EB Options History — September 2020

In September 2020, EB traded between $10.36 and $12.57. ATM implied volatility averaged 89.5%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 33.9% (HV 20d: 55.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-09-09: Highest Volume — 18,044 contracts
  • 2020-09-08: Largest IV spike — 13.5% change
  • 2020-09-08: Highest IV Rank — 32.9%
  • 2020-09-03: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$10.36$12.57$10.97$10.78
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV89.5%81.2%99.3%96.5%81.2%
Expected Move25.7%23.3%27.8%27.7%23.3%
HV 20d55.5%52.1%60.3%52.1%59.1%
HV 60d55.7%52.0%66.8%66.8%53.2%
IV Rank27.4%22.9%32.9%31.3%22.9%
IV Percentile53.6%41.7%62.3%60.7%41.7%
Term Structure6.5%-5.2%14.8%-5.2%14.8%
VWIV91.1%71.9%105.8%90.9%80.3%
Skew 25d4.0%-7.8%18.2%18.2%-0.7%
Skew 10d11.7%-31.9%62.7%62.7%10.6%
Call IV 25d89.9%78.3%97.3%82.8%79.1%
Put IV 25d93.9%77.2%105.6%100.9%78.5%
Bid-Ask Spread %30.608.2056.1337.0537.45
Gamma HHI0.300.240.520.290.30
Net GEX188.0K69.1K428.0K186.0K69.1K
Net DEX-15.5M-24.5M-9.1M-10.5M-11.3M
Net VEX-69.8K-80.3K-50.7K-50.7K-69.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.008.890.671.09
Total Volume2,968.42916518,0441,563278
Total OI66,787.90553,24574,49653,24571,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$10.97$10.0096.5%27.7%52.1%31.3%90.9%18.2%-5.2%186.0K-10.5M-50.7K0.6737.05N/AN/A93462927,27025,975
2020-09-02$11.28$10.0090.4%25.9%52.2%28.0%94.0%2.1%2.6%218.4K-12.1M-54.1K0.1440.00N/AN/A4,05257927,95426,557
2020-09-03$10.97$10.0095.3%27.8%52.6%30.6%95.8%10.3%0.7%206.2K-12.4M-61.7K0.0041.27N/AN/A3,461930,98726,119
2020-09-04$11.43$10.0087.5%26.2%52.2%26.4%98.3%5.3%0.8%214.9K-13.7M-57.8K0.4851.73N/AN/A3,8051,84328,10226,372
2020-09-08$12.05$10.0099.3%27.4%52.1%32.9%96.2%3.7%2.2%267.7K-19.6M-63.9K0.2548.69N/AN/A4,6991,18831,62627,712
2020-09-09$12.01$10.0095.0%27.2%52.1%30.5%105.8%4.2%-1.2%290.8K-21.0M-69.8K8.8939.91N/AN/A1,82516,21934,11828,717
2020-09-10$11.81$10.0091.3%26.2%52.7%28.5%94.9%1.9%2.4%226.8K-18.4M-75.4K0.4824.02N/AN/A2,7021,30534,48733,879
2020-09-11$11.66$10.0090.5%26.0%53.2%28.0%94.5%0.2%3.3%216.9K-17.6M-80.3K0.1841.10N/AN/A1853435,51137,623
2020-09-14$11.39$10.0090.5%26.0%54.0%28.0%96.9%5.1%4.2%193.9K-15.8M-77.9K0.9144.23N/AN/A22320335,45237,607
2020-09-15$11.45$10.0089.5%25.7%53.7%27.4%90.0%0.2%6.6%194.7K-16.0M-75.4K0.0524.84N/AN/A166835,35137,516
2020-09-16$12.44$10.0087.0%24.9%59.8%26.0%92.0%0.9%4.8%331.4K-22.9M-73.0K0.1311.92N/AN/A2,25630435,34537,519
2020-09-17$12.57$10.0087.0%25.0%59.5%26.1%91.4%5.6%10.7%428.0K-24.5M-73.4K0.5246.07N/AN/A63433036,32037,706
2020-09-18$12.14$10.0088.5%25.4%56.7%26.9%89.2%8.2%14.4%158.8K-20.0M-74.4K1.4656.13N/AN/A2,4793,62236,68537,811
2020-09-21$11.66$10.0089.3%25.6%53.9%27.4%92.7%0.8%8.2%144.5K-17.0M-76.1K0.1415.79N/AN/A4556234,43033,642
2020-09-22$11.69$10.0088.1%25.3%53.7%26.7%88.8%4.6%8.6%141.1K-17.0M-74.9K0.839.96N/AN/A14512034,40333,692
2020-09-23$10.89$10.0091.3%26.2%60.3%28.5%93.1%2.1%12.2%100.0K-12.4M-74.0K0.4418.53N/AN/A43419234,45433,757
2020-09-24$10.72$10.0089.5%25.7%60.0%27.4%88.8%6.4%9.2%88.2K-10.8M-74.7K0.2419.96N/AN/A1333234,99933,885
2020-09-25$10.36$10.0083.3%23.9%60.3%24.0%82.4%9.8%12.1%72.7K-9.1M-71.7K0.0316.73N/AN/A3,72310035,06533,912
2020-09-28$10.57$10.0085.5%24.5%57.3%25.3%85.8%-7.8%12.1%72.4K-10.0M-69.9K5.688.20N/AN/A1911,08434,77034,442
2020-09-29$11.05$10.0082.0%23.5%58.9%23.3%71.9%3.4%12.9%126.2K-13.4M-67.8K0.079.06N/AN/A1,58810634,66434,200
2020-09-30$10.78$10.0081.2%23.3%59.1%22.9%80.3%-0.7%14.8%69.1K-11.3M-69.9K1.0937.45N/AN/A13314535,87736,033