BB Options History — May 2020

In May 2020, BB traded between $4.06 and $4.69. ATM implied volatility averaged 66.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 14.9% (HV 20d: 51.4%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2020-05-04: Highest Volume — 33,435 contracts
  • 2020-05-18: Largest IV drop — 10.8% change
  • 2020-05-27: Highest IV Rank — 37.0%
  • 2020-05-04: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.51$4.06$4.69$4.06$4.62
Max Pain$4.95$4.00$5.00$4.00$5.00
ATM IV66.3%59.3%72.9%66.7%70.9%
Expected Move18.4%17.0%20.7%19.9%17.1%
HV 20d51.4%40.0%66.5%65.2%40.0%
HV 60d100.6%99.8%101.4%100.0%99.8%
IV Rank32.8%28.2%37.0%33.0%35.7%
IV Percentile82.6%74.6%88.1%85.7%85.7%
Term Structure2.6%-2.4%9.6%0.4%-1.3%
VWIV64.9%59.4%76.5%76.5%60.7%
Skew 25d1.3%-1.5%5.2%1.0%3.3%
Skew 10d2.5%-9.9%14.0%0.2%7.6%
Call IV 25d66.9%61.2%73.3%68.6%70.5%
Put IV 25d68.2%61.3%76.5%69.6%73.8%
Bid-Ask Spread %3.722.676.342.673.02
Gamma HHI0.260.210.330.220.31
Net GEX282.0K182.9K403.9K182.9K253.5K
Net DEX-7.0M-12.6M-3.2M-3.2M-8.4M
Net VEX-272.9K-296.6K-244.9K-250.1K-290.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.011.160.240.29
Total Volume9,659.52,53733,4357,6775,064
Total OI272,371.8254,261286,578269,316285,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$4.06$4.0066.7%19.9%65.2%33.0%76.5%1.0%0.4%182.9K-3.2M-250.1K0.242.676,1891,488196,58272,734
2020-05-04$4.27$5.0072.7%20.7%66.5%36.9%72.1%4.6%-0.8%223.3K-5.6M-264.6K0.013.1132,967468188,80370,862
2020-05-05$4.30$5.0066.5%19.1%61.7%32.9%66.4%-1.5%-1.1%342.4K-5.7M-257.3K0.083.587,812636197,60471,048
2020-05-06$4.49$5.0071.6%19.1%60.9%36.2%66.6%2.8%2.2%400.9K-9.3M-279.3K0.054.7326,0401,412196,54871,586
2020-05-07$4.60$5.0065.2%18.9%59.7%32.0%65.9%0.7%1.3%403.9K-9.7M-274.7K0.103.329,199943196,87272,646
2020-05-08$4.69$5.0070.6%18.0%58.9%35.5%62.8%5.2%-2.2%349.6K-12.6M-289.2K0.145.999,1331,303197,09772,793
2020-05-11$4.59$5.0063.5%18.1%59.8%31.0%62.8%1.2%-1.5%349.0K-7.9M-273.8K0.233.085,6671,317193,62172,038
2020-05-12$4.54$5.0060.8%17.6%59.4%29.2%61.4%0.1%0.3%301.2K-6.2M-266.8K0.084.683,194257192,67373,155
2020-05-13$4.45$5.0067.3%20.0%54.2%33.4%69.7%0.9%2.6%290.5K-3.7M-244.9K0.083.944,555381193,31673,249
2020-05-14$4.44$5.0066.2%19.3%49.7%32.7%67.3%2.1%1.0%314.9K-5.7M-262.0K0.214.064,439924193,19473,241
2020-05-15$4.40$5.0066.5%20.4%46.5%32.9%71.0%0.8%6.9%197.2K-4.4M-258.7K1.163.692,6883,118193,43273,114
2020-05-18$4.51$5.0059.3%17.0%45.9%28.2%59.4%1.4%9.3%187.6K-4.3M-260.3K0.053.5416,331788182,58971,672
2020-05-19$4.53$5.0062.3%17.9%42.8%30.1%62.9%-0.5%7.8%213.4K-5.6M-271.2K0.086.3417,7421,342192,35372,387
2020-05-20$4.66$5.0061.1%17.5%43.3%29.4%63.4%-0.5%6.7%297.5K-10.4M-296.6K0.162.985,773942208,73373,767
2020-05-21$4.55$5.0062.7%17.6%44.5%30.4%62.4%-1.4%7.1%244.9K-5.9M-272.9K0.173.802,565447211,04274,566
2020-05-22$4.55$5.0062.9%17.0%44.6%30.5%61.2%-0.5%9.6%228.1K-7.8M-289.7K0.123.072,264273211,80674,459
2020-05-26$4.65$5.0067.7%17.6%42.2%33.6%61.7%2.2%6.4%283.0K-6.8M-273.1K0.323.015,6171,798208,24972,837
2020-05-27$4.64$5.0072.9%18.3%42.2%37.0%62.8%3.5%-2.4%285.0K-9.1M-291.5K0.142.883,010420210,56973,839
2020-05-28$4.61$5.0068.8%17.3%40.8%34.4%61.3%0.8%-0.9%291.4K-8.7M-291.8K0.132.864,142542212,40774,171
2020-05-29$4.62$5.0070.9%17.1%40.0%35.7%60.7%3.3%-1.3%253.5K-8.4M-290.1K0.293.023,9211,143211,24074,542