BB Options History — March 2018

In March 2018, BB traded between $11.50 and $13.24. ATM implied volatility averaged 52.5%. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 20.3% (HV 20d: 32.2%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-03-08: Highest Volume — 62,089 contracts
  • 2018-03-28: Largest IV drop — 23.1% change
  • 2018-03-27: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$11.50$13.24$12.11$11.50
Max Pain$12.36$11.00$12.50$11.00$12.50
ATM IV52.5%37.8%57.4%57.4%37.8%
Expected Move14.2%10.7%16.2%11.6%10.9%
HV 20d32.2%26.6%44.5%35.6%44.5%
HV 60d47.6%44.0%49.8%49.4%45.9%
Term Structure-1.2%-4.4%24.3%-3.5%-1.1%
VWIV51.4%38.8%57.5%43.1%39.4%
Skew 25d-0.6%-3.9%1.5%-1.4%-0.2%
Skew 10d-0.2%-9.8%14.4%-6.5%8.4%
Call IV 25d54.2%39.1%61.7%61.7%39.1%
Put IV 25d53.6%38.8%60.3%60.3%38.8%
Bid-Ask Spread %6.384.2215.225.616.30
Gamma HHI0.200.140.340.140.20
Net GEX3.1M1.5M5.6M2.5M1.5M
Net DEX-138.5M-205.4M-47.9M-108.9M-47.9M
Net VEX-1.2M-1.2M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.121.111.020.54
Total Volume30,055.71414,27962,08921,67758,275
Total OI440,832.762391,852490,133439,975425,739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$12.11$11.0057.4%11.6%35.6%0.0%43.1%-1.4%-3.5%2.5M-108.9M-1.1M1.025.6110,74910,928306,668133,307
2018-03-02$12.38$11.0054.3%10.7%36.0%0.0%38.8%0.2%-3.6%2.8M-124.9M-1.2M1.006.0611,51811,506309,069133,706
2018-03-05$12.40$12.5055.5%14.8%33.3%0.0%54.1%-0.5%-2.0%3.0M-128.5M-1.1M0.575.6712,9967,431306,879132,313
2018-03-06$12.44$12.5055.1%14.4%29.6%0.0%53.9%-0.0%-2.7%3.3M-135.1M-1.1M0.545.5310,5995,768312,780133,498
2018-03-07$12.50$12.5055.1%14.6%29.5%0.0%53.6%0.1%-3.2%3.6M-139.0M-1.1M0.454.229,8714,408315,596134,518
2018-03-08$12.86$12.5057.3%15.3%29.6%0.0%54.8%-1.4%-2.8%4.2M-169.1M-1.2M0.128.7755,3176,772317,653135,188
2018-03-09$12.87$12.5055.9%14.8%26.8%0.0%54.6%-3.9%-3.3%4.1M-179.1M-1.2M0.316.0521,8286,819335,889136,500
2018-03-12$12.85$12.5052.9%14.5%26.6%0.0%53.5%-1.6%-1.3%4.4M-171.9M-1.2M1.116.7816,64218,401329,238135,738
2018-03-13$12.62$12.5051.9%14.3%27.7%0.0%51.1%-1.6%-1.4%3.7M-148.2M-1.2M0.464.5913,4456,239333,962148,881
2018-03-14$12.79$12.5052.9%14.7%28.0%0.0%54.3%-1.0%-1.0%4.4M-163.7M-1.2M0.354.4017,0045,966332,869149,394
2018-03-15$13.24$12.5053.5%14.8%28.8%0.0%53.2%1.3%-2.4%5.6M-205.4M-1.2M0.236.3530,1666,812335,145149,786
2018-03-16$12.97$12.5050.7%14.1%30.1%0.0%51.0%-2.0%-2.6%2.0M-160.8M-1.2M0.286.0122,6026,284338,412151,721
2018-03-19$12.72$12.5056.8%16.0%31.2%0.0%56.8%-0.7%-2.2%1.9M-125.6M-1.2M0.517.4318,3639,374265,614133,409
2018-03-20$13.07$12.5050.9%14.5%32.4%0.0%51.5%-0.2%-2.7%2.8M-147.8M-1.2M0.297.0725,3187,438272,000134,686
2018-03-21$13.17$12.5049.0%14.1%32.3%0.0%49.9%-0.7%-2.5%3.4M-156.7M-1.2M0.415.7312,4185,085281,295136,841
2018-03-22$12.84$12.5052.9%15.4%32.6%0.0%54.4%-0.4%-4.4%2.8M-137.7M-1.2M0.317.5417,9815,488284,640137,921
2018-03-23$12.47$12.5055.4%16.2%29.7%0.0%57.5%0.7%-3.8%2.0M-112.0M-1.2M0.535.6117,9499,432287,755139,124
2018-03-26$13.08$12.5053.2%16.0%34.2%0.0%57.0%-1.7%24.3%2.5M-144.1M-1.2M0.264.6018,4134,750274,153117,699
2018-03-27$12.43$12.5053.2%16.2%38.7%0.0%56.0%1.5%-1.3%2.3M-108.8M-1.2M0.3315.2235,60711,575280,166120,060
2018-03-28$12.23$12.5040.9%11.4%38.7%0.0%40.3%-0.2%-1.4%2.3M-92.6M-1.2M0.404.4931,07112,562291,223126,453
2018-03-29$11.50$12.5037.8%10.9%44.5%0.0%39.4%-0.2%-1.1%1.5M-47.9M-1.1M0.546.3037,90620,369296,327129,412