BB Options History — August 2018

In August 2018, BB traded between $9.73 and $10.99. ATM implied volatility averaged 33.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.6% (HV 20d: 32.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-08-27: Highest Volume — 20,302 contracts
  • 2018-08-27: Largest IV spike — 10.0% change
  • 2018-08-29: Highest IV Rank — 50.5%
  • 2018-08-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.29$9.73$10.99$9.73$10.64
Max Pain$10.98$10.00$12.50$10.00$10.00
ATM IV33.8%29.6%43.1%33.4%42.7%
Expected Move9.2%8.8%9.8%9.6%9.5%
HV 20d32.2%25.7%35.7%25.7%32.5%
HV 60d35.3%32.8%36.4%33.7%35.7%
IV Rank18.9%4.6%50.5%17.4%49.1%
IV Percentile21.5%1.0%72.6%14.1%70.6%
Term Structure2.3%-1.1%9.8%-0.5%-0.0%
VWIV33.0%30.4%36.0%32.3%34.8%
Skew 25d-1.3%-2.6%0.2%-0.1%-1.5%
Skew 10d-3.5%-9.2%1.1%-3.4%-5.9%
Call IV 25d35.9%31.8%46.8%34.5%45.9%
Put IV 25d34.6%30.6%44.4%34.3%44.3%
Bid-Ask Spread %2.711.855.662.783.19
Gamma HHI0.180.160.410.200.17
Net GEX1.0M585.5K2.6M852.6K848.9K
Net DEX-17.0M-59.0M13.1M13.1M-34.2M
Net VEX-955.2K-1.0M-890.9K-890.9K-984.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.200.660.420.48
Total Volume12,490.2617,26020,30210,13012,853
Total OI440,878.174429,025448,055440,647447,521

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$9.73$10.0033.4%9.6%25.7%17.4%32.3%-0.1%-0.5%852.6K13.1M-890.9K0.422.787,1303,000278,713161,934
2018-08-02$9.99$10.0031.8%9.1%26.6%12.0%32.2%0.2%-0.6%1.3M-1.4M-945.6K0.533.257,9164,162281,019161,984
2018-08-03$10.03$10.0031.6%8.8%26.4%11.2%32.0%-1.1%0.2%2.6M-5.2M-942.3K0.372.779,2043,443283,254162,454
2018-08-06$10.19$12.5031.5%9.2%26.5%11.0%35.5%-0.7%0.5%724.7K-7.7M-946.5K0.632.076,3904,039275,357160,612
2018-08-07$9.80$12.5031.0%8.9%30.0%9.4%30.9%-2.6%1.2%621.4K8.9M-900.4K0.451.857,6923,440277,655161,185
2018-08-08$10.31$12.5029.8%9.1%34.5%5.4%32.5%-0.8%1.0%959.2K-18.5M-984.7K0.391.918,8393,434281,672162,208
2018-08-09$10.48$12.5030.4%9.3%34.2%7.3%35.1%-1.1%0.8%1.2M-25.8M-975.9K0.412.498,9373,626282,858162,158
2018-08-10$10.34$12.5031.2%9.2%34.5%9.9%32.2%-1.7%0.5%862.1K-19.7M-981.6K0.322.518,1262,605284,612163,199
2018-08-13$10.34$12.5030.9%9.4%34.3%8.9%34.0%-1.4%1.7%853.6K-15.9M-953.4K0.582.335,8313,361280,909160,887
2018-08-14$10.22$12.5029.6%8.9%34.6%4.6%31.7%-0.7%1.5%832.3K-9.6M-938.3K0.402.335,1932,067282,170161,691
2018-08-15$9.95$12.5032.3%9.6%35.7%13.8%33.5%-1.3%1.1%780.7K1.5M-925.9K0.361.867,0632,557282,870161,698
2018-08-16$10.06$12.5030.5%8.8%34.1%7.7%30.8%-2.5%0.5%1.1M-6.2M-936.9K0.241.909,7522,376285,342161,031
2018-08-17$10.08$10.0031.1%9.2%34.1%9.9%32.0%-1.9%1.4%585.5K-10.0M-937.4K0.291.939,1702,700286,795161,260
2018-08-20$10.13$10.0030.8%8.9%34.1%8.7%31.9%-0.6%9.3%615.8K-9.5M-934.5K0.352.706,9922,459272,117156,908
2018-08-21$10.12$10.0031.1%8.9%33.7%9.8%31.7%-1.6%9.2%663.4K-8.2M-929.8K0.362.786,8322,467273,458157,366
2018-08-22$10.15$10.0031.4%9.0%33.6%10.6%31.6%-0.7%9.8%702.6K-6.9M-905.1K0.385.666,6402,509275,155157,618
2018-08-23$10.32$10.0033.8%9.2%34.1%18.7%30.4%-2.0%8.6%1.0M-20.4M-949.3K0.443.708,8213,896275,677157,622
2018-08-24$10.59$10.0035.8%9.4%33.5%25.5%33.6%-0.8%8.2%919.8K-37.3M-990.5K0.202.9516,7533,357279,261157,508
2018-08-27$10.77$10.0039.4%9.3%31.5%37.6%33.3%-1.8%0.4%1.2M-43.4M-1.0M0.212.8316,7773,525277,404157,160
2018-08-28$10.99$10.0041.5%9.5%31.8%44.8%36.0%-1.8%-0.6%1.8M-59.0M-1.0M0.293.3915,3314,448282,489158,707
2018-08-29$10.82$10.0043.1%9.4%32.2%50.5%34.7%-0.9%-1.1%1.6M-48.1M-1.0M0.312.3413,7414,238282,729160,683
2018-08-30$10.60$10.0042.9%9.8%32.5%49.6%35.3%-2.4%0.1%1.2M-28.4M-960.3K0.662.788,1995,385283,478161,810
2018-08-31$10.64$10.0042.7%9.5%32.5%49.1%34.8%-1.5%-0.0%848.9K-34.2M-984.5K0.483.198,6674,186284,685162,836