BB Options History — August 2020

In August 2020, BB traded between $4.73 and $5.23. ATM implied volatility averaged 59.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 28.3% (HV 20d: 31.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2020-08-31: Highest Volume — 16,605 contracts
  • 2020-08-26: Largest IV spike — 114.0% change
  • 2020-08-26: Highest IV Rank — 66.5%
  • 2020-08-03: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.88$4.73$5.23$4.73$5.21
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV59.8%51.6%118.0%62.2%64.7%
Expected Move15.5%13.5%16.8%16.8%14.9%
HV 20d31.5%26.5%36.8%36.8%32.4%
HV 60d44.9%42.0%46.0%46.0%42.0%
IV Rank28.5%23.2%66.5%30.1%31.7%
IV Percentile54.9%41.7%96.0%65.5%69.8%
Term Structure1.3%-30.0%16.6%-10.9%0.3%
VWIV54.7%47.0%62.0%58.3%53.1%
Skew 25d-0.0%-46.5%27.3%-2.0%27.3%
Skew 10d8.0%-35.7%82.7%5.8%1.6%
Call IV 25d57.8%39.4%85.8%62.5%39.4%
Put IV 25d57.8%39.3%74.7%60.6%66.6%
Bid-Ask Spread %7.364.3010.669.149.33
Gamma HHI0.370.310.480.320.32
Net GEX606.7K413.1K874.2K413.1K822.3K
Net DEX-13.3M-24.2M-8.7M-8.9M-20.9M
Net VEX-267.5K-295.4K-243.4K-249.8K-284.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.020.340.270.02
Total Volume6,783.4292,09416,6057,21516,605
Total OI290,111.857274,832301,863274,832298,837

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$4.73$5.0062.2%16.8%36.8%30.1%58.3%-2.0%-10.9%413.1K-8.9M-249.8K0.279.145,6801,535208,55066,282
2020-08-04$4.76$5.0059.3%16.6%34.1%28.2%57.7%-0.5%-1.7%426.0K-9.6M-261.8K0.098.173,311305211,77967,775
2020-08-05$4.86$5.0058.0%16.5%34.9%27.3%57.8%2.5%0.7%485.8K-12.5M-271.8K0.158.344,564696213,46368,070
2020-08-06$4.97$5.0056.1%16.2%35.6%26.1%57.3%2.2%0.4%638.1K-16.6M-290.4K0.078.789,375701215,73068,612
2020-08-07$4.86$5.0058.0%16.6%36.1%27.4%61.1%2.2%-1.3%511.8K-13.5M-275.2K0.066.498,780500219,84069,018
2020-08-10$4.84$5.0056.9%16.2%34.7%26.6%62.0%-0.8%0.3%552.0K-13.5M-274.6K0.346.204,7081,594219,70867,120
2020-08-11$4.83$5.0055.8%16.1%34.5%25.9%57.3%-3.5%1.2%565.6K-13.3M-274.0K0.094.992,876264221,37968,703
2020-08-12$4.83$5.0054.3%16.0%33.2%24.9%56.3%1.7%1.0%599.4K-12.9M-271.3K0.154.751,869277223,04368,845
2020-08-13$4.88$5.0055.0%16.0%33.1%25.4%56.5%-0.2%1.5%700.1K-15.3M-279.7K0.244.302,738667223,71469,040
2020-08-14$4.78$5.0055.5%16.3%31.6%25.7%56.8%1.0%2.2%534.5K-9.8M-251.7K0.215.954,668963225,21869,311
2020-08-17$4.81$5.0055.2%15.8%29.2%25.5%55.5%1.8%13.0%580.1K-11.3M-262.4K0.345.771,853633220,75067,568
2020-08-18$4.79$5.0055.0%15.8%28.0%25.4%55.2%0.3%4.7%575.8K-11.2M-261.8K0.205.201,742352221,33267,887
2020-08-19$4.80$5.0055.6%16.0%27.4%25.8%55.8%0.8%11.6%610.2K-11.6M-264.9K0.076.236,362420222,07068,169
2020-08-20$4.84$5.0051.6%15.0%27.2%23.2%51.3%-8.9%8.0%673.6K-10.9M-256.4K0.097.593,307300226,77668,508
2020-08-21$4.74$5.0054.5%14.6%26.7%25.1%50.6%0.1%16.6%503.1K-8.7M-250.6K0.217.853,234669229,06368,490
2020-08-24$4.79$5.0054.0%13.6%26.5%24.7%48.0%7.7%3.8%566.6K-9.5M-253.4K0.288.515,3961,513218,75866,303
2020-08-25$4.79$5.0055.1%13.5%26.5%25.5%47.0%2.8%2.4%564.5K-9.0M-243.4K0.069.408,126480222,65367,431
2020-08-26$5.10$5.00118.0%14.1%31.0%66.5%48.6%-46.5%-30.0%796.3K-17.5M-273.7K0.0710.6614,027976224,20067,896
2020-08-27$5.03$5.0055.9%14.3%29.9%25.9%50.4%0.9%3.0%874.2K-17.9M-271.0K0.249.186,0671,446230,20468,391
2020-08-28$5.23$5.0066.1%14.7%32.2%32.6%51.3%10.7%-0.5%746.8K-24.2M-295.4K0.057.6412,298575232,40469,459
2020-08-31$5.21$5.0064.7%14.9%32.4%31.7%53.1%27.3%0.3%822.3K-20.9M-284.1K0.029.3316,254351231,33367,504