BB Options History — September 2019

In September 2019, BB traded between $5.26 and $7.60. ATM implied volatility averaged 49.0%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 2.2% (HV 20d: 51.1%). Max pain ranged from $5.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2019-09-24: Highest Volume — 96,235 contracts
  • 2019-09-24: Largest IV drop — 11.8% change
  • 2019-09-23: Highest IV Rank — 73.1%
  • 2019-09-23: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.86$5.26$7.60$6.77$5.26
Max Pain$7.17$5.50$7.50$7.50$5.50
ATM IV49.0%44.2%54.1%50.7%44.4%
Expected Move13.5%9.9%16.3%10.6%12.8%
HV 20d51.1%30.2%98.1%30.2%97.7%
HV 60d41.8%30.2%60.7%35.9%60.7%
IV Rank58.1%44.3%73.1%63.1%44.9%
IV Percentile78.5%63.1%94.0%86.1%63.9%
Term Structure-1.7%-4.3%1.1%-1.7%-0.9%
VWIV47.3%34.2%57.1%37.4%45.8%
Skew 25d-2.6%-10.8%1.8%1.8%-0.2%
Skew 10d-4.5%-16.8%2.7%-2.1%-3.4%
Call IV 25d51.9%46.2%58.2%51.3%46.6%
Put IV 25d49.3%45.9%53.5%53.1%46.3%
Bid-Ask Spread %2.211.473.242.612.24
Gamma HHI0.350.180.790.270.18
Net GEX1.7M194.4K7.5M906.5K411.4K
Net DEX-12.3M-36.3M30.1M-1.4M20.0M
Net VEX-608.7K-705.0K-386.7K-595.8K-409.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.040.660.130.42
Total Volume18,260.52,81396,2354,70016,047
Total OI464,888.85424,116515,020446,121489,585

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$6.77$7.5050.7%10.6%30.2%63.1%37.4%1.8%-1.7%906.5K-1.4M-595.8K0.132.614,166534332,364113,757
2019-09-04$6.92$7.5049.8%9.9%31.0%60.6%34.2%0.7%-1.2%1.2M-6.8M-616.1K0.122.002,502311334,302113,887
2019-09-05$7.29$7.5048.0%12.8%35.9%55.4%44.8%0.7%-2.6%1.4M-22.0M-666.4K0.101.6611,6091,124335,304113,931
2019-09-06$7.19$7.5048.2%12.8%34.6%55.8%45.2%-0.4%-2.0%1.4M-21.3M-677.6K0.101.626,472655338,741114,548
2019-09-09$6.94$7.5050.2%13.8%36.7%61.7%48.1%-1.1%-1.2%1.2M-10.9M-645.7K0.122.437,558937336,121113,003
2019-09-10$7.13$7.5050.2%13.8%37.3%61.6%48.2%-2.4%-1.3%1.5M-15.3M-647.6K0.151.994,455667340,685113,714
2019-09-11$7.47$7.5049.9%13.8%40.0%60.8%48.1%-0.1%-1.9%1.8M-30.6M-683.5K0.221.8912,7932,782342,171114,097
2019-09-12$7.42$7.5051.3%14.1%37.6%65.0%49.3%-0.6%-2.8%2.1M-31.1M-700.3K0.101.688,386835345,933115,270
2019-09-13$7.47$7.5050.5%13.9%37.1%62.5%48.6%-0.5%-3.1%2.7M-30.9M-692.5K0.151.476,744988346,945115,430
2019-09-16$7.59$7.5049.4%13.9%36.5%59.4%48.6%-9.4%-2.4%2.1M-35.6M-700.1K0.171.7417,6113,082343,210114,502
2019-09-17$7.60$7.5049.8%14.1%36.4%60.5%49.3%-9.4%-2.3%2.2M-34.7M-693.6K0.042.6917,114638347,091116,965
2019-09-18$7.54$7.5049.6%14.2%36.3%60.0%49.6%-9.6%-3.4%2.4M-36.3M-705.0K0.142.296,441883349,723117,048
2019-09-19$7.55$7.5049.1%14.1%35.1%58.4%49.3%-10.8%-1.4%3.4M-34.7M-700.4K0.202.563,541724350,967117,407
2019-09-20$7.51$7.5049.5%14.4%35.0%59.7%50.4%-10.7%-2.6%7.5M-33.4M-695.2K0.102.3312,4921,253351,921117,538
2019-09-23$7.48$7.5054.1%16.3%34.7%73.1%57.1%0.8%-4.3%1.1M-25.3M-683.9K0.473.2423,75211,066310,322113,794
2019-09-24$5.82$7.5047.7%13.4%96.8%54.5%48.1%-0.0%-0.9%256.4K24.5M-432.7K0.662.6758,09138,144329,745123,304
2019-09-25$5.52$6.5044.7%13.2%98.1%45.6%47.3%0.1%0.9%194.4K30.1M-386.7K0.552.3326,65714,639358,053136,391
2019-09-26$5.46$6.0044.2%13.2%97.9%44.3%46.2%0.6%0.5%281.3K25.2M-421.4K0.392.0914,4565,581375,292139,728
2019-09-27$5.26$5.5047.7%14.2%97.5%54.4%50.2%-1.5%1.1%326.4K23.8M-421.2K0.232.6215,8713,609378,007136,981
2019-09-30$5.26$5.5044.4%12.8%97.7%44.9%45.8%-0.2%-0.9%411.4K20.0M-409.1K0.422.2411,3004,747361,674127,911