EB Options History — December 2021

In December 2021, EB traded between $13.37 and $17.60. ATM implied volatility averaged 67.5%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 5.5% (HV 20d: 62.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2021-12-20: Highest Volume — 3,893 contracts
  • 2021-12-15: Largest IV drop — 20.0% change
  • 2021-12-03: Highest IV Rank — 90.2%
  • 2021-12-03: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.86$13.37$17.60$13.93$17.51
Max Pain$17.61$17.50$20.00$20.00$17.50
ATM IV67.5%50.7%89.1%74.6%50.7%
Expected Move18.8%14.5%25.6%21.4%14.5%
HV 20d62.0%48.6%68.6%54.5%48.6%
HV 60d50.8%47.6%52.3%48.6%50.6%
IV Rank44.3%8.6%90.2%59.4%8.6%
IV Percentile63.3%10.3%98.0%88.5%10.3%
Term Structure-1.1%-10.9%3.8%-9.0%3.8%
VWIV62.4%45.6%83.8%63.2%45.6%
Skew 25d9.0%4.5%24.5%11.3%5.7%
Skew 10d22.0%1.0%65.1%33.1%1.0%
Call IV 25d62.0%48.8%81.0%74.4%48.8%
Put IV 25d71.0%54.5%96.6%85.8%54.5%
Bid-Ask Spread %43.7920.3166.6166.6133.82
Gamma HHI0.320.270.450.310.27
Net GEX120.5K-72.0K273.7K34.6K229.6K
Net DEX-1.7M-6.8M3.8M3.4M-5.5M
Net VEX-34.7K-41.0K-29.1K-32.2K-32.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.136.271.600.20
Total Volume1,712.5456943,8931,3913,802
Total OI26,128.63620,37030,17929,61020,775

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$13.93$20.0074.6%21.4%54.5%59.4%63.2%11.3%-9.0%34.6K3.4M-32.2K1.6066.61N/AN/A53685521,7737,837
2021-12-02$13.99$17.5078.9%22.6%55.2%68.6%83.8%24.5%-10.9%42.8K2.9M-33.0K1.2250.73N/AN/A42051222,0597,804
2021-12-03$13.37$17.5089.1%25.6%55.8%90.2%81.7%15.6%-10.8%35.2K3.8M-29.1K0.8359.60N/AN/A46438322,1597,729
2021-12-06$14.34$17.5079.6%20.8%59.0%70.1%72.2%10.0%-4.5%41.7K1.9M-34.8K0.9350.11N/AN/A50046322,2097,775
2021-12-07$15.23$17.5072.1%20.0%63.9%54.1%67.0%5.1%-3.1%45.2K508.8K-37.2K0.5438.86N/AN/A64634722,2967,883
2021-12-08$15.88$17.5073.0%19.9%67.2%56.0%59.4%8.2%-2.5%74.9K-1.1M-39.7K0.8948.24N/AN/A36732722,1937,887
2021-12-09$15.50$17.5070.8%19.6%66.3%51.3%60.5%8.3%-2.1%38.5K-245.9K-39.0K0.9121.23N/AN/A38735222,1927,887
2021-12-10$15.32$17.5065.3%18.8%66.0%39.5%55.9%7.7%1.0%1.7K889.3K-34.1K0.9031.53N/AN/A39035222,2307,880
2021-12-13$15.33$17.5078.1%18.8%66.2%66.8%60.6%8.1%-0.1%-4.4K94.3K-34.5K0.9220.31N/AN/A38335422,2367,661
2021-12-14$15.27$17.5084.5%19.1%66.3%80.5%63.7%6.2%0.5%-32.1K624.9K-32.5K0.8938.37N/AN/A38334122,2107,660
2021-12-15$15.23$17.5067.6%19.4%66.5%44.5%68.4%8.5%-0.6%-72.0K435.5K-31.9K6.2744.37N/AN/A3762,35722,1817,661
2021-12-16$15.27$17.5067.0%19.2%66.5%43.3%64.9%7.8%-0.7%110.8K-534.5K-29.5K0.1747.56N/AN/A2,01934222,2375,725
2021-12-17$15.91$17.5068.0%19.5%68.6%45.4%71.3%9.6%-1.1%174.6K-1.9M-31.9K0.6540.57N/AN/A83353921,7295,718
2021-12-20$16.04$17.5068.3%19.6%65.3%46.1%63.6%6.5%-0.8%185.5K-3.0M-32.6K0.1335.45N/AN/A3,45344016,3234,047
2021-12-21$17.00$17.5062.8%18.0%65.2%34.4%61.8%4.5%0.6%261.2K-6.2M-41.0K0.1451.70N/AN/A2,60235917,6904,047
2021-12-22$17.45$17.5057.6%16.5%65.9%23.1%55.3%8.6%2.3%272.7K-6.7M-41.0K0.2147.13N/AN/A1,94640917,2754,028
2021-12-23$17.60$17.5056.3%16.2%65.9%20.6%55.1%8.5%2.9%273.7K-6.8M-40.4K0.2545.08N/AN/A1,93649117,0504,072
2021-12-27$17.47$17.5057.5%16.5%63.5%23.1%55.1%8.4%1.5%256.2K-6.1M-36.9K0.5240.90N/AN/A93948416,9754,113
2021-12-28$17.23$17.5056.0%16.1%59.0%19.9%58.8%9.6%3.1%222.8K-4.9M-34.4K0.4544.95N/AN/A92441816,9604,177
2021-12-29$16.88$17.5054.8%15.7%59.7%17.3%55.9%9.4%3.1%222.7K-4.6M-33.1K0.4758.01N/AN/A93543717,0444,178
2021-12-30$17.22$17.5052.6%15.1%48.6%12.6%49.9%5.7%3.5%235.9K-5.3M-33.3K0.1948.27N/AN/A2,42444917,0494,216
2021-12-31$17.51$17.5050.7%14.5%48.6%8.6%45.6%5.7%3.8%229.6K-5.5M-32.3K0.2033.82N/AN/A3,16963316,5564,219