EB Options History — September 2023

In September 2023, EB traded between $9.50 and $10.32. ATM implied volatility averaged 46.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 11.2% (HV 20d: 35.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 15.98.

Notable Days

  • 2023-09-01: Highest Volume — 924 contracts
  • 2023-09-13: Largest IV drop — 18.7% change
  • 2023-09-12: Highest IV Rank — 23.6%
  • 2023-09-07: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.83$9.50$10.32$10.32$9.86
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.9%42.5%54.6%42.5%44.4%
Expected Move13.4%12.2%14.2%12.2%12.7%
HV 20d35.7%26.6%42.6%36.2%42.6%
HV 60d45.7%44.2%46.4%46.4%46.3%
IV Rank15.4%10.7%23.6%10.7%12.8%
IV Percentile7.4%1.6%26.2%1.6%3.2%
Term Structure7.1%1.9%12.5%3.5%12.5%
VWIV45.8%41.8%49.2%42.5%49.2%
Skew 25d6.5%-14.2%21.7%2.6%6.2%
Skew 10d11.1%-24.1%34.6%18.2%9.5%
Call IV 25d41.5%33.6%51.8%50.4%47.8%
Put IV 25d48.0%37.5%57.5%53.0%54.1%
Bid-Ask Spread %47.037.5294.2494.2474.94
Gamma HHI0.420.380.490.490.44
Net GEX-400-6.6K13.4K13.4K-6.6K
Net DEX-257.1K-677.5K82.4K-677.5K-298.2K
Net VEX-8.7K-9.7K-7.8K-9.7K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.980.00267.000.810.00
Total Volume119.909249240
Total OI5,840.95,6436,1245,6435,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$10.32$10.0042.5%12.2%36.2%10.7%42.5%2.6%3.5%13.4K-677.5K-9.7K0.8194.24N/AN/A5104143,4482,195
2023-09-05$10.04$10.0049.0%13.7%30.9%17.6%0.0%11.3%4.6%446-310.6K-9.5K0.0068.14N/AN/A003,2572,559
2023-09-06$9.71$10.0049.6%13.8%28.7%18.3%48.0%19.8%3.2%-2.1K-6.8K-9.1K0.0058.75N/AN/A44103,2572,559
2023-09-07$9.77$10.0049.2%14.2%29.0%17.9%0.0%21.7%1.9%1.2K-235.5K-9.6K0.0058.39N/AN/A003,4752,559
2023-09-08$9.59$10.0045.6%14.0%29.2%14.0%48.9%13.8%2.6%-483-57.8K-9.2K0.1426.75N/AN/A2843,4752,559
2023-09-11$9.57$10.0048.8%13.6%26.6%17.4%47.6%13.2%4.5%-1.1K-63.3K-8.9K0.2532.70N/AN/A99253,5032,551
2023-09-12$10.05$10.0054.6%14.1%32.6%23.6%41.8%9.9%2.5%6.3K-536.1K-9.4K0.167.52N/AN/A1933,5692,555
2023-09-13$9.79$10.0044.4%12.7%33.6%12.8%44.4%2.5%4.8%4.1K-141.5K-8.9K267.0025.51N/AN/A25343,5622,555
2023-09-14$9.77$10.0044.0%12.6%33.4%12.3%44.0%-0.7%8.5%6.2K-166.0K-8.6K1.1555.39N/AN/A20233,5632,416
2023-09-15$9.50$10.0045.2%13.0%32.7%13.6%45.2%-14.2%8.6%-3.4K82.4K-8.3K1.1627.00N/AN/A50583,5732,427
2023-09-18$10.05$10.0046.3%13.3%38.8%14.8%43.4%10.1%7.6%-196-479.8K-8.8K0.0426.60N/AN/A5423,3672,284
2023-09-19$9.91$10.0045.3%13.0%39.0%13.7%45.3%-1.1%10.5%-2.1K-365.0K-8.7K0.7566.56N/AN/A433,4172,284
2023-09-20$10.20$10.0045.9%13.2%40.4%14.4%45.9%15.4%9.9%841-606.1K-8.9K0.2565.72N/AN/A823,4212,287
2023-09-21$9.93$10.0046.8%13.4%39.8%15.3%47.8%4.5%8.4%-1.7K-389.7K-8.6K0.0055.62N/AN/A503,4242,288
2023-09-22$9.84$10.0045.3%13.0%39.3%13.8%45.3%6.8%10.3%-3.4K-300.4K-8.4K0.0043.09N/AN/A2803,4362,288
2023-09-25$9.77$10.0047.8%13.7%39.1%16.4%47.8%13.2%10.5%-4.1K-237.9K-8.3K0.0042.60N/AN/A403,4352,288
2023-09-26$9.52$10.0049.2%14.1%40.0%17.9%49.2%-7.2%7.6%-4.9K-40.5K-7.9K0.0056.32N/AN/A5503,4362,287
2023-09-27$9.75$10.0047.1%13.5%41.0%15.6%0.0%1.5%10.6%-4.6K-210.9K-8.1K0.0027.45N/AN/A103,4642,287
2023-09-28$9.59$10.0047.0%13.5%41.2%15.6%0.0%0.1%10.2%-5.8K-101.2K-7.8K0.0027.38N/AN/A203,4662,287
2023-09-29$9.86$10.0044.4%12.7%42.6%12.8%0.0%6.2%12.5%-6.6K-298.2K-8.0K0.0074.94N/AN/A003,4682,287