BB Options History — February 2021

In February 2021, BB traded between $10.11 and $14.72. ATM implied volatility averaged 124.1%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 35.9%. IV traded below realized volatility by 120.0% (HV 20d: 244.1%). Max pain ranged from $8.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.31.

Notable Days

  • 2021-02-02: Highest Volume — 425,238 contracts
  • 2021-02-02: Largest IV drop — 38.5% change
  • 2021-02-01: Highest IV Rank — 63.7%
  • 2021-02-01: Largest Expected Move — 71.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.98$10.11$14.72$14.72$10.11
Max Pain$9.24$8.00$12.00$12.00$9.00
ATM IV124.1%91.5%244.3%244.3%117.4%
Expected Move35.9%26.3%71.4%71.4%31.3%
HV 20d244.1%104.9%266.8%247.9%104.9%
HV 60d166.2%157.2%168.7%157.2%168.7%
IV Rank30.2%21.1%63.7%63.7%28.3%
IV Percentile87.5%79.4%98.0%98.0%86.5%
Term Structure3.2%-31.3%37.9%-7.4%1.5%
VWIV138.1%102.7%276.4%276.4%118.5%
Skew 25d-18.9%-52.1%-3.3%-52.1%-13.4%
Skew 10d-45.9%-95.6%9.0%-75.1%-32.3%
Call IV 25d142.8%99.7%290.1%290.1%123.8%
Put IV 25d124.0%94.7%238.0%238.0%110.4%
Bid-Ask Spread %6.532.3631.652.365.91
Gamma HHI0.080.070.130.070.07
Net GEX3.2M2.0M5.0M3.0M2.1M
Net DEX-288.8M-524.3M-156.4M-524.3M-156.4M
Net VEX-1.7M-1.9M-1.5M-1.9M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.140.600.320.43
Total Volume181,038.68480,300425,238326,534113,610
Total OI1,133,296.316913,5401,316,3701,092,8321,052,082

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$14.72$12.00244.3%71.4%247.9%63.7%276.4%-52.1%-7.4%3.0M-524.3M-1.9M0.322.36246,54779,987746,891345,941
2021-02-02$11.72$12.00150.3%42.1%265.2%37.5%160.4%-29.7%-1.4%2.0M-237.6M-1.6M0.538.35278,463146,775803,731371,224
2021-02-03$11.93$11.50144.5%41.2%265.2%35.8%155.5%-24.1%-2.0%2.4M-273.6M-1.7M0.345.42167,22557,393865,282407,701
2021-02-04$12.23$8.00133.5%38.8%264.8%32.8%158.6%-27.4%4.5%3.3M-307.3M-1.8M0.333.14126,26442,071885,283410,260
2021-02-05$13.32$8.00132.7%38.5%265.3%32.6%142.9%-26.4%1.5%3.8M-415.0M-1.8M0.253.65245,82462,554907,167409,203
2021-02-08$13.66$8.00134.5%38.5%265.1%33.1%145.0%-29.7%-1.2%4.7M-445.5M-1.8M0.324.62150,79748,501786,605334,772
2021-02-09$13.34$8.00121.8%35.8%265.8%29.5%136.8%-21.6%1.3%5.0M-412.8M-1.8M0.313.3875,42823,656822,222349,431
2021-02-10$13.07$9.00118.9%34.4%266.2%28.7%133.7%-23.0%0.3%4.8M-385.7M-1.8M0.233.75116,11726,203832,909354,036
2021-02-11$12.51$9.00113.9%33.8%266.8%27.3%132.3%-14.3%5.1%4.6M-328.0M-1.8M0.274.7591,65925,127854,028354,806
2021-02-12$12.94$9.00110.5%32.6%259.8%26.4%122.0%-38.5%4.7%5.0M-378.5M-1.8M0.335.17101,89133,130859,155355,225
2021-02-16$12.18$9.00104.1%30.0%260.0%24.6%113.4%-11.5%37.9%3.7M-279.6M-1.6M0.266.16118,83231,474769,573315,556
2021-02-17$11.31$9.0098.9%28.3%247.4%23.1%113.2%-7.8%-31.3%2.8M-205.7M-1.6M0.2814.80117,19332,829812,978324,243
2021-02-18$10.97$9.0094.5%26.9%247.3%21.9%102.7%-6.3%4.6%2.6M-184.8M-1.6M0.274.7363,15117,149841,705325,210
2021-02-19$10.88$9.0091.5%26.3%247.2%21.1%105.6%-5.2%-2.7%2.0M-167.7M-1.6M0.322.9293,41129,441855,015326,117
2021-02-22$10.62$9.0095.5%26.9%244.9%22.1%109.6%-3.3%-12.7%2.0M-169.8M-1.5M0.144.93106,10415,009659,551253,989
2021-02-23$10.38$9.0097.5%27.7%227.0%22.7%106.3%-7.2%16.6%2.2M-161.8M-1.6M0.603.5955,28733,312698,268258,101
2021-02-24$11.14$9.00120.7%41.4%227.4%29.2%154.2%-4.7%25.1%2.8M-248.8M-1.7M0.1631.65149,67423,963708,402259,448
2021-02-25$10.51$9.00133.3%36.0%199.4%32.7%137.8%-12.5%16.3%2.9M-204.7M-1.6M0.164.75252,87540,809748,503268,017
2021-02-26$10.11$9.00117.4%31.3%104.9%28.3%118.5%-13.4%1.5%2.1M-156.4M-1.5M0.435.9179,29534,315772,099279,983