BB Options History — March 2020

In March 2020, BB traded between $2.86 and $5.07. ATM implied volatility averaged 104.0%, placing in the 82.8% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded above realized volatility by 7.9% (HV 20d: 96.1%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-03-12: Highest Volume — 41,583 contracts
  • 2020-03-27: Largest IV spike — 56.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 40.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.94$2.86$5.07$5.07$4.06
Max Pain$4.75$4.00$5.00$5.00$4.00
ATM IV104.0%63.8%142.1%64.7%77.5%
Expected Move29.3%14.7%40.0%16.1%35.3%
HV 20d96.1%37.2%139.9%38.0%139.9%
HV 60d66.1%40.0%84.3%40.0%84.3%
IV Rank82.8%42.8%100.0%60.0%42.8%
IV Percentile98.7%93.3%100.0%98.8%93.3%
Term Structure-11.3%-140.6%41.9%-0.0%-140.6%
VWIV102.8%52.1%139.1%57.2%124.9%
Skew 25d-1.6%-79.4%64.1%-4.3%-17.6%
Skew 10d-1.9%-68.9%94.8%-4.1%26.3%
Call IV 25d105.1%67.3%184.3%70.7%67.3%
Put IV 25d103.6%49.7%150.8%66.4%49.7%
Bid-Ask Spread %9.332.4018.702.584.90
Gamma HHI0.170.140.240.190.15
Net GEX247.4K110.9K410.7K410.7K343.0K
Net DEX-5.7M-13.3M2.5M-5.8M-13.3M
Net VEX-308.4K-424.2K-209.3K-424.2K-279.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.051.010.050.25
Total Volume15,966.9097,81841,58310,72821,998
Total OI328,729.091272,246382,932364,182284,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$5.07$5.0064.7%16.1%38.0%60.0%57.2%-4.3%-0.0%410.7K-5.8M-424.2K0.052.5810,174554267,68596,497
2020-03-03$4.94$5.0067.2%17.9%37.2%64.3%62.9%-2.9%-2.2%381.5K-2.9M-409.2K0.1918.709,2641,787271,72796,820
2020-03-04$4.90$5.0063.8%14.7%37.2%58.5%52.1%-3.9%-2.5%324.3K-2.6M-407.5K0.1911.1811,2162,080273,56597,878
2020-03-05$4.65$5.0074.5%19.2%39.2%76.6%67.0%-1.4%-5.5%295.4K-749.6K-402.3K0.202.408,1781,669279,97498,724
2020-03-06$4.41$5.0075.4%21.3%41.4%78.1%74.3%-6.1%-10.5%262.6K1.8M-382.3K0.2115.7912,7322,656283,70399,229
2020-03-09$3.90$5.0089.4%24.2%56.0%100.0%84.4%-4.8%-4.1%191.9K2.5M-338.1K1.0110.5112,55212,679266,71797,867
2020-03-10$4.17$5.0084.8%23.8%63.6%92.4%82.7%-2.5%1.0%276.3K-4.5M-360.2K0.0911.6013,2241,216271,81389,680
2020-03-11$4.14$5.0090.9%25.4%62.2%100.0%88.6%-11.8%-1.8%293.8K-8.3M-374.0K0.6711.5323,67115,860274,78289,791
2020-03-12$3.70$5.00122.5%33.5%70.3%100.0%114.2%-0.3%-12.4%192.4K-7.1M-318.0K0.6413.7425,33916,244270,16683,940
2020-03-13$4.21$5.00116.9%31.5%89.1%94.1%113.9%-11.4%-6.6%269.8K-13.2M-328.4K0.3815.068,0713,063258,91975,001
2020-03-16$3.50$5.00125.4%36.8%107.0%100.0%123.6%-1.2%-27.3%173.4K-6.6M-270.1K0.285.656,1041,714245,92074,293
2020-03-17$2.86$5.00122.2%33.7%120.5%96.6%122.8%2.9%35.3%110.9K202.5K-209.3K0.225.559,3442,078248,74675,015
2020-03-18$3.12$5.00139.4%40.0%127.5%100.0%139.1%-42.7%41.9%152.9K-4.6M-231.3K0.235.8013,5703,099254,24374,904
2020-03-19$3.25$5.00127.8%36.5%129.8%89.5%130.2%14.4%-3.4%172.7K-5.1M-239.9K0.1411.5010,3371,459256,74975,966
2020-03-20$3.39$5.00115.7%35.0%132.4%78.5%119.3%-10.2%-10.6%171.8K-4.6M-242.2K0.159.8811,5621,679255,84276,294
2020-03-23$3.47$5.00142.1%33.2%133.7%100.0%117.7%64.1%-6.4%176.1K-6.1M-243.8K0.1814.487,7181,388204,80267,444
2020-03-24$3.57$4.50135.1%32.5%134.7%93.8%112.0%12.5%-33.3%204.8K-5.6M-246.3K0.226.458,5121,847207,34268,126
2020-03-25$3.84$4.00111.4%32.6%138.6%72.9%116.2%43.9%-4.2%260.5K-9.4M-274.5K0.197.508,6241,680208,22168,451
2020-03-26$3.86$4.0082.3%33.6%138.2%47.1%117.2%13.7%15.1%246.4K-9.8M-269.0K0.153.8218,7662,750207,59969,580
2020-03-27$3.82$4.00128.8%33.5%138.2%88.2%117.0%14.6%4.4%251.4K-9.8M-265.7K0.317.027,1502,200215,17470,827
2020-03-30$3.88$4.00129.7%35.2%138.5%89.0%123.5%-79.4%-74.5%280.8K-9.9M-269.0K0.109.5814,0401,424209,95167,767
2020-03-31$4.06$4.0077.5%35.3%139.9%42.8%124.9%-17.6%-140.6%343.0K-13.3M-279.8K0.254.9017,5674,431215,49568,811