BB Options History — December 2019

In December 2019, BB traded between $5.38 and $6.53. ATM implied volatility averaged 50.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 12.7% (HV 20d: 37.4%). Max pain ranged from $5.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2019-12-20: Highest Volume — 75,089 contracts
2019-12-20: Largest IV drop — 28.7% change
2019-12-19: Highest IV Rank — 61.5%
2019-12-19: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.84	$5.38	$6.53	$5.49	$6.39
Max Pain	$7.21	$5.50	$7.50	$5.50	$7.50
ATM IV	50.1%	33.5%	65.6%	52.6%	34.5%
Expected Move	14.6%	9.6%	19.1%	16.9%	9.6%
HV 20d	37.4%	29.4%	50.4%	32.7%	47.3%
HV 60d	50.9%	31.6%	61.8%	61.8%	38.5%
IV Rank	35.4%	7.5%	61.5%	39.6%	9.2%
IV Percentile	72.7%	18.3%	99.6%	89.3%	28.2%
Term Structure	-2.5%	-11.8%	2.1%	-2.0%	0.9%
VWIV	55.8%	32.4%	79.1%	60.7%	32.4%
Skew 25d	-4.8%	-15.2%	-0.1%	-2.0%	-0.8%
Skew 10d	-10.4%	-35.2%	-3.5%	-6.1%	-4.8%
Call IV 25d	55.3%	36.0%	78.1%	55.3%	36.0%
Put IV 25d	50.5%	33.6%	67.9%	53.3%	35.2%
Bid-Ask Spread %	2.37	0.81	16.10	2.57	2.11
Gamma HHI	0.25	0.18	0.58	0.25	0.26
Net GEX	645.7K	306.5K	2.4M	446.2K	802.5K
Net DEX	4.7M	-27.9M	19.3M	15.4M	-1.9M
Net VEX	-483.5K	-537.6K	-419.0K	-447.3K	-502.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.13	0.93	0.93	0.25
Total Volume	15,635.476	4,044	75,089	7,326	6,383
Total OI	537,152.19	516,094	583,551	516,094	517,518

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-12-02	$5.49	$5.50	52.6%	16.9%	32.7%	39.6%	60.7%	-2.0%	-2.0%	446.2K	15.4M	-447.3K	0.93	2.57	3,790	3,536	366,133	149,961
2019-12-03	$5.38	$5.50	53.5%	18.1%	32.0%	41.1%	65.2%	-2.6%	-2.5%	350.4K	18.3M	-439.8K	0.18	16.10	4,205	770	366,119	152,110
2019-12-04	$5.42	$5.50	52.3%	18.1%	31.8%	39.1%	65.6%	-2.4%	-1.9%	388.1K	18.1M	-438.5K	0.83	2.04	2,995	2,473	366,621	152,466
2019-12-05	$5.38	$7.50	52.1%	14.0%	31.9%	38.8%	65.5%	-2.4%	-3.1%	359.1K	19.3M	-437.1K	0.13	1.25	3,592	452	367,465	153,400
2019-12-06	$5.40	$7.50	51.8%	14.1%	32.0%	38.3%	52.7%	-2.0%	-3.2%	306.5K	18.6M	-440.3K	0.24	1.42	7,919	1,925	368,443	153,409
2019-12-09	$5.44	$7.50	51.2%	14.2%	32.1%	37.4%	55.7%	-1.4%	-1.5%	368.0K	17.1M	-437.9K	0.17	1.38	8,129	1,416	367,797	152,555
2019-12-10	$5.38	$7.50	51.9%	14.3%	32.2%	38.5%	50.2%	-0.1%	-1.8%	354.7K	18.8M	-419.0K	0.45	1.42	2,889	1,300	370,842	153,176
2019-12-11	$5.56	$7.50	56.1%	15.8%	34.3%	45.5%	64.4%	-2.6%	-1.3%	477.7K	11.5M	-457.7K	0.38	1.89	10,166	3,905	373,246	153,991
2019-12-12	$5.67	$7.50	59.8%	17.1%	34.6%	51.7%	65.4%	-2.1%	-0.6%	525.0K	5.0M	-488.8K	0.59	1.63	25,200	14,890	378,283	156,519
2019-12-13	$5.64	$7.50	61.2%	17.5%	32.8%	54.2%	67.1%	-3.6%	-0.5%	434.5K	5.7M	-507.8K	0.34	1.80	12,707	4,259	386,344	165,167
2019-12-16	$5.70	$7.50	63.4%	18.1%	32.6%	57.8%	71.2%	-12.3%	-7.9%	486.1K	3.2M	-513.9K	0.69	2.05	7,970	5,530	384,727	165,225
2019-12-17	$5.68	$7.50	62.8%	17.9%	29.5%	56.8%	73.2%	-12.3%	-6.7%	476.3K	5.0M	-507.4K	0.35	1.61	5,373	1,863	389,435	168,362
2019-12-18	$5.65	$7.50	64.3%	18.4%	29.4%	59.4%	79.1%	-13.2%	-6.8%	461.1K	5.5M	-504.4K	0.13	1.50	12,074	1,523	391,619	169,242
2019-12-19	$5.79	$7.50	65.6%	19.1%	29.4%	61.5%	71.4%	-10.1%	-5.6%	547.2K	267.5K	-513.5K	0.22	1.56	26,206	5,788	397,758	170,118
2019-12-20	$6.53	$7.50	46.8%	14.4%	50.4%	29.8%	50.6%	-15.2%	-11.8%	2.4M	-27.9M	-537.6K	0.25	0.81	60,163	14,926	408,882	174,669
2019-12-23	$6.49	$7.50	35.6%	10.0%	48.3%	10.9%	41.6%	-3.8%	0.4%	865.9K	-11.6M	-527.1K	0.13	1.82	21,592	2,781	375,258	165,100
2019-12-24	$6.36	$7.50	34.0%	9.7%	47.9%	8.3%	34.4%	-4.2%	1.3%	866.5K	-5.2M	-516.5K	0.16	1.63	9,074	1,487	378,138	166,717
2019-12-26	$6.42	$7.50	34.4%	10.0%	47.9%	9.0%	37.5%	-3.9%	0.0%	1.0M	-9.0M	-510.0K	0.19	1.74	5,752	1,069	377,152	165,790
2019-12-27	$6.40	$7.50	34.3%	9.8%	48.0%	8.8%	35.0%	-1.9%	-0.1%	771.0K	-6.3M	-509.4K	0.16	1.80	9,583	1,546	378,628	165,712
2019-12-30	$6.42	$7.50	33.5%	9.7%	47.8%	7.5%	33.3%	-1.8%	2.1%	789.6K	-2.4M	-497.0K	0.32	1.66	8,438	2,706	362,419	153,680
2019-12-31	$6.39	$7.50	34.5%	9.6%	47.3%	9.2%	32.4%	-0.8%	0.9%	802.5K	-1.9M	-502.1K	0.25	2.11	5,091	1,292	362,985	154,533