BB Options History — June 2020

In June 2020, BB traded between $4.76 and $5.77. ATM implied volatility averaged 79.9%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 23.3% (HV 20d: 56.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-06-02: Highest Volume — 33,181 contracts
  • 2020-06-25: Largest IV drop — 16.5% change
  • 2020-06-15: Highest IV Rank — 48.5%
  • 2020-06-24: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.76$5.77$4.92$4.85
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV79.9%59.1%90.5%87.1%59.1%
Expected Move22.6%16.1%26.7%25.6%16.1%
HV 20d56.5%38.4%66.6%38.4%55.1%
HV 60d77.8%56.5%100.7%100.1%56.5%
IV Rank41.6%28.0%48.5%46.4%28.0%
IV Percentile87.4%62.7%94.0%92.9%62.7%
Term Structure-3.2%-10.7%4.7%-10.4%-0.3%
VWIV80.5%55.6%94.3%91.8%55.6%
Skew 25d-0.7%-6.9%11.5%-2.5%1.7%
Skew 10d3.5%-24.3%42.5%-4.6%6.3%
Call IV 25d83.0%60.6%94.8%92.4%60.6%
Put IV 25d82.3%62.3%92.4%89.9%62.3%
Bid-Ask Spread %11.125.5526.5821.9510.47
Gamma HHI0.230.180.320.320.28
Net GEX498.9K333.1K858.2K333.1K438.1K
Net DEX-20.6M-33.9M-11.0M-13.6M-11.3M
Net VEX-327.1K-382.4K-286.9K-312.9K-286.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.040.920.060.12
Total Volume13,219.0453,65033,18125,2904,551
Total OI297,112.455271,720313,532283,376280,430

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$4.92$5.0087.1%25.6%38.4%46.4%91.8%-2.5%-10.4%333.1K-13.6M-312.9K0.0621.9523,9111,379209,74473,632
2020-06-02$5.33$5.0081.3%21.4%43.7%42.5%79.2%11.5%-10.7%536.4K-24.3M-341.1K0.1526.5828,9754,206221,34574,715
2020-06-03$5.23$5.0075.6%20.5%45.0%38.8%72.6%0.7%-4.4%523.6K-21.2M-328.4K0.048.549,322384225,04076,717
2020-06-04$5.23$5.0074.5%20.5%43.3%38.1%77.5%1.4%-4.4%544.6K-21.8M-333.0K0.545.556,8683,680225,55276,633
2020-06-05$5.46$5.0076.8%20.6%44.7%39.6%73.6%1.0%-6.2%858.2K-29.6M-353.9K0.9215.0414,98613,821227,04277,113
2020-06-08$5.77$5.0079.0%22.5%47.6%41.1%81.5%-3.3%4.7%531.1K-33.9M-382.4K0.2518.5011,9752,996221,66282,174
2020-06-09$5.65$5.0082.8%22.8%47.5%43.5%81.2%-0.6%-1.9%639.5K-31.2M-364.8K0.329.663,7491,206225,76870,636
2020-06-10$5.59$5.0081.5%22.5%47.5%42.7%79.1%0.6%-3.5%632.0K-30.8M-362.3K0.229.192,982668226,26671,807
2020-06-11$5.09$5.0083.9%23.8%59.5%44.2%87.0%-0.6%-4.9%462.2K-18.1M-324.2K0.0712.767,905566227,34072,223
2020-06-12$5.23$5.0087.6%24.6%59.8%46.7%86.4%-3.4%-1.9%479.4K-22.0M-344.8K0.678.414,8663,272230,16572,497
2020-06-15$4.95$5.0090.5%26.0%63.7%48.5%90.5%-6.9%-5.1%367.7K-15.1M-310.8K0.1512.997,6071,158226,42373,506
2020-06-16$5.18$5.0086.6%24.7%64.9%46.0%86.5%-2.7%-3.4%461.4K-21.8M-331.5K0.136.817,566982230,23374,383
2020-06-17$5.11$5.0083.3%23.9%65.3%43.9%84.4%-3.6%-5.0%449.7K-19.5M-319.9K0.086.984,529381234,41674,962
2020-06-18$5.09$5.0081.8%23.6%64.8%42.9%85.0%-6.1%-2.1%426.1K-19.7M-325.4K0.076.055,499385236,52575,208
2020-06-19$5.08$5.0084.4%24.0%64.0%44.5%84.9%-1.4%-0.7%493.1K-24.0M-318.1K0.2010.309,1051,858239,24974,283
2020-06-22$5.13$5.0085.8%24.9%64.0%45.5%88.3%-2.8%-3.6%519.0K-21.3M-324.9K0.178.0010,5551,795210,57761,143
2020-06-23$5.12$5.0083.5%24.7%63.8%44.0%88.1%-0.0%-4.0%547.8K-21.0M-324.3K0.487.7811,1895,402215,99362,638
2020-06-24$4.90$5.0088.2%26.7%66.1%47.1%94.3%0.5%-2.3%478.8K-17.8M-322.5K0.2812.9419,1535,325221,14867,291
2020-06-25$4.86$5.0073.7%20.7%66.1%37.6%73.1%-1.6%-0.9%497.1K-13.6M-302.3K0.219.9921,0124,483235,13071,194
2020-06-26$4.76$5.0070.1%20.2%66.6%35.2%72.2%-0.1%-0.2%363.0K-11.3M-290.5K0.278.267,3141,954235,30370,327
2020-06-29$4.79$5.0060.3%16.8%62.6%28.8%57.9%2.7%0.6%393.3K-11.0M-290.6K0.047.9910,818481212,98865,053
2020-06-30$4.85$5.0059.1%16.1%55.1%28.0%55.6%1.7%-0.3%438.1K-11.3M-286.9K0.1210.474,065486215,20765,223