BB Options History — October 2017

In October 2017, BB traded between $10.70 and $11.37. ATM implied volatility averaged 32.7%. The 30-day expected move averaged 9.6%. Max pain ranged from $10.00 to $10.00. Net GEX was positive for 12 of 12 trading days. Term structure was in contango for 8 of 12 days. Put/call ratio averaged 0.41.

Notable Days

  • 2017-10-20: Highest Volume — 33,644 contracts
  • 2017-10-30: Largest IV spike — 15.4% change
  • 2017-10-16: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.04$10.70$11.37$11.37$10.95
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.7%28.2%37.6%37.6%32.0%
Expected Move9.6%8.5%10.7%10.7%9.4%
Term Structure0.2%-1.7%2.1%-1.7%0.4%
VWIV34.0%30.2%38.0%32.7%33.5%
Skew 25d1.3%-0.1%2.0%2.0%1.9%
Skew 10d4.0%-0.9%15.2%15.2%3.4%
Call IV 25d32.9%28.1%36.6%36.6%32.0%
Put IV 25d34.1%29.6%38.6%38.6%33.9%
Bid-Ask Spread %4.793.288.748.745.15
Gamma HHI0.220.200.240.210.24
Net GEX4.9M4.5M5.2M5.0M5.2M
Net DEX-167.7M-215.3M-124.7M-215.3M-151.2M
Net VEX-842.2K-892.2K-798.0K-892.2K-805.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.200.760.300.35
Total Volume15,6826,79633,64418,8218,945
Total OI524,553499,211560,256543,756504,610

Daily Data (12 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-16$11.37$10.0037.6%10.7%0.0%0.0%32.7%2.0%-1.7%5.0M-215.3M-892.2K0.308.7414,4824,339398,473145,283
2017-10-17$11.28$10.0035.9%10.3%0.0%0.0%38.0%1.1%-0.9%5.0M-201.9M-885.4K0.225.5518,1434,031401,037147,429
2017-10-18$11.25$10.0035.3%10.1%0.0%0.0%36.7%0.4%-0.8%4.8M-203.5M-884.0K0.264.4314,1253,712408,959148,204
2017-10-19$11.21$10.0033.8%9.7%0.0%0.0%35.4%1.2%0.4%5.2M-191.9M-874.0K0.204.8318,8303,697407,975149,115
2017-10-20$11.12$10.0032.2%9.3%0.0%0.0%33.0%-0.1%0.1%4.7M-190.3M-865.4K0.244.0327,0456,599411,113149,143
2017-10-23$11.00$10.0032.7%9.4%0.0%0.0%34.1%1.2%0.1%4.7M-154.1M-836.5K0.643.285,8703,755368,709132,167
2017-10-24$11.01$10.0030.5%9.2%0.0%0.0%32.6%1.5%2.1%4.9M-156.1M-832.2K0.733.654,8023,524369,647132,970
2017-10-25$10.75$10.0030.5%9.1%0.0%0.0%32.5%1.0%0.9%4.5M-130.2M-803.6K0.503.676,9893,465370,784134,106
2017-10-26$10.74$10.0030.8%8.9%0.0%0.0%32.0%1.8%1.1%4.7M-130.7M-810.9K0.413.384,8221,974372,987134,280
2017-10-27$10.70$10.0028.2%8.5%0.0%0.0%30.2%1.4%-0.5%4.8M-124.7M-798.0K0.764.528,0326,106374,078134,356
2017-10-30$11.09$10.0032.6%10.4%0.0%0.0%36.8%1.7%1.5%5.1M-162.5M-819.2K0.286.2211,6423,255367,691131,520
2017-10-31$10.95$10.0032.0%9.4%0.0%0.0%33.5%1.9%0.4%5.2M-151.2M-805.5K0.355.156,6122,333372,337132,273