BB Options History — September 2020

In September 2020, BB traded between $4.59 and $5.55. ATM implied volatility averaged 64.9%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 18.3% (HV 20d: 46.6%). 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 8 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-09-24: Highest Volume — 29,015 contracts
  • 2020-09-24: Largest IV drop — 20.7% change
  • 2020-09-23: Highest IV Rank — 37.8%
  • 2020-09-23: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.89$4.59$5.55$5.55$4.59
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV64.9%50.3%74.1%63.6%50.3%
Expected Move18.0%14.1%22.0%15.2%14.1%
HV 20d46.6%37.1%52.2%38.4%37.1%
HV 60d39.2%37.7%44.5%42.5%37.7%
IV Rank31.8%22.3%37.8%31.0%22.3%
IV Percentile65.4%29.8%81.3%67.5%29.8%
Term Structure-2.3%-18.4%13.3%-4.3%3.8%
VWIV64.1%49.8%79.1%57.2%50.4%
Skew 25d1.1%-29.2%28.3%-2.4%-1.2%
Skew 10d-0.6%-20.8%17.1%7.9%-13.3%
Call IV 25d66.1%46.1%76.2%70.0%53.5%
Put IV 25d67.2%46.3%80.0%67.6%52.3%
Bid-Ask Spread %26.596.1380.397.736.13
Gamma HHI0.240.180.330.200.18
Net GEX600.2K319.3K935.0K848.4K319.3K
Net DEX-14.0M-33.4M-3.9M-32.8M-3.9M
Net VEX-266.9K-322.9K-222.6K-317.5K-226.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.070.560.100.22
Total Volume9,217.4763,08329,01516,7564,112
Total OI306,902.762287,874318,924304,635304,176

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$5.55$5.0063.6%15.2%38.4%31.0%57.2%-2.4%-4.3%848.4K-32.8M-317.5K0.107.7315,2201,536236,86567,770
2020-09-02$5.54$5.0065.1%14.9%38.3%32.0%51.9%-0.9%1.0%935.0K-33.4M-322.9K0.0812.449,287706240,12769,054
2020-09-03$5.17$5.0073.1%19.9%46.2%37.2%70.8%-29.2%-3.2%816.5K-22.8M-298.6K0.199.386,4381,204241,59669,343
2020-09-04$5.12$5.0068.1%18.2%45.5%33.9%68.7%-3.9%-5.1%676.8K-21.7M-292.4K0.1610.048,1771,283242,10669,813
2020-09-08$4.95$5.0067.7%19.0%47.3%33.7%68.7%28.3%-0.5%689.9K-18.3M-292.6K0.1714.698,4111,402237,66566,591
2020-09-09$4.94$5.0070.8%19.4%47.3%35.7%67.7%7.5%-2.5%751.4K-14.9M-271.2K0.1410.582,747372243,58067,560
2020-09-10$4.82$5.0068.4%18.9%48.2%34.1%67.3%4.5%-3.2%645.5K-9.8M-252.9K0.1211.844,837585245,01467,748
2020-09-11$4.72$5.0069.2%18.5%48.5%34.7%64.7%1.7%-8.3%509.8K-10.4M-264.5K0.3814.044,7051,798247,27467,935
2020-09-14$4.83$5.0065.1%18.3%48.8%32.0%63.3%0.9%0.6%601.6K-12.8M-274.6K0.148.206,023849242,27467,295
2020-09-15$4.80$5.0066.1%18.6%48.8%32.7%64.9%2.2%13.3%627.6K-12.2M-267.8K0.2041.232,562521245,11367,795
2020-09-16$4.74$5.0067.0%19.2%48.9%33.2%67.9%-1.9%-14.3%579.7K-11.6M-267.2K0.4280.392,8181,170246,31067,894
2020-09-17$4.71$5.0064.8%18.7%49.0%31.8%67.1%-1.6%-2.7%447.4K-8.8M-257.2K0.1812.534,409794246,97068,739
2020-09-18$4.85$5.0066.5%19.1%50.1%32.9%67.3%0.9%-3.4%498.5K-10.6M-256.2K0.1645.597,2581,161249,62669,298
2020-09-21$4.77$5.0070.9%21.3%49.8%35.7%76.3%-1.9%-18.4%510.3K-12.3M-263.7K0.1456.284,490634224,74663,128
2020-09-22$4.94$5.0071.0%21.5%51.2%35.8%75.2%5.7%-1.7%566.7K-15.0M-269.1K0.0847.389,245717225,67463,497
2020-09-23$4.81$5.0074.1%22.0%52.2%37.8%79.1%6.0%-4.0%554.9K-14.5M-267.4K0.1459.1416,4102,262229,58263,754
2020-09-24$4.79$5.0058.8%17.6%46.7%27.8%61.9%0.4%1.8%680.3K-10.2M-246.4K0.2451.0723,3125,703239,49266,351
2020-09-25$4.77$5.0051.3%14.4%46.5%23.0%49.8%0.9%1.6%491.8K-8.1M-248.5K0.0738.548,931662247,06169,150
2020-09-28$4.62$5.0059.3%15.0%44.9%28.2%55.0%5.0%0.9%422.8K-4.9M-222.6K0.527.725,3432,786231,11465,235
2020-09-29$4.65$5.0051.6%14.4%45.1%23.1%51.5%3.2%1.1%429.8K-4.9M-226.3K0.5613.538,1174,570233,62567,018
2020-09-30$4.59$5.0050.3%14.1%37.1%22.3%50.4%-1.2%3.8%319.3K-3.9M-226.0K0.226.133,366746234,26569,911