BB Options History — October 2019

In October 2019, BB traded between $4.89 and $5.33. ATM implied volatility averaged 40.7%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 33.4% (HV 20d: 74.1%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-10-11: Highest Volume — 20,260 contracts
  • 2019-10-15: Largest IV drop — 7.7% change
  • 2019-10-02: Highest IV Rank — 51.3%
  • 2019-10-02: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.16$4.89$5.33$5.13$5.27
Max Pain$5.04$5.00$5.50$5.50$5.00
ATM IV40.7%36.7%46.6%44.6%37.0%
Expected Move11.7%10.7%13.7%13.2%11.0%
HV 20d74.1%32.7%97.8%97.8%32.7%
HV 60d61.7%60.3%62.4%60.5%62.1%
IV Rank33.8%22.1%51.3%45.3%23.3%
IV Percentile50.0%35.7%69.0%64.3%38.5%
Term Structure-0.5%-3.0%1.3%-1.0%-0.6%
VWIV41.5%37.2%50.6%46.5%39.1%
Skew 25d-1.7%-11.3%3.1%0.1%-0.6%
Skew 10d0.5%-9.6%11.6%-9.0%5.1%
Call IV 25d46.3%38.5%59.0%46.5%39.5%
Put IV 25d44.5%38.5%51.5%46.6%38.8%
Bid-Ask Spread %2.341.464.182.702.42
Gamma HHI0.250.180.350.180.23
Net GEX459.8K348.5K616.5K378.8K511.9K
Net DEX19.4M12.6M23.1M19.6M16.2M
Net VEX-398.0K-431.7K-355.7K-408.7K-431.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.121.910.340.12
Total Volume11,038.8263,75620,2609,2736,133
Total OI500,819.522485,808509,147497,566501,756

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$5.13$5.5044.6%13.2%97.8%45.3%46.5%0.1%-1.0%378.8K19.6M-408.7K0.342.706,9462,327367,835129,731
2019-10-02$5.03$5.5046.6%13.7%96.8%51.3%50.6%1.4%-0.5%348.5K22.3M-388.8K0.381.809,9123,795370,547129,491
2019-10-03$5.10$5.0045.6%13.1%94.2%48.4%44.9%-1.8%0.2%400.8K19.9M-398.2K0.511.898,2344,174373,599130,090
2019-10-04$5.16$5.0045.7%13.1%94.8%48.5%45.7%1.7%-2.7%461.0K17.4M-428.9K0.192.314,981928376,230132,917
2019-10-07$5.11$5.0044.5%12.6%94.5%45.1%44.1%-0.4%0.5%467.5K18.1M-415.2K0.142.048,2691,189366,806130,895
2019-10-08$4.89$5.0044.5%12.9%93.7%45.0%45.1%0.4%0.7%379.4K22.8M-373.1K0.132.0213,9851,836368,190131,301
2019-10-09$4.98$5.0044.1%12.3%91.6%44.0%42.9%3.1%-1.5%500.0K20.7M-389.3K0.263.0512,5393,265372,039130,985
2019-10-10$5.07$5.0044.6%12.6%92.5%45.2%44.1%0.3%-0.6%584.3K17.2M-406.1K0.592.864,7002,758374,873132,139
2019-10-11$5.33$5.0041.7%12.0%95.3%36.8%41.9%1.0%0.4%554.1K12.6M-426.5K0.504.1813,4856,775376,209132,616
2019-10-14$5.21$5.0041.7%12.0%94.5%36.9%39.9%-9.9%0.9%570.9K16.4M-417.8K0.272.304,2331,141367,548131,888
2019-10-15$5.23$5.0038.5%11.0%94.6%27.5%38.4%-10.3%0.7%577.8K17.0M-416.7K0.152.133,269487369,859132,246
2019-10-16$5.12$5.0038.0%10.9%94.5%26.0%38.0%-5.9%-0.3%616.5K19.5M-404.7K1.472.084,1666,126370,683132,096
2019-10-17$5.21$5.0037.4%10.7%95.1%24.4%37.2%-11.3%1.1%508.8K16.5M-413.9K0.433.473,9661,706371,845135,483
2019-10-18$5.10$5.0038.7%11.0%95.0%28.1%38.3%-8.1%1.3%428.2K22.7M-359.6K0.672.546,6364,442372,217135,914
2019-10-21$5.21$5.0038.6%10.8%96.0%27.9%39.4%0.7%-3.0%527.4K17.5M-409.3K1.912.126,31012,036356,963128,845
2019-10-22$5.16$5.0038.2%10.9%40.6%26.7%40.2%-0.1%0.1%445.3K22.3M-372.9K1.331.936,4048,497359,033136,552
2019-10-23$5.20$5.0039.0%11.0%36.8%28.9%39.5%0.1%-1.3%447.0K22.0M-378.8K0.682.418,3815,723361,312139,033
2019-10-24$5.16$5.0038.5%11.0%36.7%27.4%41.1%0.8%-1.0%368.9K18.0M-408.4K1.001.917,3307,301364,118139,415
2019-10-25$5.20$5.0037.5%10.9%34.5%24.6%40.6%1.4%-2.5%357.3K19.9M-391.5K0.562.809,5375,381364,319138,740
2019-10-28$5.29$5.0036.7%10.8%35.1%22.2%39.3%-1.6%-0.5%375.4K22.1M-369.5K0.571.465,0252,852354,125137,347
2019-10-29$5.27$5.0036.8%10.8%33.9%22.6%39.7%1.0%-0.7%372.9K21.4M-388.7K0.781.833,7512,907355,648139,312
2019-10-30$5.28$5.0036.7%11.0%32.9%22.1%38.8%-2.1%-0.4%393.4K23.1M-355.7K0.131.638,9051,150356,906139,153
2019-10-31$5.27$5.0037.0%11.0%32.7%23.3%39.1%-0.6%-0.6%511.9K16.2M-431.7K0.122.425,481652362,234139,522