BB Options History — September 2021

In September 2021, BB traded between $9.40 and $11.66. ATM implied volatility averaged 82.6%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 25.3% (HV 20d: 57.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.21.

Notable Days

2021-09-23: Highest Volume — 355,284 contracts
2021-09-30: Largest IV spike — 20.5% change
2021-09-01: Highest IV Rank — 14.6%
2021-09-22: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.28	$9.40	$11.66	$11.66	$9.73
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	82.6%	65.5%	96.0%	96.0%	79.0%
Expected Move	23.3%	18.2%	25.9%	25.0%	20.6%
HV 20d	57.2%	45.0%	60.7%	54.6%	57.3%
HV 60d	55.4%	52.5%	58.0%	58.0%	56.4%
IV Rank	10.5%	5.3%	14.6%	14.6%	9.4%
IV Percentile	53.6%	29.0%	66.7%	66.7%	49.2%
Term Structure	-1.1%	-11.7%	1.6%	-1.1%	-11.7%
VWIV	89.7%	69.6%	100.3%	97.6%	79.7%
Skew 25d	-17.3%	-29.4%	-10.1%	-29.4%	-12.3%
Skew 10d	-39.6%	-68.8%	-26.0%	-68.8%	-26.8%
Call IV 25d	96.0%	73.1%	119.6%	119.6%	83.5%
Put IV 25d	78.7%	63.0%	90.1%	90.1%	71.2%
Bid-Ask Spread %	2.99	2.40	4.66	3.41	3.26
Gamma HHI	0.13	0.07	0.67	0.10	0.08
Net GEX	4.0M	1.7M	14.1M	5.8M	2.4M
Net DEX	-166.0M	-319.2M	-94.4M	-319.2M	-110.1M
Net VEX	-1.4M	-1.7M	-1.2M	-1.7M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.11	0.36	0.13	0.11
Total Volume	96,145.667	41,925	355,284	142,739	114,008
Total OI	1,017,317.429	780,979	1,184,468	1,140,984	899,161

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-09-01	$11.66	$10.00	96.0%	25.0%	54.6%	14.6%	97.6%	-29.4%	-1.1%	5.8M	-319.2M	-1.7M	0.13	3.41	126,191	16,548	849,728	291,256
2021-09-02	$11.22	$10.00	91.1%	25.4%	54.9%	13.1%	96.4%	-26.3%	-1.8%	5.2M	-264.8M	-1.7M	0.15	2.70	68,067	10,201	861,743	295,662
2021-09-03	$11.11	$10.00	89.0%	25.0%	54.9%	12.5%	98.3%	-24.6%	-0.2%	5.3M	-254.7M	-1.6M	0.18	2.69	60,643	10,873	883,609	300,859
2021-09-07	$10.82	$10.00	90.2%	25.2%	55.8%	12.9%	91.0%	-22.4%	-2.6%	3.9M	-207.2M	-1.5M	0.11	2.40	86,441	9,508	815,508	282,862
2021-09-08	$10.40	$10.00	87.7%	24.4%	57.7%	12.1%	100.3%	-20.2%	-2.8%	3.4M	-173.9M	-1.5M	0.31	3.08	53,404	16,411	827,122	285,439
2021-09-09	$10.78	$10.00	88.4%	24.9%	58.9%	12.3%	94.7%	-20.3%	-0.9%	4.1M	-208.3M	-1.5M	0.16	2.74	107,895	17,658	850,722	289,392
2021-09-10	$10.39	$10.00	85.9%	24.4%	60.4%	11.5%	92.7%	-18.8%	-0.5%	3.4M	-162.9M	-1.4M	0.19	2.95	64,625	12,343	860,980	297,509
2021-09-13	$10.47	$10.00	85.3%	24.2%	59.3%	11.3%	99.2%	-16.6%	1.6%	3.9M	-183.8M	-1.5M	0.11	3.32	81,627	8,709	819,332	283,195
2021-09-14	$10.06	$10.00	84.1%	24.1%	60.7%	11.0%	92.3%	-16.5%	0.4%	3.2M	-139.6M	-1.4M	0.11	3.42	59,634	6,704	829,132	288,051
2021-09-15	$10.11	$10.00	81.3%	23.3%	60.7%	10.1%	92.1%	-15.8%	-0.1%	3.8M	-139.5M	-1.4M	0.21	2.89	34,507	7,418	853,015	291,499
2021-09-16	$10.15	$10.00	81.5%	23.4%	58.5%	10.2%	92.4%	-16.9%	-1.4%	5.4M	-153.3M	-1.4M	0.23	2.97	39,117	9,024	872,023	293,488
2021-09-17	$10.03	$10.00	83.8%	24.1%	54.9%	10.9%	88.1%	-14.7%	0.8%	14.1M	-144.8M	-1.3M	0.28	4.66	59,808	16,987	879,198	295,499
2021-09-20	$9.40	$10.00	88.0%	25.5%	59.7%	12.2%	97.7%	-11.8%	-1.7%	1.7M	-97.6M	-1.2M	0.23	3.01	75,502	17,183	585,791	195,188
2021-09-21	$9.40	$10.00	85.8%	25.4%	56.6%	11.5%	96.0%	-15.0%	-1.4%	1.7M	-96.0M	-1.2M	0.26	2.72	42,589	11,145	598,058	200,554
2021-09-22	$9.56	$10.00	85.9%	25.9%	45.0%	11.5%	100.2%	-15.3%	-1.4%	2.1M	-113.8M	-1.3M	0.24	3.29	88,221	21,090	624,525	208,887
2021-09-23	$10.61	$10.00	79.6%	23.1%	58.7%	9.6%	89.9%	-17.4%	-1.6%	4.0M	-191.4M	-1.4M	0.28	2.82	278,646	76,638	643,064	214,029
2021-09-24	$10.38	$10.00	71.3%	20.0%	59.1%	7.1%	74.7%	-14.3%	1.1%	3.0M	-177.2M	-1.4M	0.36	2.60	89,595	31,980	680,092	225,500
2021-09-27	$10.16	$10.00	65.5%	18.2%	57.4%	5.3%	70.0%	-12.0%	0.5%	2.8M	-139.0M	-1.3M	0.20	2.56	76,796	15,084	638,359	207,116
2021-09-28	$9.82	$10.00	69.0%	19.2%	58.3%	6.3%	70.7%	-13.7%	1.5%	2.3M	-114.9M	-1.3M	0.30	2.88	39,207	11,910	650,824	212,508
2021-09-29	$9.61	$10.00	65.5%	18.7%	58.0%	5.3%	69.6%	-10.1%	0.1%	2.0M	-94.4M	-1.2M	0.21	2.46	37,305	7,817	665,806	217,381
2021-09-30	$9.73	$10.00	79.0%	20.6%	57.3%	9.4%	79.7%	-12.3%	-11.7%	2.4M	-110.1M	-1.3M	0.11	3.26	102,581	11,427	677,976	221,185