EB Options History — November 2020

In November 2020, EB traded between $9.32 and $16.89. ATM implied volatility averaged 80.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 34.3% (HV 20d: 114.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2020-11-06: Highest Volume — 11,028 contracts
  • 2020-11-06: Largest IV drop — 35.0% change
  • 2020-11-05: Highest IV Rank — 43.4%
  • 2020-11-03: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.86$9.32$16.89$9.32$16.84
Max Pain$12.88$10.00$15.00$10.00$15.00
ATM IV80.1%66.4%118.3%114.0%68.6%
Expected Move22.4%19.0%33.6%32.7%19.7%
HV 20d114.4%54.3%134.8%54.3%127.0%
HV 60d81.2%55.3%90.3%55.8%89.7%
IV Rank22.3%14.7%43.4%41.0%15.9%
IV Percentile35.8%22.2%78.2%74.2%23.0%
Term Structure-4.7%-25.0%1.8%-22.1%-1.2%
VWIV79.9%67.2%117.7%116.1%67.2%
Skew 25d5.3%1.4%11.0%8.3%6.1%
Skew 10d14.4%-0.3%37.5%19.0%17.7%
Call IV 25d78.8%67.9%119.6%115.9%70.2%
Put IV 25d84.2%70.9%125.2%124.2%76.4%
Bid-Ask Spread %44.5716.6160.3854.5637.26
Gamma HHI0.280.230.360.360.28
Net GEX272.3K-18.8K387.0K-18.8K387.0K
Net DEX-26.1M-39.6M-3.5M-3.5M-35.1M
Net VEX-71.3K-78.0K-63.7K-68.8K-63.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.032.170.031.04
Total Volume2,841.65311,0281,2592,255
Total OI63,113.745,61276,08959,29945,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$9.32$10.00114.0%32.7%54.3%41.0%116.1%8.3%-22.1%-18.8K-3.5M-68.8K0.0354.56N/AN/A1,2263330,67528,624
2020-11-03$9.72$10.00117.3%33.6%56.6%42.8%117.7%5.6%-25.0%17.1K-5.6M-70.0K0.4153.95N/AN/A1405730,67528,624
2020-11-04$9.40$10.00112.2%32.2%57.3%40.0%112.8%10.9%-22.0%-8.1K-3.9M-67.6K0.1257.03N/AN/A2,41428831,35628,655
2020-11-05$10.51$10.00118.3%26.9%69.8%43.4%93.7%5.2%-8.6%96.4K-10.7M-76.4K0.4556.53N/AN/A1,20353833,33928,940
2020-11-06$9.93$10.0077.0%22.1%72.7%20.5%87.0%11.0%-2.1%94.9K-8.5M-66.8K0.6360.38N/AN/A6,7834,24534,87829,932
2020-11-09$13.34$10.0084.3%21.4%128.2%24.6%74.3%2.8%-2.8%371.9K-30.1M-78.0K0.1450.43N/AN/A6,54193336,31734,190
2020-11-10$12.64$12.5081.0%21.7%129.9%22.7%73.4%5.9%-3.4%325.6K-23.9M-74.4K0.5142.86N/AN/A1,63883034,90534,766
2020-11-11$12.88$12.5069.4%19.9%129.5%16.3%77.7%5.8%1.8%340.6K-25.2M-73.2K0.4147.14N/AN/A1,03242635,43635,488
2020-11-12$12.44$12.5070.5%20.2%129.6%17.0%70.8%3.7%-0.2%308.0K-22.5M-73.6K1.4853.71N/AN/A8521,25935,61236,395
2020-11-13$14.02$12.5072.7%20.8%134.1%18.2%74.7%4.3%-1.9%343.9K-31.7M-75.9K1.2345.90N/AN/A1,8112,22135,73837,373
2020-11-16$14.91$12.5070.1%20.1%133.4%16.7%69.6%5.7%-1.0%354.4K-35.6M-72.2K0.7744.01N/AN/A2,1811,67534,91038,421
2020-11-17$15.66$15.0071.4%20.5%133.6%17.5%72.4%3.9%-2.3%322.5K-36.1M-72.8K2.1727.35N/AN/A9552,07733,12539,291
2020-11-18$16.58$15.0067.4%19.3%133.8%15.2%70.0%4.3%0.3%263.0K-39.6M-74.3K0.1541.61N/AN/A7,9801,17632,83440,937
2020-11-19$16.27$15.0066.4%19.0%134.8%14.7%70.7%4.9%0.9%372.2K-38.1M-73.6K0.3555.47N/AN/A77127234,44541,596
2020-11-20$15.61$15.0068.9%19.8%134.8%16.1%69.4%5.3%-0.1%366.9K-34.1M-71.6K0.4856.25N/AN/A1,28861234,44941,640
2020-11-23$16.53$15.0068.3%19.6%132.4%15.7%69.8%1.4%-0.4%365.8K-33.0M-70.9K1.2719.30N/AN/A17021630,69414,918
2020-11-24$16.89$15.0068.3%19.6%132.2%15.7%68.5%5.1%-1.7%376.6K-35.2M-67.2K0.6446.84N/AN/A26717130,66615,022
2020-11-25$16.82$15.0067.9%19.5%131.6%15.5%71.4%3.1%-0.7%381.5K-34.9M-68.3K1.9316.61N/AN/A8316030,76314,979
2020-11-27$16.87$15.0068.0%19.5%131.6%15.6%71.2%3.5%-0.7%384.4K-35.0M-67.6K0.7124.22N/AN/A312230,78615,040
2020-11-30$16.84$15.0068.6%19.7%127.0%15.9%67.2%6.1%-1.2%387.0K-35.1M-63.7K1.0437.26N/AN/A1,1041,15130,78515,055