BB Options History — December 2017

In December 2017, BB traded between $10.20 and $12.16. ATM implied volatility averaged 40.9%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 8.0% (HV 20d: 32.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2017-12-20: Highest Volume — 88,904 contracts
  • 2017-12-20: Largest IV drop — 33.6% change
  • 2017-12-19: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.91$10.20$12.16$10.77$11.18
Max Pain$9.05$9.00$10.00$10.00$9.00
ATM IV40.9%29.5%51.7%43.8%29.5%
Expected Move11.2%8.2%14.7%8.2%8.3%
HV 20d32.9%23.1%49.5%23.1%48.8%
HV 60d33.8%23.0%35.7%23.0%34.9%
Term Structure-1.6%-4.6%1.6%-1.7%1.6%
VWIV39.9%29.0%52.3%29.0%29.3%
Skew 25d0.8%-1.5%2.3%1.1%-0.7%
Skew 10d1.9%-1.9%5.6%5.6%-1.0%
Call IV 25d41.9%29.7%53.6%45.6%30.5%
Put IV 25d42.7%29.8%53.6%46.7%29.8%
Bid-Ask Spread %4.002.546.423.182.54
Gamma HHI0.210.170.260.180.26
Net GEX4.2M2.7M6.4M3.9M5.8M
Net DEX-129.5M-232.1M-81.7M-129.1M-137.6M
Net VEX-707.1K-786.3K-650.8K-707.6K-724.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.140.630.290.31
Total Volume25,036.959,89788,90412,77116,124
Total OI474,087.25407,948489,780485,575478,856

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$10.77$10.0043.8%8.2%23.1%0.0%29.0%1.1%-1.7%3.9M-129.1M-707.6K0.293.189,8822,889357,881127,694
2017-12-04$10.46$9.0046.2%12.5%23.9%0.0%43.8%1.2%-1.2%4.0M-104.4M-684.4K0.182.5712,8422,264354,259126,850
2017-12-05$10.35$9.0044.9%12.2%23.9%0.0%43.2%0.7%-2.4%3.9M-91.6M-657.1K0.144.0413,6761,956355,750127,556
2017-12-06$10.20$9.0043.7%12.2%24.0%0.0%42.7%0.3%-1.6%3.5M-81.9M-650.8K0.163.7017,4002,756357,371127,444
2017-12-07$10.29$9.0045.3%12.4%24.3%0.0%44.6%0.3%-2.2%3.5M-86.3M-665.1K0.353.667,3342,563356,301127,600
2017-12-08$10.26$9.0044.5%12.1%24.3%0.0%44.1%1.6%-1.7%2.7M-81.7M-657.6K0.323.337,9432,540357,661127,374
2017-12-11$10.57$9.0044.9%12.4%26.9%0.0%44.6%1.8%-1.2%3.0M-104.8M-674.3K0.633.737,8444,950349,198126,782
2017-12-12$10.66$9.0048.8%13.3%26.9%0.0%48.2%1.7%-2.3%3.1M-112.2M-687.9K0.194.1915,1592,824351,628128,772
2017-12-13$10.66$9.0049.1%13.2%24.6%0.0%47.4%0.8%-3.9%3.2M-116.5M-711.6K0.276.2610,4792,838355,650129,307
2017-12-14$10.68$9.0047.7%13.0%24.5%0.0%46.8%2.1%-3.0%3.2M-114.6M-686.2K0.213.6815,0393,133359,295129,778
2017-12-15$10.85$9.0044.8%12.2%25.0%0.0%43.8%2.3%-3.5%2.9M-119.9M-674.5K0.376.4227,94110,270359,472130,308
2017-12-18$10.95$9.0046.4%13.1%24.7%0.0%47.9%-1.5%-1.1%3.2M-119.5M-692.2K0.303.7417,8675,351297,709110,239
2017-12-19$10.85$9.0051.7%14.7%24.9%0.0%52.3%-0.0%-4.6%3.2M-116.9M-708.6K0.204.3768,14113,372308,281112,053
2017-12-20$12.16$9.0034.3%9.8%46.0%0.0%34.4%1.0%-0.8%5.5M-232.1M-778.3K0.165.4576,62512,279343,632120,709
2017-12-21$11.80$9.0031.8%9.2%47.6%0.0%32.2%1.1%-1.8%6.4M-205.7M-786.3K0.405.0125,83410,359355,559124,402
2017-12-22$11.61$9.0029.6%8.5%48.2%0.0%30.1%-0.2%-0.2%6.1M-187.9M-775.6K0.432.6917,0637,331362,221125,969
2017-12-26$11.28$9.0030.9%9.1%49.5%0.0%32.6%0.6%-0.6%5.7M-150.4M-745.1K0.374.2116,5256,087350,038118,957
2017-12-27$11.23$9.0030.5%8.8%49.5%0.0%31.4%0.7%0.6%5.8M-143.8M-736.1K0.414.189,4333,880353,559119,868
2017-12-28$11.35$9.0029.6%8.4%48.5%0.0%29.8%0.8%0.4%6.1M-152.6M-738.2K0.353.117,3502,596354,654121,108
2017-12-29$11.18$9.0029.5%8.3%48.8%0.0%29.3%-0.7%1.6%5.8M-137.6M-724.2K0.312.5412,2933,831357,431121,425