BB Options History — February 2020

In February 2020, BB traded between $5.07 and $6.20. ATM implied volatility averaged 48.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 16.1% (HV 20d: 32.1%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-02-18: Highest Volume — 65,429 contracts
  • 2020-02-18: Largest IV spike — 59.7% change
  • 2020-02-28: Highest IV Rank — 73.6%
  • 2020-02-28: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.91$5.07$6.20$6.20$5.07
Max Pain$5.32$5.00$7.00$7.00$5.00
ATM IV48.2%36.9%72.7%39.5%72.7%
Expected Move14.0%10.4%19.9%10.8%19.9%
HV 20d32.1%27.7%38.1%30.9%38.1%
HV 60d37.9%36.8%40.2%37.3%40.2%
IV Rank32.2%13.1%73.6%17.5%73.6%
IV Percentile70.2%40.1%99.6%56.0%99.6%
Term Structure0.5%-11.0%13.3%-0.9%-1.2%
VWIV50.7%37.3%71.9%38.0%71.9%
Skew 25d-0.9%-11.2%34.4%-0.2%-2.9%
Skew 10d1.3%-14.5%83.8%-7.0%36.6%
Call IV 25d52.1%38.7%79.9%41.7%79.9%
Put IV 25d51.2%36.3%102.0%41.5%77.0%
Bid-Ask Spread %3.271.1717.302.7317.30
Gamma HHI0.270.220.310.250.22
Net GEX792.6K426.8K1.3M764.3K494.5K
Net DEX-18.0M-33.0M-3.3M-19.6M-3.3M
Net VEX-466.9K-508.1K-415.9K-486.2K-415.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.041.100.300.11
Total Volume12,150.3682,85365,4293,99117,358
Total OI335,461.474314,641366,728316,704366,728

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$6.20$7.0039.5%10.8%30.9%17.5%38.0%-0.2%-0.9%764.3K-19.6M-486.2K0.302.733,070921217,84498,860
2020-02-04$6.14$7.0037.2%10.4%27.7%13.7%38.0%-4.4%0.5%750.1K-18.2M-480.0K0.122.163,635432219,16399,179
2020-02-05$6.19$7.0038.5%10.6%28.1%15.8%37.3%-3.6%-0.9%791.7K-21.1M-494.8K0.302.172,199654220,38399,233
2020-02-06$6.15$5.0037.4%13.2%28.0%13.9%46.1%-2.0%-1.4%731.6K-21.0M-490.1K0.251.172,627648220,45898,539
2020-02-07$6.03$5.0037.4%12.0%28.6%14.0%46.9%-4.2%1.4%838.1K-17.2M-468.2K1.101.336,8127,493220,86698,666
2020-02-10$6.07$5.0037.5%12.7%28.7%14.2%47.0%-1.2%6.0%755.8K-17.0M-450.8K0.341.734,4011,504219,97294,669
2020-02-11$6.19$5.0037.8%13.8%29.3%14.7%46.6%-1.2%13.3%795.2K-20.3M-474.7K0.302.012,730832220,74895,479
2020-02-12$6.08$5.0036.9%12.8%29.7%13.1%44.0%-2.7%5.2%779.8K-17.2M-449.1K0.401.503,5091,417221,78795,638
2020-02-13$5.99$5.0037.9%12.8%29.2%14.9%44.2%-2.4%8.7%788.1K-13.3M-441.6K0.192.353,715698222,00196,321
2020-02-14$5.83$5.0038.0%11.9%28.9%15.1%44.7%-2.5%6.3%426.8K-9.2M-432.8K0.211.387,6391,625223,59696,566
2020-02-18$6.10$5.0060.7%17.7%34.1%53.3%63.4%-2.2%-11.0%637.0K-21.3M-478.2K0.051.9062,0343,395221,43595,635
2020-02-19$6.15$5.0055.4%15.9%34.3%44.3%60.3%-5.5%-5.5%1.3M-33.0M-498.1K0.111.5817,7212,033257,57597,270
2020-02-20$6.14$5.0054.2%15.8%34.2%42.3%58.5%-4.1%-5.9%1.3M-32.3M-499.4K0.042.0511,361434262,19498,626
2020-02-21$5.98$5.0053.8%15.5%34.9%41.7%61.4%-11.2%-3.4%1.1M-28.0M-508.1K0.212.269,0751,900264,05698,769
2020-02-24$5.77$5.0058.3%14.1%36.5%49.2%49.9%-0.2%1.8%915.4K-18.7M-464.6K0.1111.019,027963255,46896,344
2020-02-25$5.49$5.0061.6%14.9%36.0%54.7%55.3%0.1%-0.7%698.4K-13.0M-452.4K0.173.1410,6901,841258,97596,916
2020-02-26$5.49$5.0057.7%13.7%34.3%48.3%50.5%-1.1%0.3%684.3K-11.6M-449.9K0.162.0410,0511,564263,42297,808
2020-02-27$5.21$5.0063.6%16.7%37.8%58.2%58.5%34.4%-3.9%475.3K-6.4M-436.8K0.142.2813,0491,800264,66897,911
2020-02-28$5.07$5.0072.7%19.9%38.1%73.6%71.9%-2.9%-1.2%494.5K-3.3M-415.9K0.1117.3015,5701,788268,32898,400