BB Options History — November 2017

In November 2017, BB traded between $10.24 and $10.99. ATM implied volatility averaged 37.4%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 14.3% (HV 20d: 23.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2017-11-17: Highest Volume — 28,933 contracts
  • 2017-11-27: Largest IV spike — 15.9% change
  • 2017-11-14: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$10.24$10.99$10.78$10.78
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV37.4%32.5%45.2%33.5%44.1%
Expected Move9.3%8.0%10.7%9.6%8.2%
HV 20d23.1%20.6%25.6%23.3%23.2%
Term Structure1.6%-3.4%12.7%2.4%-2.5%
VWIV32.9%27.7%37.9%33.7%29.2%
Skew 25d1.5%-0.3%8.8%1.5%0.6%
Skew 10d2.3%-3.0%24.4%-3.0%-2.9%
Call IV 25d38.0%33.1%45.9%33.6%45.5%
Put IV 25d39.5%33.4%47.6%35.1%46.1%
Bid-Ask Spread %6.082.5722.327.834.09
Gamma HHI0.240.180.300.240.18
Net GEX4.4M2.7M5.4M4.6M4.3M
Net DEX-125.8M-158.9M-84.8M-134.6M-130.6M
Net VEX-724.1K-801.3K-645.2K-789.3K-721.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.110.510.210.41
Total Volume14,425.9527,87628,93313,07413,977
Total OI494,993.048461,545514,077505,209482,837

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$10.78$10.0033.5%9.6%0.0%0.0%33.7%1.5%2.4%4.6M-134.6M-789.3K0.217.8310,7882,286372,820132,389
2017-11-02$10.71$10.0032.5%9.7%0.0%0.0%34.1%0.2%0.2%4.9M-130.3M-785.4K0.184.0416,1542,939376,419132,651
2017-11-03$10.95$10.0035.3%8.9%0.0%0.0%32.4%8.8%-1.5%5.2M-158.9M-801.3K0.3722.3216,2695,963380,074132,216
2017-11-06$10.99$10.0033.7%10.1%23.3%0.0%36.5%1.8%2.0%5.4M-157.6M-794.8K0.216.028,5581,829377,822132,731
2017-11-07$10.84$10.0035.0%10.1%22.9%0.0%37.1%2.5%-0.1%5.4M-142.5M-793.0K0.276.827,5132,016378,870133,006
2017-11-08$10.81$10.0034.4%10.0%22.2%0.0%36.1%1.6%-0.0%5.4M-143.1M-788.7K0.284.437,4792,107379,963133,159
2017-11-09$10.77$10.0033.8%9.8%21.6%0.0%35.7%1.6%0.5%4.9M-134.0M-761.2K0.515.866,7053,440380,951132,995
2017-11-10$10.79$10.0034.9%10.1%21.0%0.0%32.3%0.9%0.9%5.2M-138.0M-764.8K0.416.555,8922,406381,554132,523
2017-11-13$10.69$10.0034.9%10.0%20.6%0.0%37.9%-0.3%10.9%5.2M-128.5M-736.5K0.485.495,3072,569376,696131,380
2017-11-14$10.38$10.0037.1%10.7%22.6%0.0%36.8%1.8%7.7%4.1M-101.7M-693.9K0.385.318,5423,231377,704131,244
2017-11-15$10.34$10.0036.0%10.3%22.6%0.0%36.1%1.7%9.3%3.9M-96.1M-690.7K0.324.249,7863,124378,104130,198
2017-11-16$10.39$10.0034.4%9.4%22.8%0.0%32.6%0.5%8.4%3.2M-103.8M-688.9K0.454.7810,6854,774379,716129,870
2017-11-17$10.29$10.0036.9%9.3%22.8%0.0%31.9%0.5%12.7%2.7M-94.5M-648.8K0.1110.5526,1502,783381,552130,619
2017-11-20$10.24$10.0039.6%8.8%22.7%0.0%30.3%1.7%-2.4%3.4M-84.8M-645.2K0.253.818,9892,255337,748123,797
2017-11-21$10.55$10.0039.8%8.3%25.6%0.0%29.6%0.8%-2.4%4.2M-107.5M-674.8K0.325.259,1422,898340,621123,843
2017-11-22$10.74$10.0042.4%8.0%25.2%0.0%27.7%1.2%-3.4%4.4M-125.4M-684.7K0.223.6212,8042,810343,489124,132
2017-11-24$10.79$10.0036.0%8.1%25.2%0.0%28.3%1.9%-2.1%4.1M-130.1M-672.4K0.398.318,8163,459346,589124,465
2017-11-27$10.89$10.0041.7%8.1%25.4%0.0%28.4%1.3%-2.7%4.2M-137.3M-684.8K0.162.5816,2752,667342,711124,072
2017-11-28$10.94$10.0043.6%8.7%21.9%0.0%32.2%0.9%-1.9%4.1M-142.9M-702.6K0.283.2411,0793,095345,330124,850
2017-11-29$10.65$10.0045.2%8.9%23.4%0.0%31.9%0.9%-2.2%4.1M-118.9M-682.4K0.132.5722,5442,840347,301125,843
2017-11-30$10.78$10.0044.1%8.2%23.2%0.0%29.2%0.6%-2.5%4.3M-130.6M-721.9K0.414.099,9214,056356,269126,568