EB Options History — December 2020

In December 2020, EB traded between $16.54 and $18.91. ATM implied volatility averaged 66.0%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 3.1% (HV 20d: 69.2%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-12-01: Highest Volume — 1,472 contracts
  • 2020-12-23: Largest IV drop — 7.2% change
  • 2020-12-07: Highest IV Rank — 17.7%
  • 2020-12-01: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.19$16.54$18.91$16.54$18.21
Max Pain$10.68$10.00$17.50$17.50$10.00
ATM IV66.0%62.1%71.8%67.7%62.1%
Expected Move18.8%17.8%19.4%19.4%17.8%
HV 20d69.2%45.7%128.3%128.1%45.7%
HV 60d88.4%86.5%90.1%89.6%86.5%
IV Rank14.5%12.3%17.7%15.4%12.3%
IV Percentile17.4%11.5%25.0%21.0%11.5%
Term Structure2.9%-2.5%7.8%0.5%1.2%
VWIV66.4%60.6%71.1%69.0%68.6%
Skew 25d3.6%0.7%7.0%7.0%3.8%
Skew 10d8.3%-9.3%27.8%-9.3%-0.2%
Call IV 25d65.4%60.4%68.4%68.0%61.2%
Put IV 25d69.0%65.0%75.1%75.1%65.0%
Bid-Ask Spread %22.9512.9747.2512.9722.90
Gamma HHI0.370.230.520.310.36
Net GEX313.9K258.5K379.6K327.6K292.9K
Net DEX-37.1M-41.1M-30.2M-30.2M-35.9M
Net VEX-53.6K-67.8K-42.9K-67.8K-43.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.031.580.090.03
Total Volume654.4551081,4721,472897
Total OI43,666.36436,12048,21945,92737,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$16.54$17.5067.7%19.4%128.1%15.4%69.0%7.0%0.5%327.6K-30.2M-67.8K0.0912.97N/AN/A1,35511729,78916,138
2020-12-02$17.45$17.5066.8%19.1%128.3%14.9%67.1%6.1%-2.5%306.7K-34.3M-63.8K1.0816.99N/AN/A53958229,46717,232
2020-12-03$17.31$10.0066.4%19.1%126.9%14.7%67.4%0.7%6.8%307.5K-33.5M-66.3K0.6625.29N/AN/A59439129,68117,254
2020-12-04$18.12$10.0068.7%18.8%123.5%16.0%65.2%3.3%5.4%335.9K-37.3M-66.2K0.6717.16N/AN/A23715829,92117,540
2020-12-07$18.43$10.0071.8%19.1%119.5%17.7%67.8%3.2%6.3%347.0K-39.2M-62.1K0.3932.01N/AN/A57322429,99017,678
2020-12-08$18.75$10.0068.8%18.8%67.4%16.1%64.8%3.4%7.4%357.9K-41.1M-59.8K0.1419.11N/AN/A2713729,84717,694
2020-12-09$18.04$10.0066.3%19.0%65.4%14.7%67.0%3.5%4.5%324.3K-36.9M-60.3K1.2518.59N/AN/A46257629,92117,705
2020-12-10$18.26$10.0065.6%18.8%65.4%14.2%67.8%2.9%6.0%336.8K-38.3M-57.8K0.4417.99N/AN/A2199629,80417,687
2020-12-11$17.59$10.0066.9%19.2%65.7%15.0%68.5%0.9%5.0%258.5K-34.5M-56.2K0.9421.34N/AN/A48845929,77217,736
2020-12-14$18.19$10.0067.1%19.2%54.0%15.1%68.1%5.1%5.5%293.6K-36.5M-56.6K0.1947.25N/AN/A1302529,62217,789
2020-12-15$18.71$10.0066.7%19.1%51.3%14.9%71.1%3.0%7.7%379.6K-40.7M-50.2K0.9526.03N/AN/A38236329,65717,788
2020-12-16$18.71$10.0065.3%18.7%49.4%14.1%66.6%1.8%7.8%308.3K-40.4M-48.2K0.0722.00N/AN/A1,0687829,54018,026
2020-12-17$18.61$10.0066.0%18.9%46.2%14.5%67.2%2.9%-0.4%282.2K-40.1M-48.4K0.8317.44N/AN/A715930,09418,076
2020-12-18$18.39$10.0065.7%18.8%45.8%14.3%63.8%4.8%0.2%324.4K-38.9M-49.6K0.2929.23N/AN/A842430,10018,119
2020-12-21$17.39$10.0067.2%19.3%48.0%15.2%67.5%2.2%0.3%315.1K-33.0M-47.1K1.5841.66N/AN/A55587526,09910,021
2020-12-22$18.36$10.0067.6%19.4%47.6%15.4%65.8%6.1%-1.0%292.2K-36.9M-48.2K0.4416.49N/AN/A1345926,43810,671
2020-12-23$18.91$10.0062.8%18.0%48.0%12.7%65.5%3.4%1.5%297.1K-39.2M-47.2K0.4030.79N/AN/A34814026,47410,704
2020-12-24$18.66$10.0063.1%18.1%48.4%12.9%60.6%5.5%0.3%304.9K-38.1M-46.7K0.2218.48N/AN/A1062326,50510,826
2020-12-28$18.83$10.0062.1%17.8%48.4%12.3%64.1%2.4%0.7%311.4K-38.9M-45.0K0.1015.78N/AN/A3343426,54610,840
2020-12-29$18.33$10.0065.3%18.7%49.7%14.1%64.1%5.5%-0.9%300.9K-36.4M-44.3K0.0419.17N/AN/A5091926,37910,866
2020-12-30$18.33$10.0062.7%18.0%49.0%12.7%62.9%2.0%1.8%300.0K-36.6M-42.9K0.0416.24N/AN/A6752826,48310,869
2020-12-31$18.21$10.0062.1%17.8%45.7%12.3%68.6%3.8%1.2%292.9K-35.9M-43.5K0.0322.90N/AN/A8673026,39610,876