EB Options History — September 2021

In September 2021, EB traded between $16.70 and $19.60. ATM implied volatility averaged 52.8%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 9.3% (HV 20d: 43.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-09-27: Highest Volume — 5,759 contracts
  • 2021-09-20: Largest IV spike — 21.9% change
  • 2021-09-20: Highest IV Rank — 18.2%
  • 2021-09-20: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.94$16.70$19.60$17.15$18.96
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV52.8%46.8%59.7%49.1%56.7%
Expected Move15.2%14.1%17.1%14.1%16.3%
HV 20d43.5%38.9%51.5%46.5%39.1%
HV 60d46.9%45.0%48.9%45.3%45.4%
IV Rank8.6%0.1%18.2%3.4%14.0%
IV Percentile13.5%0.4%27.4%1.2%25.4%
Term Structure9.8%2.7%14.1%2.7%9.6%
VWIV53.6%49.6%60.0%50.2%56.8%
Skew 25d6.3%1.3%13.0%5.4%3.8%
Skew 10d18.9%-9.9%37.7%7.6%-9.9%
Call IV 25d52.5%42.1%59.0%50.7%57.0%
Put IV 25d58.8%54.5%66.0%56.2%60.8%
Bid-Ask Spread %51.8432.0178.8678.8650.06
Gamma HHI0.330.300.420.320.42
Net GEX376.9K282.9K596.5K292.6K596.5K
Net DEX-13.8M-20.0M-9.8M-11.2M-19.8M
Net VEX-65.9K-74.8K-59.9K-65.7K-74.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.012.000.130.42
Total Volume578.048215,759232260
Total OI22,420.09520,69526,54421,71426,544

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$17.15$17.5049.1%14.1%46.5%3.4%50.2%5.4%2.7%292.6K-11.2M-65.7K0.1378.86N/AN/A2062619,1372,577
2021-09-02$17.18$17.5048.1%14.6%45.0%2.0%50.9%5.0%8.9%301.8K-11.3M-65.8K2.0065.97N/AN/A71419,2792,589
2021-09-03$17.19$17.5046.8%14.6%44.9%0.1%50.9%6.7%9.2%303.8K-11.1M-65.3K1.1650.50N/AN/A435019,3452,613
2021-09-07$17.55$17.5051.7%14.8%44.3%7.1%50.1%7.6%8.8%320.9K-12.4M-66.5K0.2637.68N/AN/A1383619,3442,620
2021-09-08$16.70$17.5053.3%15.3%47.8%9.3%54.0%4.1%7.1%282.9K-9.8M-60.8K0.1957.77N/AN/A961819,3402,603
2021-09-09$17.29$17.5052.6%15.1%48.7%8.3%57.9%7.6%8.2%317.8K-11.1M-63.4K0.7634.73N/AN/A584419,3012,612
2021-09-10$17.02$17.5053.2%15.2%49.0%9.1%57.1%6.2%7.9%299.5K-10.7M-62.5K0.1637.97N/AN/A1652619,3912,627
2021-09-13$17.78$17.5054.4%15.6%51.5%10.8%52.7%10.5%6.1%355.1K-12.6M-64.4K0.2849.34N/AN/A2266419,3922,669
2021-09-14$17.96$17.5053.9%15.4%47.4%10.1%53.2%6.5%7.7%357.8K-13.2M-64.3K0.6853.50N/AN/A1057119,2702,690
2021-09-15$17.70$17.5052.0%14.9%43.6%7.5%52.8%8.1%8.7%356.2K-12.4M-63.5K0.1251.84N/AN/A66819,3902,717
2021-09-16$17.72$17.5052.2%15.0%43.4%7.7%51.9%7.0%12.0%359.0K-12.5M-62.6K0.2632.01N/AN/A1624219,3572,737
2021-09-17$17.56$17.5049.0%14.1%41.3%3.3%49.6%7.0%14.1%477.2K-12.1M-61.8K0.1550.41N/AN/A1,36521019,4002,739
2021-09-20$17.22$17.5059.7%17.1%41.6%18.2%60.0%7.2%8.2%300.3K-11.0M-59.9K0.3561.64N/AN/A2508718,5392,156
2021-09-21$17.86$17.5056.1%16.1%39.1%13.2%55.6%6.4%11.7%364.2K-13.3M-65.0K0.0464.95N/AN/A2521119,7092,160
2021-09-22$18.20$17.5053.4%15.3%38.9%9.4%51.2%6.5%13.7%379.3K-14.3M-66.2K0.0362.92N/AN/A3471019,7332,249
2021-09-23$18.81$17.5049.4%14.2%40.0%3.8%50.1%13.0%14.1%408.1K-16.2M-68.4K0.4446.64N/AN/A1426219,9102,259
2021-09-24$18.88$17.5050.0%14.3%40.0%4.7%50.4%3.7%12.8%408.0K-16.7M-68.7K0.0257.00N/AN/A477820,0962,268
2021-09-27$19.60$17.5054.9%15.8%41.1%11.5%55.3%1.3%11.3%421.0K-19.5M-70.5K0.0157.97N/AN/A5,7273220,1632,329
2021-09-28$19.51$17.5056.4%16.2%39.1%13.6%57.4%3.7%11.4%419.4K-19.1M-70.4K0.1746.82N/AN/A69712220,2502,335
2021-09-29$18.97$17.5056.0%16.1%40.9%13.1%56.8%4.4%10.9%594.2K-20.0M-74.8K0.1939.99N/AN/A3436624,0342,349
2021-09-30$18.96$17.5056.7%16.3%39.1%14.0%56.8%3.8%9.6%596.5K-19.8M-74.2K0.4250.06N/AN/A1837724,0762,468