BB Options History — September 2018

In September 2018, BB traded between $9.86 and $11.32. ATM implied volatility averaged 45.8%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.1% (HV 20d: 32.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-09-28: Highest Volume — 103,698 contracts
  • 2018-09-27: Largest IV drop — 16.0% change
  • 2018-09-06: Highest IV Rank — 67.7%
  • 2018-09-27: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.30$9.86$11.32$10.65$11.32
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV45.8%37.6%48.2%45.6%37.6%
Expected Move13.1%10.2%15.8%10.2%11.2%
HV 20d32.8%29.1%48.8%32.1%48.8%
HV 60d34.4%29.1%38.2%35.6%36.6%
IV Rank59.6%31.8%67.7%58.8%31.8%
IV Percentile79.6%42.1%87.1%81.1%42.1%
Term Structure-0.7%-3.3%21.2%-2.5%0.7%
VWIV47.5%37.3%57.1%37.3%40.3%
Skew 25d-4.2%-13.0%-0.7%-0.7%-2.5%
Skew 10d-8.3%-22.3%1.8%-3.0%-17.2%
Call IV 25d49.9%41.3%54.3%47.2%41.3%
Put IV 25d45.6%38.8%49.7%46.5%38.8%
Bid-Ask Spread %4.331.717.642.476.95
Gamma HHI0.220.160.320.160.17
Net GEX375.3K-193.3K1.4M985.9K1.4M
Net DEX-14.2M-76.9M8.5M-33.6M-76.9M
Net VEX-899.5K-998.0K-861.8K-995.1K-998.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.221.090.550.25
Total Volume16,984.2117,813103,69810,967103,698
Total OI435,810.579389,350452,312439,612432,230

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$10.65$10.0045.6%10.2%32.1%58.8%37.3%-0.7%-2.5%985.9K-33.6M-995.1K0.552.477,0983,869278,284161,328
2018-09-05$10.03$10.0047.5%10.9%36.3%65.2%38.7%-3.0%-0.9%444.7K-2.4M-919.1K0.422.9311,4404,785278,424161,962
2018-09-06$9.86$10.0048.2%12.7%31.7%67.7%45.7%-1.3%-2.2%364.3K8.5M-880.5K0.583.738,5174,900282,328163,768
2018-09-07$10.01$10.0047.8%12.8%31.6%66.4%45.5%-2.1%-2.4%588.2K1.2M-893.9K0.534.308,2524,378284,325164,992
2018-09-10$9.98$10.0046.2%12.8%31.3%61.0%47.0%-1.2%-0.9%204.7K2.5M-892.3K0.801.715,1794,163281,632164,398
2018-09-11$10.29$10.0046.1%13.0%33.4%60.5%46.7%-0.8%-0.6%315.1K-10.4M-894.6K0.694.826,0614,194282,866165,289
2018-09-12$10.31$10.0046.5%13.1%33.1%61.7%49.4%-1.8%-0.6%353.8K-12.1M-907.5K0.924.914,8914,515283,834165,691
2018-09-13$10.24$10.0045.5%12.7%31.6%58.5%48.8%-2.4%-1.5%294.2K-12.1M-908.9K1.093.964,2144,581285,198166,015
2018-09-14$10.31$10.0045.4%12.6%31.5%58.0%46.9%-2.2%-2.2%-57.1K-13.3M-888.9K0.492.557,7563,779286,124166,188
2018-09-17$10.14$10.0047.3%13.5%32.1%64.5%49.9%-13.0%-3.3%-193.3K-6.5M-894.1K0.714.685,1913,677280,856164,240
2018-09-18$10.25$10.0047.2%13.5%32.3%64.3%51.5%-11.7%-2.9%-152.9K-8.8M-868.7K0.925.055,3494,934282,240164,608
2018-09-19$10.18$10.0046.4%13.3%32.4%61.4%47.2%-11.6%-2.3%-149.3K-9.6M-898.4K0.883.055,0164,434283,362164,605
2018-09-20$10.30$10.0046.3%13.4%32.7%61.2%47.6%-9.4%-1.8%55.0K-15.7M-883.2K0.303.966,0581,799284,423164,797
2018-09-21$10.39$10.0046.6%13.7%32.3%62.2%48.3%-10.0%-3.2%440.4K-19.9M-899.2K0.294.6310,8423,133284,642165,632
2018-09-24$10.43$10.0047.0%14.5%30.9%63.5%49.8%-1.7%-2.3%466.9K-16.0M-868.4K0.226.2011,0122,437240,584148,766
2018-09-25$10.42$10.0047.0%14.3%30.2%63.5%51.1%-1.0%-2.3%590.4K-18.0M-870.2K0.443.375,4182,395246,390149,418
2018-09-26$10.35$10.0047.0%14.9%29.1%63.5%54.5%-0.9%-2.5%575.9K-15.1M-861.8K0.427.645,9662,477248,300150,402
2018-09-27$10.15$10.0039.5%15.8%29.3%38.0%57.1%-3.0%21.2%560.7K-11.2M-867.8K0.575.3423,14813,144250,800151,460
2018-09-28$11.32$10.0037.6%11.2%48.8%31.8%40.3%-2.5%0.7%1.4M-76.9M-998.0K0.256.9583,09620,602270,102162,128