BB Options History — November 2019

In November 2019, BB traded between $5.26 and $5.62. ATM implied volatility averaged 46.6%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 16.7% (HV 20d: 29.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2019-11-22: Highest Volume — 21,304 contracts
  • 2019-11-26: Largest IV spike — 60.4% change
  • 2019-11-26: Highest IV Rank — 100.0%
  • 2019-11-22: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.49$5.26$5.62$5.48$5.58
Max Pain$6.88$5.00$7.50$5.00$5.50
ATM IV46.6%34.6%88.4%35.2%51.3%
Expected Move15.3%10.5%17.3%10.5%16.1%
HV 20d29.9%23.6%35.7%35.2%34.8%
HV 60d62.1%61.4%63.0%62.2%61.8%
IV Rank44.6%16.1%100.0%17.9%37.4%
IV Percentile62.3%27.8%100.0%30.2%87.3%
Term Structure2.7%-4.7%16.7%0.7%-2.0%
VWIV55.6%37.5%62.0%37.5%57.2%
Skew 25d-0.8%-7.1%1.6%1.6%-2.7%
Skew 10d-6.6%-33.1%3.5%-7.6%-6.2%
Call IV 25d47.7%35.9%63.6%37.1%56.0%
Put IV 25d46.9%36.0%64.0%38.7%53.3%
Bid-Ask Spread %2.601.759.472.252.23
Gamma HHI0.250.210.380.210.24
Net GEX490.5K355.9K687.3K417.5K517.8K
Net DEX14.3M10.1M21.9M13.4M11.0M
Net VEX-426.4K-460.2K-357.6K-433.5K-443.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.121.660.491.66
Total Volume9,313.753,28121,30414,78812,983
Total OI496,486.5484,645514,366503,237514,366

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$5.48$5.0035.2%10.5%35.2%17.9%37.5%1.6%0.7%417.5K13.4M-433.5K0.492.259,9394,849363,883139,354
2019-11-04$5.62$7.5037.4%15.5%35.7%24.3%56.5%0.1%0.1%482.9K10.1M-452.6K0.421.7510,5494,408354,787138,353
2019-11-05$5.54$7.5036.1%14.9%31.6%20.4%53.1%-0.3%1.1%427.0K16.3M-405.6K0.312.708,6652,671354,906138,592
2019-11-06$5.54$7.5036.3%15.1%31.3%21.0%56.0%-1.0%1.3%462.7K12.1M-460.2K0.242.763,682900356,049139,099
2019-11-07$5.53$7.5035.5%14.7%31.1%18.7%58.3%0.7%-0.2%529.8K13.3M-435.3K0.352.973,2341,122357,788139,655
2019-11-08$5.54$7.5034.6%14.3%26.0%16.1%50.4%0.1%0.8%553.6K12.7M-442.6K0.362.346,6112,366357,605139,801
2019-11-11$5.56$7.5035.8%15.0%24.3%19.7%52.5%-1.5%16.2%426.3K13.0M-453.7K0.372.222,394887353,685137,436
2019-11-12$5.62$7.5035.8%15.0%24.4%19.7%55.9%0.0%16.7%434.4K11.6M-447.4K0.122.086,138737355,364137,109
2019-11-13$5.54$7.5035.9%15.0%23.6%20.0%60.5%-2.0%16.4%492.2K13.5M-432.0K0.682.642,5681,757356,184137,075
2019-11-14$5.38$7.5039.1%14.8%25.8%29.3%52.2%-1.0%15.8%438.2K16.3M-420.2K0.411.977,0992,940356,581136,776
2019-11-15$5.46$7.5040.7%14.6%24.7%34.0%50.8%1.0%15.9%687.3K14.8M-423.1K0.161.913,678596357,962136,658
2019-11-18$5.27$7.5050.6%15.6%27.3%62.9%56.0%1.1%-3.0%355.9K20.0M-392.8K0.522.025,0562,607351,494133,151
2019-11-19$5.35$7.5053.6%15.9%27.5%71.8%57.8%1.1%-4.5%395.2K16.8M-419.6K0.152.364,818736353,525134,159
2019-11-20$5.26$7.5059.0%16.9%28.2%87.4%61.8%-2.1%-4.7%391.1K18.2M-413.7K0.482.013,8091,815356,109134,525
2019-11-21$5.34$6.5059.1%17.2%28.4%87.7%62.0%0.7%-3.9%403.6K21.9M-357.6K0.342.465,9212,000357,902135,480
2019-11-22$5.62$6.5059.2%17.3%33.4%87.9%60.6%-1.2%-3.5%482.5K13.0M-412.1K0.151.8418,5942,710361,432136,215
2019-11-25$5.48$5.5055.1%16.5%34.5%76.1%59.3%-2.3%-3.2%624.9K12.1M-439.0K0.309.4711,1453,347364,338135,776
2019-11-26$5.52$5.5088.4%16.0%34.5%100.0%58.0%-7.1%-3.3%664.3K12.2M-442.7K1.002.165,8325,833367,730137,952
2019-11-27$5.60$5.5052.8%15.6%34.8%40.1%56.4%-2.0%-1.7%623.8K13.6M-401.8K0.991.855,6815,598368,887141,987
2019-11-29$5.58$5.5051.3%16.1%34.8%37.4%57.2%-2.7%-2.0%517.8K11.0M-443.2K1.662.234,8758,108369,634144,732