EB Options History — October 2020

In October 2020, EB traded between $9.15 and $11.09. ATM implied volatility averaged 92.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 39.6% (HV 20d: 52.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 4.65.

Notable Days

  • 2020-10-15: Highest Volume — 16,238 contracts
  • 2020-10-14: Largest IV spike — 25.2% change
  • 2020-10-26: Highest IV Rank — 37.1%
  • 2020-10-26: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.96$9.15$11.09$11.09$9.16
Max Pain$10.57$10.00$12.50$10.00$10.00
ATM IV92.2%72.6%107.0%77.6%106.1%
Expected Move27.9%22.2%30.7%22.2%30.4%
HV 20d52.6%40.5%60.6%59.1%54.9%
HV 60d52.1%49.4%56.4%52.9%56.4%
IV Rank28.9%18.1%37.1%20.9%36.6%
IV Percentile53.6%32.1%67.1%39.3%65.9%
Term Structure-10.1%-18.8%21.0%21.0%-16.9%
VWIV98.9%78.7%107.1%78.7%105.8%
Skew 25d4.7%-4.2%10.9%-1.9%3.5%
Skew 10d16.0%-11.4%39.5%10.9%17.6%
Call IV 25d98.3%80.6%112.5%80.6%112.5%
Put IV 25d103.1%77.9%116.0%78.7%116.0%
Bid-Ask Spread %42.1010.1457.4210.1457.42
Gamma HHI0.320.240.430.330.37
Net GEX-13.6K-145.2K110.1K110.1K-30.0K
Net DEX-5.9M-14.3M-1.0M-14.3M-2.8M
Net VEX-61.8K-70.8K-51.8K-68.1K-67.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.650.0163.440.520.48
Total Volume2,231.63614416,2384962,395
Total OI63,75645,64978,53672,14957,302

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$11.09$10.0077.6%22.2%59.1%20.9%78.7%-1.9%21.0%110.1K-14.3M-68.1K0.5210.14N/AN/A32617035,92336,226
2020-10-02$10.58$10.0081.7%23.4%60.6%23.2%81.7%-4.2%15.7%45.3K-10.0M-68.8K0.9613.17N/AN/A16315636,15236,386
2020-10-05$10.19$10.0085.0%27.4%59.7%25.0%96.3%5.8%-9.4%564-6.9M-64.7K1.0538.86N/AN/A48350836,23136,393
2020-10-06$10.04$10.0084.8%28.2%55.6%24.9%98.5%3.3%-13.1%-13.8K-5.9M-63.6K1.3828.82N/AN/A32044336,36836,563
2020-10-07$10.19$10.0082.3%27.2%56.2%23.5%98.7%5.5%-9.1%-9.3K-6.7M-62.4K0.8646.34N/AN/A37832436,40636,852
2020-10-08$10.49$12.5076.8%27.9%57.6%20.4%97.1%7.7%-11.8%1.5K-10.1M-62.4K1.0457.24N/AN/A24825736,63237,258
2020-10-09$10.45$12.5072.6%27.8%57.5%18.1%98.2%5.1%-11.6%-29.9K-9.7M-61.8K0.4354.18N/AN/A2018736,60437,296
2020-10-12$10.38$12.5083.3%27.9%57.2%24.0%96.8%4.4%-13.5%-48.2K-8.8M-57.3K0.1443.55N/AN/A1,21716536,66537,354
2020-10-13$10.19$12.5078.8%28.7%57.2%21.6%102.6%8.9%-16.5%-111.3K-7.3M-56.5K0.6045.82N/AN/A60335936,65937,431
2020-10-14$10.01$12.5098.7%28.3%46.7%32.5%106.3%4.2%-16.3%-145.2K-4.7M-53.8K26.4337.42N/AN/A3178,37736,68637,730
2020-10-15$9.68$10.0094.0%27.0%46.7%29.9%101.4%5.3%-9.3%76.6K-1.9M-51.8K63.4442.13N/AN/A25215,98636,92236,617
2020-10-16$9.44$10.0094.3%27.0%46.2%30.1%95.4%4.3%-9.7%-48.2K-1.1M-56.6K1.4645.77N/AN/A32447237,01841,518
2020-10-19$9.15$10.0099.8%28.6%45.6%33.1%102.4%3.0%-11.9%-66.0K-1.0M-55.5K0.4949.12N/AN/A30315020,42825,221
2020-10-20$9.24$10.0099.5%28.5%45.9%32.9%101.8%9.4%-13.9%-58.5K-1.3M-56.1K0.5454.02N/AN/A31917220,53225,336
2020-10-21$9.28$10.0096.7%27.7%40.5%31.4%99.8%4.0%-10.5%-57.7K-1.6M-55.0K0.6136.06N/AN/A2,4691,50420,75125,486
2020-10-22$9.61$10.0098.9%28.3%43.2%32.6%99.5%4.5%-12.1%-32.9K-3.3M-60.6K0.4355.37N/AN/A83635623,10626,391
2020-10-23$10.49$10.00100.2%28.7%53.0%33.4%100.4%4.3%-12.5%31.6K-7.2M-60.2K0.0151.07N/AN/A3,1584523,51126,633
2020-10-26$9.93$10.00107.0%30.7%55.9%37.1%107.1%6.7%-18.8%21.1K-5.9M-66.5K0.4139.55N/AN/A1,73672026,21726,642
2020-10-27$9.97$10.00100.5%28.8%53.1%33.5%100.6%10.9%-13.5%26.5K-6.3M-69.5K0.4510.43N/AN/A1,39563227,74627,287
2020-10-28$9.77$10.00104.5%30.0%52.9%35.7%105.3%3.7%-13.6%10.8K-5.8M-70.8K0.4255.51N/AN/A44118529,06427,854
2020-10-29$9.84$10.00104.2%29.9%51.7%35.6%102.0%5.5%-15.4%27.5K-6.1M-70.5K0.2254.14N/AN/A1182629,25727,978
2020-10-30$9.16$10.00106.1%30.4%54.9%36.6%105.8%3.5%-16.9%-30.0K-2.8M-67.4K0.4857.42N/AN/A1,61877729,31327,989