Statistics of Price Movements of Eaton Vance Enhanced Equity II (EOS)

The price movements of Eaton Vance Enhanced Equity II (ticker EOS) are summarized in five ways:

• Table 1. Statistics of daily price changes using the closing prices
• Table 2. Statistics of daily price changes using the closing and opening prices
• Table 3 – 7. Statistics of daily price changes when EOS opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
• Table 8 – 10. Statistics of stock price changes in the 20 days after EOS had a big price move
• Table 11. Statistics of daily price changes in the 20 days after EOS moved 5% with twice the 30-day average volume

The statistics are calculated using EOS's price data across 1,549 trading days from 2015 to 2020.

Table 1. Statistics of EOS one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 1,549 trading days, 52.1% of the time (807 days), EOS closed above the previous day's closing price. 40.6% of the time (628 days), it closed below the previous day's closing price. 7.3% of the time (113 days), it did not change.

Also see: VIX price movement study.

EOS Price Change (%)	Number of Days	% of Total Sessions
12 – 13%	1	0.06%
10 – 11%	1	0.06%
7 – 8%	1	0.06%
6 – 7%	2	0.13%
5 – 6%	2	0.13%
4 – 5%	1	0.06%
3 – 4%	9	0.58%
2 – 3%	30	1.94%
1 – 2%	145	9.37%
0 – 1%	615	39.73%
0%	113	7.30%
0 – -1%	463	29.91%
-1 – -2%	94	6.07%
-2 – -3%	43	2.78%
-3 – -4%	12	0.78%
-4 – -5%	5	0.32%
-5 – -6%	4	0.26%
-6 – -7%	2	0.13%
-7 – -8%	2	0.13%
-10 – -11%	1	0.06%
-12 – -13%	2	0.13%

Table 2. Statistics of EOS: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of EOS.

47.1% of the time (729 days), EOS closed above the opening price. 45.1% of the time (698 days), it closed below the opening price. 7.9% of the time (122 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
12 – 13%	1	0.06%
7 – 8%	1	0.06%
5 – 6%	3	0.19%
4 – 5%	3	0.19%
3 – 4%	3	0.19%
2 – 3%	11	0.71%
1 – 2%	101	6.52%
0 – 1%	606	39.12%
0%	122	7.88%
0 – -1%	545	35.18%
-1 – -2%	111	7.17%
-2 – -3%	27	1.74%
-3 – -4%	8	0.52%
-4 – -5%	3	0.19%
-5 – -6%	3	0.19%
-6 – -7%	1	0.06%

Table 3. One-day performance when EOS opened 5% higher than previous close

In the past 1,549 trading days, EOS opened more than 5% higher than the previous day's closing price 0 times. Of these days, NaN% (0 days) had closing prices above the opening price, and NaN% (0 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions

Table 4. Closing vs. open when EOS opened 4–5% higher

On 2 days, EOS opened 4–5% higher than the previous day's closing price. Of these days, 50.0% (1 days) had closing prices above the opening price, and 50.0% (1 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
7 – 8%	1	50.00%
-2 – -3%	1	50.00%

Table 5. Closing vs. open when EOS open 3 – 4% higher

1 times EOS opened 3 – 4% higher than the previous day's closing price. Among these days, 0.0% (0 days) closed above the opening price, 100.0% (1 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
-1 – -2%	1	100.00%

Table 6. Closing vs. open when EOS open 2 – 3% higher

10 times EOS opened 2 – 3% higher than the previous day's closing price. Among these days, 50.0% (5 days) closed above the opening price, 50.0% (5 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	10.00%
4 – 5%	1	10.00%
1 – 2%	1	10.00%
0 – 1%	2	20.00%
0 – -1%	3	30.00%
-1 – -2%	1	10.00%
-3 – -4%	1	10.00%

Table 7. Closing vs. open when EOS open 1 – 2% higher

56 times EOS opened 1 – 2% higher than the previous day's closing price. Among these days, 55.4% (31 days) closed above the opening price, 44.6% (25 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	1.79%
3 – 4%	1	1.79%
2 – 3%	2	3.57%
1 – 2%	10	17.86%
0 – 1%	17	30.36%
0 – -1%	15	26.79%
-1 – -2%	9	16.07%
-2 – -3%	1	1.79%

Table 8. Periods when EOS moved 15% or more

In this table, we track the price movements in the 20 days after EOS had a one-day price change of at least 15%.

