BB Options History — November 2020

In November 2020, BB traded between $4.48 and $6.12. ATM implied volatility averaged 55.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 11.9% (HV 20d: 43.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-11-27: Highest Volume — 40,706 contracts
  • 2020-11-27: Largest IV spike — 11.4% change
  • 2020-11-30: Highest IV Rank — 32.9%
  • 2020-11-30: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.25$4.48$6.12$4.48$5.88
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV55.3%48.3%66.5%54.9%66.5%
Expected Move16.9%14.7%20.3%17.3%20.3%
HV 20d43.4%37.7%47.9%43.7%41.8%
HV 60d42.6%40.5%44.0%40.5%41.1%
IV Rank25.5%21.0%32.9%25.3%32.9%
IV Percentile37.6%18.7%68.7%36.9%68.7%
Term Structure0.6%-10.2%8.9%-0.5%-2.8%
VWIV61.1%52.0%74.2%60.4%74.2%
Skew 25d0.6%-5.8%5.1%4.8%0.9%
Skew 10d4.1%-22.7%22.9%-22.7%-11.5%
Call IV 25d56.5%48.2%70.7%54.0%62.4%
Put IV 25d57.1%49.2%66.3%58.8%63.3%
Bid-Ask Spread %34.499.7470.6713.5667.46
Gamma HHI0.290.210.390.260.23
Net GEX892.8K404.6K1.6M404.6K1.2M
Net DEX-21.7M-54.9M-3.4M-3.4M-40.6M
Net VEX-249.6K-320.3K-203.8K-203.8K-316.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.030.510.410.05
Total Volume11,900.32,96440,7067,61024,458
Total OI319,146.85302,865348,186302,865348,186

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$4.48$5.0054.9%17.3%43.7%25.3%60.4%4.8%-0.5%404.6K-3.4M-203.8K0.4113.565,4072,203238,46464,401
2020-11-03$4.66$5.0055.4%17.0%45.5%25.6%56.4%4.8%-1.0%444.5K-4.3M-203.8K0.1649.634,209658238,46464,401
2020-11-04$4.66$5.0050.0%14.7%45.5%22.1%52.0%0.3%1.9%513.4K-5.9M-210.5K0.0913.092,899266243,47865,020
2020-11-05$4.86$5.0048.9%16.5%47.8%21.4%60.9%5.1%1.9%584.6K-7.2M-209.3K0.5170.672,7181,399244,85265,057
2020-11-06$4.85$5.0048.7%16.3%47.0%21.3%73.2%-0.8%3.0%537.4K-6.9M-206.8K0.0727.804,141296245,64965,266
2020-11-09$4.95$5.0048.3%16.1%47.5%21.0%57.6%0.2%6.8%683.7K-10.4M-219.3K0.0945.515,347496243,81064,071
2020-11-10$5.02$5.0049.9%15.7%37.7%22.1%55.2%2.0%3.4%790.4K-16.1M-246.8K0.2125.082,452512246,13964,100
2020-11-11$5.18$5.0049.3%16.4%39.3%21.6%58.8%2.9%8.9%853.9K-18.5M-242.9K0.0320.9410,457317247,67064,061
2020-11-12$4.99$5.0051.3%16.6%41.5%23.0%59.9%-2.0%8.3%861.8K-16.6M-240.8K0.0936.273,410317250,09064,322
2020-11-13$5.11$5.0051.2%16.3%41.8%22.9%57.2%1.0%8.0%843.0K-19.3M-250.5K0.3924.902,425944250,63364,460
2020-11-16$5.19$5.0051.3%15.2%41.5%23.0%54.2%-0.5%2.7%877.4K-17.7M-241.0K0.2124.074,551975248,68164,450
2020-11-17$5.29$5.0054.2%15.9%41.9%24.8%55.8%3.2%0.1%852.4K-19.6M-238.5K0.1614.556,5261,056249,05465,040
2020-11-18$5.45$5.0058.6%16.8%42.8%27.7%59.4%-1.8%-1.8%1.0M-27.1M-258.9K0.0753.5521,1231,396252,73366,164
2020-11-19$5.38$5.0060.3%17.5%43.1%28.8%59.7%2.1%-8.1%970.7K-23.4M-248.6K0.179.747,8431,296257,93167,114
2020-11-20$5.73$5.0061.6%17.9%47.9%29.7%63.3%-5.8%-1.6%988.6K-36.5M-279.7K0.0513.3825,4681,380261,90866,629
2020-11-23$5.66$5.0060.9%18.2%45.3%29.2%64.0%-3.0%-3.2%1.1M-32.2M-282.2K0.1045.5118,7251,841260,89063,790
2020-11-24$5.69$5.0059.3%18.0%45.1%28.2%64.5%-0.5%-1.1%1.2M-31.9M-277.5K0.0433.4810,076378269,25564,785
2020-11-25$5.89$5.0058.9%18.1%39.9%27.9%64.4%0.6%-3.5%1.6M-41.3M-293.7K0.0546.3518,484851271,45764,947
2020-11-27$6.12$5.0065.6%18.4%40.6%32.3%70.5%-2.3%-10.2%1.4M-54.9M-320.3K0.0454.3239,2301,476280,08365,432
2020-11-30$5.88$5.0066.5%20.3%41.8%32.9%74.2%0.9%-2.8%1.2M-40.6M-316.4K0.0567.4623,2281,230282,80065,386