EB Options History — November 2021

In November 2021, EB traded between $15.21 and $22.36. ATM implied volatility averaged 54.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 13.2% (HV 20d: 41.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2021-11-26: Highest Volume — 3,127 contracts
  • 2021-11-26: Largest IV spike — 32.1% change
  • 2021-11-26: Highest IV Rank — 54.7%
  • 2021-11-26: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.56$15.21$22.36$21.14$15.21
Max Pain$17.14$15.00$20.00$15.00$20.00
ATM IV54.5%47.9%72.4%53.3%71.0%
Expected Move15.5%13.7%20.8%15.3%20.3%
HV 20d41.3%30.2%54.4%32.8%49.0%
HV 60d41.5%38.4%45.5%41.4%45.5%
IV Rank15.5%2.6%54.7%9.3%51.6%
IV Percentile23.0%1.2%81.3%18.7%79.0%
Term Structure-2.0%-6.6%0.7%-2.0%-3.5%
VWIV55.0%43.8%72.8%50.6%70.1%
Skew 25d4.8%2.3%12.9%6.5%12.9%
Skew 10d7.9%-6.6%36.4%13.0%36.4%
Call IV 25d53.2%47.0%69.6%50.4%69.6%
Put IV 25d58.0%51.3%82.5%56.9%82.5%
Bid-Ask Spread %56.0321.4069.0266.3369.02
Gamma HHI0.350.310.420.350.32
Net GEX448.7K53.4K624.6K564.7K53.4K
Net DEX-15.7M-29.1M1.2M-22.7M1.2M
Net VEX-60.6K-74.7K-39.3K-74.7K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.196.761.110.55
Total Volume1,5007583,1271,3051,465
Total OI27,137.90525,35929,06226,68329,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$21.14$15.0053.3%15.3%32.8%9.3%50.6%6.5%-2.0%564.7K-22.7M-74.7K1.1166.33N/AN/A61868721,9024,781
2021-11-02$21.20$15.0051.6%14.8%32.6%6.9%50.2%4.1%-1.0%574.6K-23.0M-74.2K1.6461.65N/AN/A45975321,9684,783
2021-11-03$20.98$15.0052.8%15.1%33.0%8.6%53.9%2.8%-2.5%567.7K-22.0M-72.8K1.4763.17N/AN/A51175022,0374,787
2021-11-04$20.68$15.0055.2%14.5%30.2%11.9%54.9%5.4%-1.2%550.5K-20.7M-73.5K1.1761.13N/AN/A71584022,0494,788
2021-11-05$21.81$15.0052.9%14.6%34.4%8.7%53.7%4.3%-3.3%582.6K-26.1M-74.5K1.1167.44N/AN/A80388922,1524,802
2021-11-08$22.33$15.0055.4%15.1%34.7%18.5%57.3%3.0%-2.3%613.8K-29.0M-73.5K1.6162.36N/AN/A49179022,5364,842
2021-11-09$22.36$15.0054.7%15.1%34.7%17.0%55.2%3.0%-1.8%608.7K-29.1M-72.6K1.5463.56N/AN/A51679322,4804,845
2021-11-10$21.32$15.0052.6%15.1%39.4%12.6%53.8%2.3%-2.7%613.6K-24.2M-70.6K0.7557.63N/AN/A91368822,4864,831
2021-11-11$21.33$15.0050.5%14.5%39.0%8.1%51.5%3.5%-0.6%616.2K-23.8M-69.8K2.0360.67N/AN/A33768422,3214,873
2021-11-12$21.15$15.0052.4%15.0%39.1%12.3%54.3%3.6%-1.8%624.4K-23.0M-68.0K2.5554.57N/AN/A27670522,3204,873
2021-11-15$21.01$15.0052.6%15.1%39.2%12.6%58.6%4.6%-1.8%624.6K-22.3M-66.1K1.0344.81N/AN/A37438422,3224,892
2021-11-16$20.60$15.0049.7%14.3%39.9%6.5%49.2%3.5%-0.7%621.7K-19.8M-64.2K3.1548.93N/AN/A5231,64622,1804,981
2021-11-17$19.99$20.0048.1%13.8%40.2%3.1%43.8%4.9%0.7%601.1K-15.5M-62.2K1.4548.41N/AN/A34249722,2445,692
2021-11-18$19.26$20.0048.1%13.8%41.8%3.1%55.0%2.3%-0.7%477.2K-11.4M-57.9K0.1952.25N/AN/A2,32744222,2385,602
2021-11-19$18.01$20.0047.9%13.7%47.3%2.6%48.9%5.6%0.4%270.3K-6.6M-49.8K0.4050.83N/AN/A1,31353122,4145,550
2021-11-22$16.89$20.0049.7%14.3%51.4%6.5%49.9%4.1%-1.1%203.3K-3.0M-40.9K1.0621.40N/AN/A60264020,3145,045
2021-11-23$16.93$20.0052.4%15.0%50.7%12.2%52.5%8.8%-1.9%200.4K-3.2M-43.3K0.5146.24N/AN/A94948420,6895,204
2021-11-24$17.02$20.0054.8%15.7%51.0%17.3%54.3%2.9%-1.4%213.7K-3.6M-43.7K0.5159.55N/AN/A95448320,6575,244
2021-11-26$16.24$20.0072.4%20.8%51.8%54.7%72.8%8.4%-5.4%178.8K-2.3M-41.6K6.7661.69N/AN/A4032,72421,1935,244
2021-11-29$15.26$20.0065.8%18.9%54.4%40.6%63.9%4.2%-6.6%61.5K629.5K-39.9K2.6254.98N/AN/A33186821,2127,461
2021-11-30$15.21$20.0071.0%20.3%49.0%51.6%70.1%12.9%-3.5%53.4K1.2M-39.3K0.5569.02N/AN/A94651921,1887,874