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19

Table 9. Periods when EOS moved 10% or more

In this table, we track the price movements in the 20 days after EOS had a one-day price change of at least 10%.

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20200324	12%	6.9	11.3	5.3	12.6	19.2	20.0	22.9
20200319	10.3%	-1.3	9.8	14.3	8.1	15.6	22.4	23.2
20200316	-10.1%	2.3	-2.5	8.5	12.9	6.8	14.2	20.9
20200318	-12.5%	10.4	13.4	25.3	18.7	24.7	35.1	37.1
20200312	-12.7%	7.7	-13.4	-12.4	11.0	8.5	.9	14.4

Table 9a. EOS average price changes following a 10% up day

Of the 1,549 trading days from 2015 to 2020, there were 2 days in which EOS was up more than 10%. This table shows the average price changes over the 2 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	2.8	10.6	9.8	10.3	17.4	21.2	23.1

Table 9b. EOS average price changes following a 10% down day

Of the 1,549 trading days from 2015 to 2020, there were 3 days in which EOS was down more than -10%. This table shows the average price changes over the 3 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -10%	6.8	-.8	7.1	14.2	13.3	16.8	24.2

Table 10. Periods when EOS moved 5% or more

In this table, we track the price movements in the 20 days after EOS had a one-day price change of at least 5%.

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20200324	12%	6.9	11.3	5.3	12.6	19.2	20.0	22.9
20200319	10.3%	-1.3	9.8	14.3	8.1	15.6	22.4	23.2
20200313	7.7%	-10.2	-11.3	-8.9	.7	-4.6	.2	8.6
20200325	6.9%	5.7	3.4	-3.9	8.9	11.5	13.6	11.9
20200406	6.9%	2.4	8.4	9.1	11.8	9.9	11.5	13.4
20200302	5.9%	-.2	-1.9	-12.3	-25.9	-26.8	-24.8	-16.9
20200326	5.7%	-2.3	-7.4	-2.7	5.4	7.0	9.2	7.0
20200225	-5.2%	.0	-2.7	-3.5	-8.3	-19.8	-35.5	-34.7
20200401	-5.2%	.5	7.5	13.9	14.6	17.4	15.4	17.1
20180205	-5.4%	3.0	.6	4.8	7.1	5.3	7.5	5.7
20200227	-5.4%	-2.8	4.4	-5.6	-21.2	-21.9	-25.6	-17.3
20200309	-6.5%	2.7	-10.1	-27.7	-26.8	-7.3	-9.4	-15.7
20200311	-6.9%	-12.7	-13.5	-17.6	-8.3	-4.6	-9.8	-3.5
20150824	-7%	1.8	8.8	5.4	4.8	6.1	6.6	7.4
20200323	-7.1%	12.1	23.8	17.3	23.2	33.6	35.5	38.4
20200316	-10.1%	2.3	-2.5	8.5	12.9	6.8	14.2	20.9
20200318	-12.5%	10.4	13.4	25.3	18.7	24.7	35.1	37.1
20200312	-12.7%	7.7	-13.4	-12.4	11.0	8.5	.9	14.4

Table 10a. EOS average price changes following a 5% up day

Of the 1,549 trading days from 2015 to 2020, there were 7 days in which EOS was up more than 5%. This table shows the average price changes over the 7 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	.2	1.8	.1	3.1	4.6	7.5	10.0

Table 10b. EOS average price changes following a 5% down day

Of the 1,549 trading days from 2015 to 2020, there were 11 days in which EOS was down more than -5%. This table shows the average price changes over the 11 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	2.3	1.5	.8	2.5	4.4	3.2	6.3

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Also see: VIX price movement study.