BB Options History — July 2020

In July 2020, BB traded between $4.57 and $5.02. ATM implied volatility averaged 59.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 18.7% (HV 20d: 40.7%). 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 15 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-07-06: Highest Volume — 11,366 contracts
  • 2020-07-09: Largest IV spike — 8.9% change
  • 2020-07-13: Highest IV Rank — 33.2%
  • 2020-07-10: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.77$4.57$5.02$4.78$4.72
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV59.4%54.4%67.0%58.1%57.3%
Expected Move16.8%15.2%18.6%16.6%16.0%
HV 20d40.7%31.2%55.7%55.0%38.4%
HV 60d50.0%46.2%54.5%54.5%46.2%
IV Rank28.3%25.0%33.2%27.4%26.9%
IV Percentile61.5%54.8%74.6%61.5%54.8%
Term Structure0.6%-2.8%5.1%1.5%0.2%
VWIV58.9%53.6%65.1%56.7%55.8%
Skew 25d2.1%-1.9%9.7%9.7%3.3%
Skew 10d1.5%-10.8%26.5%-2.9%-10.8%
Call IV 25d60.0%54.1%68.2%57.4%55.6%
Put IV 25d62.1%56.9%71.9%67.1%59.0%
Bid-Ask Spread %9.696.3821.3412.898.45
Gamma HHI0.310.270.370.300.30
Net GEX457.2K366.0K575.8K434.0K410.1K
Net DEX-10.7M-15.2M-6.8M-11.3M-10.7M
Net VEX-270.8K-292.2K-251.1K-282.8K-267.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.040.690.280.17
Total Volume5,279.5912,25311,3665,1862,785
Total OI280,013.182270,719286,052281,805286,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$4.78$5.0058.1%16.6%55.0%27.4%56.7%9.7%1.5%434.0K-11.3M-282.8K0.2812.894,0601,126216,54965,256
2020-07-02$4.88$5.0054.4%15.2%55.7%25.0%53.6%2.8%5.1%475.4K-11.5M-280.2K0.2616.405,5251,457219,23165,908
2020-07-06$5.02$5.0057.4%16.9%54.3%27.0%59.3%0.6%4.0%547.1K-15.2M-292.2K0.299.228,8092,557211,64563,186
2020-07-07$4.82$5.0058.6%17.1%50.9%27.7%59.7%0.1%1.0%492.3K-11.7M-272.8K0.588.782,4381,409214,12063,430
2020-07-08$4.84$5.0060.1%16.6%50.9%28.7%58.8%0.7%1.3%487.0K-11.5M-277.6K0.2110.193,405699213,98364,364
2020-07-09$4.81$5.0065.5%18.1%50.9%32.2%63.0%7.9%-2.8%457.9K-12.1M-277.7K0.119.882,031222216,00964,742
2020-07-10$4.73$5.0066.4%18.6%39.8%32.8%65.0%4.0%-1.5%433.2K-10.8M-274.0K0.129.823,580441216,12264,798
2020-07-13$4.61$5.0067.0%18.3%38.7%33.2%64.2%-0.5%-2.4%414.3K-10.1M-271.9K0.2421.343,006720213,04863,696
2020-07-14$4.57$5.0063.7%18.4%34.2%31.0%65.1%5.8%0.9%366.0K-8.8M-264.2K0.328.913,9561,285213,41364,525
2020-07-15$4.70$5.0061.8%18.2%31.3%29.8%63.8%3.1%0.5%417.8K-9.7M-270.7K0.3410.505,5571,873214,82965,682
2020-07-16$4.66$5.0061.8%17.7%31.2%29.8%61.9%0.0%-0.5%367.9K-7.7M-256.6K0.337.361,947636216,10466,872
2020-07-17$4.83$5.0058.1%16.6%34.4%27.4%58.0%4.1%0.7%452.3K-10.7M-270.4K0.386.384,6941,801217,24867,374
2020-07-20$4.99$5.0057.0%16.4%36.6%26.7%57.7%-0.9%1.0%546.7K-15.0M-285.1K0.2510.998,4212,119207,27463,445
2020-07-21$4.87$5.0056.2%16.0%37.2%26.2%57.1%0.6%1.0%517.0K-13.2M-280.2K0.357.033,3421,159210,93065,269
2020-07-22$4.79$5.0056.6%16.2%37.6%26.4%56.1%-1.2%1.2%479.3K-12.0M-282.2K0.177.263,448586211,69265,870
2020-07-23$4.74$5.0057.7%16.4%34.5%27.1%57.8%0.2%3.0%424.7K-8.1M-253.1K0.188.943,211572213,30866,291
2020-07-24$4.62$5.0057.8%16.5%35.5%27.2%58.8%-0.9%0.9%397.6K-8.9M-263.7K0.698.414,3513,007214,26666,676
2020-07-27$4.68$5.0058.8%16.6%35.2%27.8%56.0%4.9%-1.6%422.7K-7.9M-256.5K0.227.772,703602210,66067,032
2020-07-28$4.67$5.0057.9%16.1%35.1%27.3%57.0%0.8%0.2%432.1K-6.8M-251.1K0.306.692,063622214,27867,552
2020-07-29$4.88$5.0056.8%15.8%38.4%26.5%55.0%2.6%-0.4%575.8K-12.1M-273.1K0.179.059,3371,552214,35367,896
2020-07-30$4.76$5.0058.1%16.2%39.1%27.4%55.6%-1.9%-0.1%506.7K-9.2M-254.6K0.046.872,924113216,41868,894
2020-07-31$4.72$5.0057.3%16.0%38.4%26.9%55.8%3.3%0.2%410.1K-10.7M-267.2K0.178.452,371414217,11668,936