BB Options History — January 2018

In January 2018, BB traded between $12.00 and $14.39. ATM implied volatility averaged 40.0%. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 24.7% (HV 20d: 64.7%). Max pain ranged from $9.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2018-01-03: Highest Volume — 117,985 contracts
  • 2018-01-03: Largest IV spike — 11.7% change
  • 2018-01-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.37$12.00$14.39$12.00$12.68
Max Pain$12.17$9.00$12.50$9.00$12.50
ATM IV40.0%37.0%43.5%37.8%38.6%
Expected Move11.7%10.9%12.9%11.0%11.5%
HV 20d64.7%54.5%72.3%54.5%57.1%
HV 60d45.4%37.9%46.8%37.9%46.8%
Term Structure-0.1%-2.9%1.5%-0.8%0.5%
VWIV41.8%38.8%45.0%40.0%40.6%
Skew 25d-2.2%-4.3%-0.8%-1.1%-2.1%
Skew 10d-5.4%-14.0%1.9%-3.4%-6.0%
Call IV 25d42.8%38.8%46.3%40.0%41.3%
Put IV 25d40.6%37.1%43.5%38.9%39.2%
Bid-Ask Spread %3.602.525.972.994.46
Gamma HHI0.180.140.330.260.17
Net GEX4.7M3.0M6.4M6.3M3.4M
Net DEX-283.5M-437.0M-128.1M-217.2M-131.2M
Net VEX-1.0M-1.1M-791.9K-791.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.070.640.070.38
Total Volume42,01912,592117,98575,99212,592
Total OI474,747.952343,780580,968464,834367,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$12.00$9.0037.8%11.0%54.5%0.0%40.0%-1.1%-0.8%6.3M-217.2M-791.9K0.072.9970,6985,294347,018117,816
2018-01-03$13.52$9.0042.3%12.9%66.2%0.0%45.0%-2.6%-0.6%5.1M-370.1M-925.9K0.144.40103,65314,332385,648120,043
2018-01-04$13.34$12.5040.5%11.5%66.4%0.0%42.5%-3.1%-0.5%6.4M-361.1M-953.4K0.222.6643,3169,708402,209126,405
2018-01-05$13.84$12.5041.8%12.6%66.1%0.0%43.5%-3.5%1.0%5.1M-399.6M-955.7K0.195.9770,70513,086404,713130,333
2018-01-08$14.13$12.5042.3%12.1%66.1%0.0%42.8%-2.7%-0.1%5.5M-413.0M-969.3K0.215.8135,8797,713405,224130,704
2018-01-09$14.39$12.5040.9%11.9%65.7%0.0%42.3%-0.9%0.1%5.5M-437.0M-943.8K0.354.4035,70712,465407,968132,532
2018-01-10$13.68$12.5041.2%11.8%69.7%0.0%42.7%-1.4%0.1%5.7M-366.5M-999.7K0.192.5240,8527,780411,992137,162
2018-01-11$13.42$12.5039.9%11.5%70.6%0.0%41.3%-2.9%0.3%5.9M-348.9M-1.0M0.643.0120,78313,276424,695139,156
2018-01-12$13.65$12.5039.6%11.5%70.5%0.0%41.6%-2.1%0.5%5.6M-372.5M-1.0M0.403.3921,6138,540428,542145,727
2018-01-16$13.81$12.5043.5%12.5%70.4%0.0%43.5%-2.9%-2.9%5.6M-383.3M-1.0M0.183.3756,6789,973422,434145,898
2018-01-17$13.68$12.5041.8%12.0%70.8%0.0%42.8%-1.7%-2.1%5.3M-368.3M-1.1M0.343.0718,5646,381429,876148,395
2018-01-18$13.28$12.5038.3%11.0%72.3%0.0%39.1%-4.3%-1.0%6.2M-330.8M-1.0M0.112.7851,0875,725430,871150,097
2018-01-19$13.29$12.5040.7%11.8%72.1%0.0%41.5%-1.3%-1.7%3.0M-322.9M-1.0M0.144.3532,7144,536425,148150,305
2018-01-22$13.28$12.5037.0%10.9%60.7%0.0%38.8%-1.6%0.9%3.5M-165.4M-1.1M0.302.7720,7016,268259,67884,102
2018-01-23$13.52$12.5037.0%10.9%59.5%0.0%40.6%-0.8%1.3%3.7M-181.3M-1.1M0.182.9220,8943,814264,72686,280
2018-01-24$13.26$12.5038.1%11.2%59.7%0.0%41.1%-1.8%0.7%3.8M-170.1M-1.1M0.482.7511,7735,599270,56287,570
2018-01-25$13.03$12.5038.0%11.0%58.9%0.0%39.9%-2.6%1.5%3.6M-156.1M-1.1M0.412.8711,9374,941275,04490,382
2018-01-26$13.41$12.5039.2%11.6%59.2%0.0%40.9%-2.4%0.6%3.3M-178.1M-1.1M0.213.2419,3163,978277,79691,485
2018-01-29$13.01$12.5041.0%12.1%60.8%0.0%43.7%-1.7%0.8%3.5M-151.5M-1.1M0.484.5910,9845,281264,55288,847
2018-01-30$12.59$12.5040.7%12.1%62.0%0.0%43.1%-1.5%-0.3%3.2M-128.1M-1.1M0.363.1817,1566,107268,47791,905
2018-01-31$12.68$12.5038.6%11.5%57.1%0.0%40.6%-2.1%0.5%3.4M-131.2M-1.1M0.384.469,1533,439272,10495,286