BB Options History — July 2018

In July 2018, BB traded between $9.71 and $10.38. ATM implied volatility averaged 33.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.3% (HV 20d: 39.0%). Max pain ranged from $10.00 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 0.54.

Notable Days

  • 2018-07-19: Highest Volume — 49,365 contracts
  • 2018-07-19: Largest IV spike — 16.5% change
  • 2018-07-02: Highest IV Rank — 28.2%
  • 2018-07-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.07$9.71$10.38$9.90$9.83
Max Pain$11.31$10.00$12.50$10.00$10.00
ATM IV33.7%30.9%36.6%36.6%34.6%
Expected Move9.7%8.9%10.5%10.3%10.4%
HV 20d39.0%22.8%46.8%46.4%25.8%
HV 60d33.6%33.3%34.6%34.6%33.8%
IV Rank18.4%9.1%28.2%28.2%21.4%
IV Percentile15.4%4.8%30.5%29.2%22.7%
Term Structure0.1%-0.7%0.8%0.8%-0.6%
VWIV33.9%30.4%39.2%36.5%37.8%
Skew 25d-2.5%-9.4%0.9%-1.4%-0.6%
Skew 10d-4.0%-14.3%6.4%-2.4%-0.2%
Call IV 25d36.9%32.3%43.7%39.0%36.4%
Put IV 25d34.4%30.8%37.7%37.7%35.7%
Bid-Ask Spread %2.541.754.982.213.19
Gamma HHI0.210.180.290.220.21
Net GEX1.0M612.2K1.6M712.0K892.2K
Net DEX-5.2M-28.1M12.5M4.7M4.8M
Net VEX-945.5K-1.0M-890.6K-963.7K-930.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.150.990.430.34
Total Volume16,199.8577,10049,36515,23415,022
Total OI427,468.81415,839444,635424,095440,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$9.90$10.0036.6%10.3%46.4%28.2%36.5%-1.4%0.8%712.0K4.7M-963.7K0.432.2110,6374,597267,713156,382
2018-07-03$10.00$10.0035.6%9.8%45.2%24.8%33.1%-0.3%0.2%869.5K196.4K-964.4K0.753.407,9565,939270,253157,180
2018-07-05$9.81$12.5036.2%10.5%43.2%27.0%39.2%-1.2%-0.2%838.6K10.9M-909.6K0.801.876,4225,169272,748158,421
2018-07-06$9.91$12.5033.5%10.0%43.9%17.8%30.4%-0.1%0.2%793.3K8.2M-909.9K0.851.757,1926,115274,138158,177
2018-07-09$10.05$12.5033.6%9.8%44.7%18.0%37.6%-0.1%0.6%1.0M-580.8K-964.1K0.571.9610,0115,733264,993156,701
2018-07-10$10.07$12.5033.1%9.6%44.8%16.4%30.6%-0.4%0.4%1.2M-3.3M-964.9K0.722.257,9155,667269,087157,263
2018-07-11$9.88$12.5033.4%9.7%43.7%17.5%31.4%-1.4%0.6%1.1M7.3M-910.9K0.741.817,4285,493271,735157,425
2018-07-12$10.08$12.5032.1%9.3%44.8%13.3%32.4%-0.8%0.2%1.6M-7.2M-953.7K0.991.856,9956,919272,914155,677
2018-07-13$10.19$12.5031.7%9.1%45.5%11.7%31.7%0.0%-0.7%883.4K-8.9M-940.2K0.552.1210,6625,852274,102155,926
2018-07-16$10.10$12.5031.3%9.0%45.2%10.2%31.3%-8.3%0.5%968.8K-2.0M-906.7K0.561.776,0263,358266,129152,995
2018-07-17$10.13$12.5031.5%9.0%45.4%11.0%31.5%-7.2%0.2%1.1M-6.3M-950.5K0.411.995,4352,216267,678153,786
2018-07-18$10.02$12.5030.9%8.9%44.9%9.1%30.9%-9.4%0.5%1.1M2.1M-890.6K0.501.854,7392,361269,120154,181
2018-07-19$10.33$12.5036.0%10.4%46.8%26.4%37.3%-7.6%-0.7%1.0M-17.3M-955.3K0.152.5242,9856,380270,390154,298
2018-07-20$10.30$10.0034.7%9.9%46.7%21.9%34.6%-8.8%0.5%967.4K-28.1M-996.3K0.171.9325,3904,339287,989156,646
2018-07-23$10.38$10.0035.1%10.1%34.2%23.2%35.5%-0.8%-0.3%1.2M-25.1M-1.0M0.284.9812,7193,585266,958148,881
2018-07-24$10.23$10.0033.7%9.7%26.4%18.6%34.5%-1.1%-0.1%1.0M-16.0M-954.1K0.324.139,1252,935271,032151,171
2018-07-25$10.31$10.0032.8%9.4%26.4%15.6%33.3%0.9%-0.3%1.1M-18.2M-954.7K0.453.148,2053,681273,554151,941
2018-07-26$10.30$10.0032.3%9.3%22.8%13.9%33.0%-1.0%0.3%1.2M-20.6M-985.7K0.732.866,4864,756274,571153,510
2018-07-27$10.01$10.0032.7%9.3%25.3%15.1%32.9%-1.5%-0.0%1.3M-5.3M-950.6K0.812.8913,90711,229275,855153,775
2018-07-30$9.71$10.0035.9%10.4%27.3%25.9%37.4%-1.0%-0.7%612.2K12.5M-892.9K0.322.8414,1284,488271,657159,862
2018-07-31$9.83$10.0034.6%10.4%25.8%21.4%37.8%-0.6%-0.6%892.2K4.8M-930.9K0.343.1911,2013,821277,943162,088