EB Options History — August 2020

In August 2020, EB traded between $8.73 and $10.99. ATM implied volatility averaged 94.6%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 50.3% (HV 20d: 44.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2020-08-10: Highest Volume — 17,209 contracts
  • 2020-08-07: Largest IV drop — 40.7% change
  • 2020-08-06: Highest IV Rank — 55.9%
  • 2020-08-03: Largest Expected Move — 39.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.82$8.73$10.99$8.73$10.73
Max Pain$9.64$7.50$10.00$7.50$10.00
ATM IV94.6%75.0%141.0%138.9%94.1%
Expected Move26.3%21.5%39.8%39.8%27.0%
HV 20d44.3%32.8%52.0%50.0%52.0%
HV 60d80.7%67.2%106.3%106.3%67.2%
IV Rank30.2%19.4%55.9%54.7%30.0%
IV Percentile61.7%47.6%91.3%90.9%60.3%
Term Structure-4.4%-33.5%3.7%-32.2%-2.9%
VWIV93.8%73.0%137.5%137.5%94.6%
Skew 25d6.4%-1.1%11.1%6.6%7.1%
Skew 10d14.5%-27.7%44.7%27.3%12.1%
Call IV 25d92.2%73.6%133.8%133.8%94.3%
Put IV 25d98.7%81.9%140.5%140.5%101.4%
Bid-Ask Spread %30.4315.5947.9645.6626.50
Gamma HHI0.270.210.480.210.28
Net GEX86.3K-314379.8K17.6K162.6K
Net DEX-4.1M-9.3M-1.4M-1.8M-9.3M
Net VEX-37.5K-52.9K-29.7K-30.3K-52.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0123.671.630.16
Total Volume2,893.14313317,209397638
Total OI43,553.23832,95753,17632,95753,176

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$8.73$7.50138.9%39.8%50.0%54.7%137.5%6.6%-32.2%17.6K-1.8M-30.3K1.6345.66N/AN/A15124616,66816,289
2020-08-04$8.86$7.50131.2%37.6%48.9%50.4%133.6%5.3%-31.7%20.7K-2.0M-29.7K23.6744.82N/AN/A1553,66916,72616,366
2020-08-05$9.10$7.50130.5%37.4%47.5%50.1%134.9%6.4%-33.5%4.2K-1.8M-32.6K0.5134.41N/AN/A34717816,70320,026
2020-08-06$8.89$10.00141.0%29.0%44.9%55.9%105.7%6.6%-5.0%-314-1.4M-32.8K0.6221.57N/AN/A75546816,98520,155
2020-08-07$9.30$10.0083.6%22.2%47.1%24.2%83.7%4.4%2.5%17.3K-2.3M-30.4K0.1542.70N/AN/A2,39635217,42220,310
2020-08-10$9.82$10.0085.0%22.2%49.6%24.9%78.0%3.5%3.5%67.5K-3.6M-31.9K16.5136.18N/AN/A98316,22619,45820,306
2020-08-11$9.80$10.0085.3%23.3%49.4%25.1%82.7%2.5%-1.1%35.5K-3.0M-39.8K0.0424.10N/AN/A1,1004619,38828,394
2020-08-12$9.74$10.0076.6%22.0%38.3%20.3%77.8%9.2%2.7%52.0K-2.7M-36.7K0.5647.96N/AN/A92651419,50224,390
2020-08-13$9.88$10.0076.3%21.9%38.0%20.1%85.6%7.2%3.7%71.0K-2.9M-35.9K0.5917.41N/AN/A21512619,33424,436
2020-08-14$9.77$10.0077.6%22.2%34.0%20.9%79.3%4.6%1.6%63.5K-2.8M-36.3K0.4817.78N/AN/A1567519,47624,538
2020-08-17$9.68$10.0075.6%21.7%34.4%19.8%80.2%9.4%3.5%66.2K-2.4M-33.9K0.2024.95N/AN/A2044119,49724,531
2020-08-18$9.81$10.0075.8%21.7%32.8%19.9%73.0%11.1%2.0%100.6K-2.7M-33.0K0.0915.59N/AN/A1221119,47324,544
2020-08-19$9.77$10.0075.0%21.5%32.8%19.4%74.2%7.6%3.2%104.1K-2.7M-33.1K11.7119.17N/AN/A1742,03719,41924,542
2020-08-20$10.55$10.0085.5%24.5%40.9%25.3%84.8%10.5%-0.9%100.7K-5.7M-34.4K0.0623.20N/AN/A7,79348219,47724,542
2020-08-21$9.93$10.0096.8%27.7%48.0%31.5%98.6%-1.1%-4.0%379.8K-5.0M-41.0K0.0737.92N/AN/A8,65162223,37724,813
2020-08-24$10.12$10.0094.0%26.9%48.2%29.9%106.3%6.8%-2.8%103.2K-5.8M-43.3K3.2532.05N/AN/A1,1363,69523,32320,738
2020-08-25$10.28$10.0092.4%26.5%46.6%29.0%89.8%10.4%-2.4%101.5K-6.3M-45.6K0.0334.05N/AN/A8362724,49224,413
2020-08-26$10.06$10.0089.7%25.7%47.6%27.6%90.7%4.4%-0.6%81.0K-5.3M-43.8K1.0036.10N/AN/A21121024,22024,428
2020-08-27$10.40$10.0090.3%25.9%48.3%27.9%90.5%7.7%-1.4%114.8K-7.0M-42.8K0.6437.05N/AN/A1,5721,01124,26424,312
2020-08-28$10.99$10.0090.8%26.0%50.5%28.2%88.9%5.0%2.6%149.5K-9.2M-47.9K0.0119.98N/AN/A2,1831625,14525,020
2020-08-31$10.73$10.0094.1%27.0%52.0%30.0%94.6%7.1%-2.9%162.6K-9.3M-52.9K0.1626.50N/AN/A5518727,25225,924