BB Options History — October 2020

In October 2020, BB traded between $4.45 and $5.14. ATM implied volatility averaged 52.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 15.0% (HV 20d: 37.3%). 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 13 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-10-13: Highest Volume — 24,996 contracts
  • 2020-10-28: Largest IV spike — 8.3% change
  • 2020-10-30: Highest IV Rank — 25.8%
  • 2020-10-30: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.82$4.45$5.14$4.59$4.46
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV52.3%48.8%55.6%51.7%55.6%
Expected Move15.1%13.9%17.2%13.9%17.2%
HV 20d37.3%29.6%43.8%37.1%43.8%
HV 60d39.0%37.0%40.7%37.6%40.7%
IV Rank23.6%21.3%25.8%23.2%25.8%
IV Percentile31.6%23.0%40.5%32.1%40.5%
Term Structure0.5%-2.0%3.0%2.2%-0.3%
VWIV53.2%49.3%59.7%49.9%59.7%
Skew 25d0.7%-19.7%5.0%0.4%0.9%
Skew 10d6.4%-14.4%71.1%1.5%71.1%
Call IV 25d53.8%46.2%74.1%52.7%57.2%
Put IV 25d54.5%50.6%58.5%53.1%58.1%
Bid-Ask Spread %9.913.6130.3714.0714.24
Gamma HHI0.230.190.270.190.24
Net GEX555.1K171.5K818.3K312.6K171.5K
Net DEX-10.6M-20.3M22.7K-3.5M22.7K
Net VEX-239.7K-277.1K-186.7K-223.7K-186.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.060.740.440.29
Total Volume6,953.1822,38224,9963,4606,352
Total OI309,861.591303,782320,602304,850310,208

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$4.59$5.0051.7%13.9%37.1%23.2%49.9%0.4%2.2%312.6K-3.5M-223.7K0.4414.072,4061,054234,82670,024
2020-10-02$4.45$5.0053.3%14.3%31.0%24.3%50.5%3.6%3.0%294.6K-235.5K-206.5K0.153.9713,1991,935235,46469,931
2020-10-05$4.49$5.0052.4%16.2%31.5%23.7%55.9%1.1%2.4%330.0K-1.9M-210.5K0.1519.672,338354235,42468,358
2020-10-06$4.57$5.0054.6%16.0%30.9%25.1%55.7%2.5%0.7%383.6K-5.7M-229.3K0.325.234,6291,504236,56567,923
2020-10-07$4.58$5.0053.5%15.9%30.9%24.4%56.8%4.0%1.5%400.5K-5.7M-229.5K0.454.111,640742239,36568,262
2020-10-08$4.60$5.0051.8%15.0%30.1%23.3%52.6%5.0%-0.2%396.9K-6.2M-234.0K0.435.356,0902,635239,84668,759
2020-10-09$4.72$5.0049.6%14.0%30.8%21.8%49.9%4.8%0.7%507.6K-8.2M-239.4K0.153.773,476535243,17571,136
2020-10-12$4.74$5.0049.8%14.6%29.6%22.0%50.8%1.2%0.6%522.8K-7.4M-236.0K0.094.405,137474238,58168,065
2020-10-13$5.14$5.0051.8%14.8%41.4%23.3%54.4%-19.7%-0.7%798.3K-20.3M-277.1K0.156.1421,7313,265240,12068,329
2020-10-14$5.10$5.0053.7%14.9%41.2%24.5%52.8%2.6%-2.0%807.7K-18.9M-270.3K0.094.9011,2401,036248,91267,985
2020-10-15$5.13$5.0053.3%15.1%41.0%24.3%54.7%2.5%-1.1%818.3K-19.0M-265.4K0.245.086,7811,622252,01968,224
2020-10-16$5.03$5.0052.3%14.8%40.7%23.6%54.0%1.1%-1.1%814.6K-17.7M-265.0K0.0612.4110,032606250,98869,614
2020-10-19$5.14$5.0052.2%14.7%40.7%23.5%51.2%1.5%0.5%750.1K-18.5M-268.0K0.1614.255,460854240,18166,562
2020-10-20$5.10$5.0052.5%15.0%39.2%23.8%53.2%-2.2%-0.2%750.6K-17.9M-268.4K0.1313.093,479441242,73967,003
2020-10-21$5.05$5.0051.1%14.7%38.0%22.8%51.0%1.2%-0.3%732.5K-16.4M-261.2K0.074.123,376227243,83267,249
2020-10-22$5.11$5.0048.9%13.9%38.0%21.4%50.3%0.8%1.9%693.6K-16.0M-252.0K0.7430.372,9602,181244,41667,265
2020-10-23$5.08$5.0048.8%13.9%38.1%21.3%49.3%0.1%0.7%711.9K-16.9M-259.7K0.134.735,032633245,70368,276
2020-10-26$4.88$5.0052.6%15.5%39.2%23.8%53.2%-0.2%1.3%632.2K-12.7M-243.8K0.1914.185,6171,089241,21465,009
2020-10-27$4.86$5.0051.2%15.0%39.2%22.9%53.1%-1.1%1.0%635.7K-12.1M-242.9K0.123.612,184271241,78565,492
2020-10-28$4.61$5.0055.4%16.4%43.6%25.6%56.0%0.2%-0.3%421.8K-4.8M-211.7K0.526.552,7691,453243,02865,558
2020-10-29$4.61$5.0054.2%16.3%43.6%24.9%55.9%4.7%1.2%325.1K-2.5M-191.6K0.1523.723,597534243,23866,302
2020-10-30$4.46$5.0055.6%17.2%43.8%25.8%59.7%0.9%-0.3%171.5K22.7K-186.7K0.2914.244,9281,424243,72066,488