078 25,776 32,928
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-07-01 $8.78 $10.00 100.0% 28.7% 105.1% 33.2% 105.9% 8.0% 13.1% 40.5K -2.5M -24.3K 0.16 45.94 N/A N/A 662 108 18,050 7,726 2020-07-02 $8.53 $10.00 101.3% 29.0% 104.8% 33.9% 86.4% 2.2% 14.0% 32.3K -2.1M -23.3K 0.32 41.34 N/A N/A 451 146 18,205 7,748 2020-07-06 $8.32 $7.50 102.9% 33.4% 88.6% 34.8% 118.1% 9.8% -10.3% 26.3K -1.7M -22.0K 2.57 36.30 N/A N/A 539 1,387 18,436 7,750 2020-07-07 $8.60 $7.50 116.0% 33.8% 88.0% 42.1% 118.0% 9.1% -15.7% 38.0K -2.2M -21.7K 1.36 24.64 N/A N/A 109 148 18,386 8,287 2020-07-08 $8.97 $7.50 101.2% 32.8% 86.9% 33.9% 122.2% 6.4% -10.5% 35.3K -2.7M -24.0K 0.57 22.74 N/A N/A 17,310 9,823 18,414 8,315 2020-07-09 $8.55 $10.00 123.4% 35.1% 66.3% 46.2% 117.5% 8.4% -14.6% 66.3K -3.7M -44.3K 0.21 32.90 N/A N/A 327 69 30,219 15,389 2020-07-10 $8.72 $10.00 112.7% 35.9% 66.7% 40.2% 120.3% 7.2% -16.9% 87.7K -4.8M -52.2K 1.21 40.91 N/A N/A 76 92 35,166 17,912 2020-07-13 $8.56 $10.00 75.9% 36.1% 66.8% 20.0% 129.7% 6.8% -13.9% 72.4K -4.4M -51.7K 0.19 45.49 N/A N/A 429 82 35,171 17,899 2020-07-14 $8.49 $10.00 109.7% 36.2% 63.5% 38.6% 122.6% 10.1% -17.2% 58.2K -4.1M -50.5K 0.43 49.25 N/A N/A 187 81 35,016 17,818 2020-07-15 $9.30 $10.00 111.4% 31.9% 70.6% 39.5% 117.8% 8.9% -15.3% 61.8K -3.6M -44.7K 0.93 38.52 N/A N/A 792 735 28,480 17,815 2020-07-16 $9.16 $10.00 110.4% 31.7% 69.5% 39.0% 118.1% 7.3% -11.5% 66.8K -3.7M -48.7K 0.98 31.31 N/A N/A 99 97 31,382 17,908 2020-07-17 $8.76 $10.00 110.2% 31.6% 71.1% 38.9% 111.3% 8.8% -13.5% 55.0K -2.8M -46.0K 0.34 38.72 N/A N/A 5,179 1,757 31,419 17,918 2020-07-20 $8.77 $7.50 106.3% 30.5% 70.5% 36.7% 108.3% 4.3% -8.0% 78.7K -4.2M -48.8K 0.22 49.56 N/A N/A 350 77 27,798 15,935 2020-07-21 $8.57 $7.50 113.7% 32.6% 70.9% 40.8% 109.6% 9.1% -17.6% 84.9K -4.0M -48.7K 0.49 44.30 N/A N/A 286 139 29,315 15,960 2020-07-22 $8.53 $7.50 113.5% 32.5% 70.8% 40.7% 111.3% 7.5% -13.4% 85.7K -3.8M -48.0K 0.94 45.52 N/A N/A 72 68 29,448 16,066 2020-07-23 $8.51 $7.50 112.0% 32.1% 64.2% 39.8% 112.1% 2.5% -10.3% 85.8K -4.0M -46.3K 0.06 47.72 N/A N/A 796 45 29,488 16,119 2020-07-24 $8.51 $7.50 114.4% 32.8% 63.0% 41.2% 109.6% 6.2% -16.2% 85.8K -3.4M -44.1K 0.01 46.56 N/A N/A 15,351 188 29,456 16,159 2020-07-27 $8.56 $7.50 118.6% 34.0% 56.0% 43.5% 116.7% -2.7% -16.2% 50.5K -2.7M -38.3K 0.79 43.57 N/A N/A 105 83 24,098 16,310 2020-07-28 $8.35 $7.50 115.6% 33.1% 51.6% 41.9% 117.2% 4.7% -14.7% 8.3K -1.1M -31.1K 0.72 44.67 N/A N/A 54 39 16,598 16,266 2020-07-29 $8.56 $7.50 119.8% 34.3% 52.3% 44.2% 119.4% -2.8% -18.6% 11.5K -1.4M -31.2K 0.98 50.10 N/A N/A 46 45 16,600 16,294 2020-07-30 $8.57 $7.50 125.3% 35.9% 51.2% 47.2% 123.6% -0.9% -23.6% 12.8K -1.6M -30.6K 0.34 41.29 N/A N/A 143 49 16,592 16,287 2020-07-31 $8.52 $7.50 124.9% 35.8% 50.2% 47.0% 124.2% 12.4% -21.1% 13.3K -1.5M -29.6K 0.84 48.56 N/A N/A 44 37 16,640 16,288
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