BB Options History — January 2020

In January 2020, BB traded between $6.10 and $6.82. ATM implied volatility averaged 35.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.6% (HV 20d: 38.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-01-06: Highest Volume — 39,929 contracts
  • 2020-01-27: Largest IV spike — 23.5% change
  • 2020-01-27: Highest IV Rank — 18.2%
  • 2020-01-06: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.55$6.10$6.82$6.49$6.10
Max Pain$6.71$5.00$7.50$7.50$7.00
ATM IV35.3%31.5%39.9%32.5%38.2%
Expected Move10.6%9.0%12.2%9.3%11.0%
HV 20d38.9%20.1%47.6%46.2%30.2%
HV 60d36.6%35.4%38.5%38.5%37.3%
IV Rank10.5%4.0%18.2%5.8%15.4%
IV Percentile32.3%6.3%56.7%13.5%50.4%
Term Structure1.8%-0.1%5.7%0.3%3.1%
VWIV37.7%32.1%42.8%34.2%42.3%
Skew 25d-2.4%-4.8%0.3%-0.7%-4.8%
Skew 10d-4.7%-12.8%1.4%1.2%-1.4%
Call IV 25d38.4%33.0%43.9%34.2%43.6%
Put IV 25d36.1%32.4%39.6%33.5%38.8%
Bid-Ask Spread %2.191.294.551.902.40
Gamma HHI0.280.240.390.320.26
Net GEX958.1K690.4K1.3M1.0M690.4K
Net DEX-18.4M-33.3M-4.9M-5.9M-18.8M
Net VEX-517.9K-538.0K-488.6K-496.1K-492.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.080.620.380.22
Total Volume11,103.6673,38039,92910,4645,530
Total OI435,810.905307,952532,850516,605325,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$6.49$7.5032.5%9.3%46.2%5.8%34.2%-0.7%0.3%1.0M-5.9M-496.1K0.381.907,5992,865364,606151,999
2020-01-03$6.46$7.5033.5%9.0%46.4%7.4%32.6%-0.9%-0.1%1.3M-4.9M-499.0K0.211.659,2991,980365,881152,848
2020-01-06$6.69$7.5038.3%12.2%46.9%15.6%42.8%-4.5%0.4%880.6K-12.8M-514.4K0.132.8135,3844,545361,412150,054
2020-01-07$6.66$5.0037.9%11.8%47.2%14.8%41.2%-3.7%0.4%1.1M-13.7M-530.8K0.272.5812,0103,200374,357151,891
2020-01-08$6.67$5.0036.7%11.5%47.3%12.8%39.4%-3.1%1.2%1.1M-15.0M-532.0K0.202.606,7381,340376,844153,265
2020-01-09$6.63$5.0037.1%11.2%47.0%13.5%39.5%-1.1%0.0%1.1M-13.0M-527.5K0.261.618,1092,143378,310153,520
2020-01-10$6.56$7.5035.9%11.6%46.8%11.6%40.8%-1.6%0.7%944.8K-10.4M-514.2K0.161.8111,0081,717378,905153,945
2020-01-13$6.65$7.5035.8%11.5%46.6%11.3%39.2%-0.6%3.8%960.8K-9.7M-524.1K0.361.755,3881,942371,979150,788
2020-01-14$6.62$7.5034.4%11.4%46.6%9.1%39.4%-3.8%5.4%948.6K-9.0M-518.6K0.231.504,9731,164373,684151,524
2020-01-15$6.71$7.5033.8%11.3%46.6%8.0%38.7%-3.6%5.2%952.4K-12.1M-527.2K0.091.2915,3421,317373,457151,634
2020-01-16$6.82$5.0035.0%10.6%46.5%10.0%37.1%-3.5%2.7%1.1M-18.6M-534.8K0.174.559,4271,587380,054148,833
2020-01-17$6.69$5.0035.4%11.2%47.3%10.7%39.1%-2.6%5.7%900.4K-14.3M-538.0K0.171.939,9811,673381,387149,223
2020-01-21$6.60$7.5031.6%9.1%47.6%4.3%34.5%-1.6%0.9%939.7K-32.8M-531.4K0.202.207,6211,503212,00695,946
2020-01-22$6.62$7.0031.5%9.0%21.4%4.0%32.3%-0.9%1.0%933.1K-33.3M-530.3K0.622.273,0771,906214,00396,567
2020-01-23$6.66$7.0031.8%9.1%21.3%4.5%32.1%0.3%1.2%931.1K-32.2M-525.1K0.342.003,2761,102214,29097,999
2020-01-24$6.60$7.0032.3%9.2%20.1%5.4%34.2%-1.9%0.9%832.2K-32.4M-531.8K0.182.305,6451,021215,48998,693
2020-01-27$6.26$7.0039.9%11.5%27.7%18.2%41.3%-3.8%0.2%716.2K-21.6M-498.7K0.152.2323,9343,674213,20498,033
2020-01-28$6.41$7.0036.6%10.3%29.1%12.7%38.0%-2.9%2.1%901.0K-27.7M-512.3K0.281.784,9941,400220,755100,417
2020-01-29$6.36$7.0036.4%10.3%29.2%12.3%36.3%-3.5%2.4%929.6K-26.2M-507.2K0.082.133,116264222,539101,196
2020-01-30$6.24$7.0037.0%10.5%29.9%13.3%36.4%-0.8%0.9%813.7K-21.7M-488.6K0.292.793,395988223,427101,230
2020-01-31$6.10$7.0038.2%11.0%30.2%15.4%42.3%-4.8%3.1%690.4K-18.8M-492.8K0.222.404,544986224,382101,453