EB Options History — January 2021

In January 2021, EB traded between $16.45 and $19.40. ATM implied volatility averaged 65.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 2.2% (HV 20d: 63.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2021-01-12: Highest Volume — 6,869 contracts
  • 2021-01-11: Largest IV spike — 15.6% change
  • 2021-01-11: Highest IV Rank — 19.5%
  • 2021-01-29: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$16.45$19.40$16.45$17.84
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV65.7%58.8%76.1%73.6%73.5%
Expected Move18.1%16.8%21.1%18.9%21.1%
HV 20d63.4%58.7%66.3%58.7%65.8%
HV 60d90.0%87.8%91.1%89.5%88.7%
IV Rank13.4%9.3%19.5%18.7%17.0%
IV Percentile14.8%6.3%29.4%27.8%27.0%
Term Structure10.7%5.7%14.0%5.7%10.1%
VWIV63.5%59.5%67.4%66.3%66.2%
Skew 25d4.6%1.8%7.9%5.3%7.9%
Skew 10d16.3%8.3%27.4%12.1%20.3%
Call IV 25d62.6%57.4%72.5%66.8%72.5%
Put IV 25d67.3%63.6%80.4%72.1%80.4%
Bid-Ask Spread %38.2013.4466.5022.4066.50
Gamma HHI0.440.220.600.220.44
Net GEX73.3K-71.6K329.4K280.4K-70.3K
Net DEX-18.3M-40.3M-4.4M-28.4M-4.4M
Net VEX-52.0K-57.0K-41.3K-41.3K-53.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.002.390.560.00
Total Volume1,321.7371226,8693,770784
Total OI29,592.36818,57439,56637,03019,443

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$16.45$17.5073.6%18.9%58.7%18.7%66.3%5.3%5.7%280.4K-28.4M-41.3K0.5622.40N/AN/A2,4191,35126,16510,865
2021-01-05$17.57$17.5069.0%18.3%61.3%16.1%66.3%5.5%7.4%268.8K-33.2M-46.3K0.1442.05N/AN/A85311927,05112,162
2021-01-06$18.30$17.5069.9%18.4%62.8%16.6%67.4%2.4%7.5%283.1K-36.1M-46.3K0.4434.41N/AN/A50422326,80412,228
2021-01-07$19.22$17.5063.9%18.1%64.9%13.3%63.1%4.0%6.7%325.8K-40.3M-45.6K0.2728.77N/AN/A45412226,82812,438
2021-01-08$18.89$17.5065.8%17.9%63.6%13.8%65.2%3.0%7.4%329.4K-38.5M-45.3K1.1828.08N/AN/A9721,14526,74012,543
2021-01-11$18.13$17.5076.1%18.4%65.3%19.5%64.3%2.0%7.9%278.4K-32.1M-47.0K0.7226.33N/AN/A3,0972,22725,90812,701
2021-01-12$18.14$17.5071.1%17.3%63.8%16.8%60.5%3.0%10.6%201.6K-27.0M-52.1K0.4859.78N/AN/A4,6472,22224,21314,988
2021-01-13$18.26$17.5060.3%17.3%62.8%10.8%59.5%6.8%11.2%-57.0K-22.9M-56.1K0.8929.45N/AN/A978622,31917,044
2021-01-14$18.07$17.5059.8%17.1%62.0%9.9%60.4%4.5%12.1%87.4K-21.5M-57.0K0.7232.89N/AN/A20814922,37817,137
2021-01-15$17.23$17.5058.8%16.8%64.1%9.3%59.5%5.1%13.6%-71.6K-15.6M-54.5K1.8449.71N/AN/A25045922,48717,079
2021-01-19$18.01$17.5061.0%17.5%66.3%10.6%62.6%6.7%13.2%-68.8K-4.4M-54.5K0.5518.63N/AN/A3531949,1599,415
2021-01-20$18.18$17.5062.9%18.0%66.3%11.6%62.3%7.7%10.9%-66.9K-4.7M-55.4K0.0429.88N/AN/A313139,2539,590
2021-01-21$18.56$17.5062.4%17.9%63.3%11.3%61.3%6.3%12.9%-59.8K-6.0M-56.2K0.2013.44N/AN/A102209,4369,600
2021-01-22$19.40$17.5059.9%17.2%62.4%10.0%62.9%1.8%14.0%-31.9K-7.8M-56.6K0.4053.08N/AN/A2711089,4549,618
2021-01-25$18.68$17.5063.3%18.2%63.1%11.4%63.2%3.5%13.7%-50.8K-6.3M-55.3K1.7233.65N/AN/A1632809,5659,524
2021-01-26$18.47$17.5064.1%18.4%63.1%11.7%62.6%4.5%13.4%-70.3K-5.7M-54.9K0.0727.03N/AN/A370259,5879,585
2021-01-27$18.32$17.5067.7%19.4%63.0%13.7%66.9%3.5%12.8%-62.8K-5.7M-55.4K1.2464.79N/AN/A931159,9149,588
2021-01-28$18.80$17.5064.7%18.5%63.0%12.0%65.7%4.8%12.8%-51.7K-6.8M-54.6K2.3965.01N/AN/A902159,9089,538
2021-01-29$17.84$17.5073.5%21.1%65.8%17.0%66.2%7.9%10.1%-70.3K-4.4M-53.7K0.0066.50N/AN/A78409,9219,522