Statistics of Price Movements of Eaton Vance Tax-Managed Buy-Write (ETB)

The price movements of Eaton Vance Tax-Managed Buy-Write (ticker ETB) 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 ETB 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 ETB had a big price move
• Table 11. Statistics of daily price changes in the 20 days after ETB moved 5% with twice the 30-day average volume

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

Table 1. Statistics of ETB 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, 49.1% of the time (760 days), ETB closed above the previous day's closing price. 43.4% of the time (672 days), it closed below the previous day's closing price. 7.5% of the time (116 days), it did not change.

Also see: VIX price movement study.

ETB Price Change (%)	Number of Days	% of Total Sessions
11 – 12%	1	0.06%
9 – 10%	1	0.06%
7 – 8%	1	0.06%
6 – 7%	1	0.06%
5 – 6%	2	0.13%
4 – 5%	3	0.19%
3 – 4%	5	0.32%
2 – 3%	29	1.87%
1 – 2%	123	7.95%
0 – 1%	594	38.37%
0%	116	7.49%
0 – -1%	506	32.69%
-1 – -2%	113	7.30%
-2 – -3%	34	2.20%
-3 – -4%	5	0.32%
-4 – -5%	4	0.26%
-5 – -6%	2	0.13%
-6 – -7%	3	0.19%
-7 – -8%	3	0.19%
-12 – -13%	1	0.06%
-13 – -14%	1	0.06%

Table 2. Statistics of ETB: 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 ETB.

46.1% of the time (714 days), ETB closed above the opening price. 46.4% of the time (718 days), it closed below the opening price. 7.6% of the time (117 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
8 – 9%	1	0.06%
7 – 8%	1	0.06%
6 – 7%	1	0.06%
5 – 6%	2	0.13%
4 – 5%	1	0.06%
3 – 4%	4	0.26%
2 – 3%	18	1.16%
1 – 2%	96	6.20%
0 – 1%	590	38.09%
0%	117	7.55%
0 – -1%	578	37.31%
-1 – -2%	101	6.52%
-2 – -3%	22	1.42%
-3 – -4%	12	0.77%
-4 – -5%	3	0.19%
-5 – -6%	1	0.06%
-8 – -9%	1	0.06%

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

In the past 1,549 trading days, ETB 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 ETB opened 4–5% higher

On 0 days, ETB opened 4–5% higher than the previous day's closing price. 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 5. Closing vs. open when ETB open 3 – 4% higher

3 times ETB opened 3 – 4% higher than the previous day's closing price. Among these days, 66.7% (2 days) closed above the opening price, 33.3% (1 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
0 – 1%	2	66.67%
-1 – -2%	1	33.33%

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

8 times ETB opened 2 – 3% higher than the previous day's closing price. Among these days, 25.0% (2 days) closed above the opening price, 75.0% (6 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
8 – 9%	1	12.50%
0 – 1%	1	12.50%
0 – -1%	4	50.00%
-1 – -2%	1	12.50%
-2 – -3%	1	12.50%

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

41 times ETB opened 1 – 2% higher than the previous day's closing price. Among these days, 39.0% (16 days) closed above the opening price, 61.0% (25 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
7 – 8%	1	2.44%
3 – 4%	1	2.44%
2 – 3%	2	4.88%
1 – 2%	3	7.32%
0 – 1%	9	21.95%
0 – -1%	12	29.27%
-1 – -2%	10	24.39%
-2 – -3%	2	4.88%
-3 – -4%	1	2.44%

Table 8. Periods when ETB moved 15% or more

In this table, we track the price movements in the 20 days after ETB 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 ETB moved 10% or more

In this table, we track the price movements in the 20 days after ETB 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	11%	6.9	19.0	11.9	20.3	26.7	24.2	25.5
20200318	-12.4%	.2	-.1	18.1	11.3	15.4	26.6	24.4
20200316	-13%	3.2	-11.7	-3.5	7.5	1.0	8.6	14.4

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

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

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	6.9	19.0	11.9	20.3	26.7	24.2	25.5

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

Of the 1,549 trading days from 2015 to 2020, there were 2 days in which ETB was down 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%	1.7	-5.9	7.3	9.4	8.2	17.6	19.4

Table 10. Periods when ETB moved 5% or more

In this table, we track the price movements in the 20 days after ETB 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	11%	6.9	19.0	11.9	20.3	26.7	24.2	25.5
20200326	9%	1.4	-4.4	-.8	8.8	6.8	8.8	7.1
20200302	7.3%	1.4	1.0	-9.7	-26.2	-33.2	-33.4	-21.2
20200325	6.8%	9.0	10.8	2.9	15.6	16.1	15.9	16.2
20181226	5%	1.1	3.5	6.0	10.5	9.8	12.1	10.6
20200406	5%	4.1	9.7	7.5	8.6	7.5	9.7	9.3
20200227	-5.1%	-4.1	7.1	-2.4	-14.0	-21.6	-32.9	-26.7
20200401	-5.9%	.4	8.0	13.8	11.5	12.7	11.5	13.8
20200309	-6.1%	2.4	-10.5	-29.6	-36.7	-18.1	-16.7	-22.7
20160120	-6.5%	1.0	6.6	10.8	8.8	4.9	1.4	7.3
20200311	-6.9%	-7.5	-15.7	-27.8	-21.1	-12.2	-17.5	-11.3
20200312	-7.5%	1.6	-20.2	-28.1	-7.1	-5.5	-12.2	-1.4
20150824	-7.7%	1.5	8.4	5.8	6.8	6.6	5.7	7.6
20200323	-7.9%	11.0	31.2	23.6	28.3	40.7	38.2	40.8
20200318	-12.4%	.2	-.1	18.1	11.3	15.4	26.6	24.4
20200316	-13%	3.2	-11.7	-3.5	7.5	1.0	8.6	14.4

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

Of the 1,549 trading days from 2015 to 2020, there were 6 days in which ETB was up more than 5%. This table shows the average price changes over the 6 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	4.0	6.6	3.0	6.3	5.6	6.2	7.9

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

Of the 1,549 trading days from 2015 to 2020, there were 10 days in which ETB was down more than -5%. This table shows the average price changes over the 10 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	1.0	.3	-2.0	-.5	2.4	1.3	4.6

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Also see: VIX price movement study.