BB Options History — October 2021

In October 2021, BB traded between $9.32 and $11.45. ATM implied volatility averaged 68.4%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 11.6% (HV 20d: 56.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2021-10-19: Highest Volume — 365,021 contracts
  • 2021-10-19: Largest IV spike — 35.7% change
  • 2021-10-19: Highest IV Rank — 11.3%
  • 2021-10-19: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.27$9.32$11.45$9.73$10.79
Max Pain$10.29$10.00$11.00$10.00$11.00
ATM IV68.4%60.4%85.1%66.4%66.9%
Expected Move19.7%17.9%24.2%18.4%20.2%
HV 20d56.8%51.7%67.4%56.3%56.3%
HV 60d55.8%53.5%59.2%56.4%55.6%
IV Rank6.2%3.7%11.3%5.6%5.7%
IV Percentile31.2%11.9%56.7%31.0%27.8%
Term Structure-0.5%-3.6%1.4%0.0%1.4%
VWIV75.8%67.9%88.9%69.2%78.5%
Skew 25d-15.6%-29.8%-8.4%-9.3%-18.9%
Skew 10d-34.9%-61.9%-20.8%-23.3%-40.8%
Call IV 25d79.6%69.8%104.5%74.8%79.0%
Put IV 25d64.0%57.9%74.7%65.5%60.1%
Bid-Ask Spread %5.392.2314.442.234.80
Gamma HHI0.120.080.230.080.16
Net GEX3.7M2.0M6.2M2.2M4.5M
Net DEX-160.5M-280.6M-80.1M-103.7M-192.7M
Net VEX-1.3M-1.5M-1.1M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.080.320.220.17
Total Volume104,545.71434,621365,02153,93190,598
Total OI930,777831,1911,034,508912,277987,971

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$9.73$10.0066.4%18.4%56.3%5.6%69.2%-9.3%0.0%2.2M-103.7M-1.3M0.222.2344,0519,880689,147223,130
2021-10-04$9.55$10.0073.1%21.0%56.4%7.6%78.9%-10.3%-0.3%2.3M-105.2M-1.2M0.093.6290,2008,201656,628207,738
2021-10-05$9.55$10.0067.1%19.9%56.1%5.8%78.8%-12.4%0.3%2.2M-98.9M-1.2M0.083.2945,7993,774667,131211,383
2021-10-06$9.35$10.0070.3%19.6%55.0%6.8%73.4%-11.6%-0.6%2.4M-92.0M-1.2M0.096.2683,1997,572705,136214,879
2021-10-07$9.61$10.0066.3%19.5%54.2%5.5%71.6%-13.4%-0.6%3.1M-110.7M-1.2M0.145.4759,1358,376705,107216,672
2021-10-08$9.38$10.0064.3%18.4%53.4%4.9%71.9%-11.2%-1.7%2.2M-89.7M-1.2M0.155.5040,4596,135722,520218,082
2021-10-11$9.32$10.0064.9%18.4%53.2%5.1%71.6%-9.8%0.0%2.0M-80.1M-1.1M0.103.5859,4595,864670,001209,336
2021-10-12$9.32$10.0063.7%18.0%51.7%4.7%68.4%-8.4%-0.5%2.0M-81.8M-1.1M0.163.9329,7974,824677,759211,634
2021-10-13$9.81$10.0067.0%19.2%55.2%5.7%72.7%-11.1%0.6%3.5M-121.5M-1.2M0.093.71151,84814,341692,215213,945
2021-10-14$10.27$10.0074.4%21.2%57.7%8.0%79.1%-14.2%-0.8%4.4M-171.8M-1.3M0.123.24155,22819,037702,399216,121
2021-10-15$10.39$10.0070.0%20.0%57.6%6.7%75.9%-11.0%-0.6%5.5M-194.6M-1.3M0.123.23100,17112,341736,796220,573
2021-10-18$10.11$10.0062.7%18.0%53.3%4.4%67.9%-12.3%-0.5%3.5M-143.9M-1.3M0.282.9659,66116,698640,340190,851
2021-10-19$11.40$10.0085.1%24.2%67.4%11.3%88.9%-29.8%-1.6%4.5M-265.6M-1.5M0.203.24303,97561,046662,408193,632
2021-10-20$11.45$10.0076.0%21.8%67.3%8.5%79.9%-25.1%-2.7%5.7M-280.6M-1.5M0.329.83128,92141,156740,764227,093
2021-10-21$11.27$10.5069.8%20.1%57.6%6.6%73.8%-22.3%-1.3%6.1M-259.6M-1.5M0.177.45130,99222,750766,858242,910
2021-10-22$10.94$10.5068.3%19.7%58.1%6.1%77.8%-23.2%-0.8%6.2M-214.6M-1.5M0.323.2679,20925,646785,111249,397
2021-10-25$11.06$11.0068.0%19.8%57.5%6.1%77.1%-20.6%0.7%4.2M-211.8M-1.5M0.317.7563,55319,806711,731231,131
2021-10-26$10.88$11.0066.0%19.5%56.2%5.4%80.3%-18.5%0.8%4.1M-195.0M-1.4M0.144.1264,5009,057730,791234,163
2021-10-27$10.63$11.0060.4%17.9%56.3%3.7%79.7%-16.5%-3.6%3.9M-174.0M-1.4M0.2114.4452,35210,742744,225235,678
2021-10-28$10.76$11.0065.5%19.5%56.3%5.3%75.6%-17.7%0.6%4.0M-181.8M-1.4M0.2611.3643,66011,447747,892235,039
2021-10-29$10.79$11.0066.9%20.2%56.3%5.7%78.5%-18.9%1.4%4.5M-192.7M-1.4M0.174.8077,57813,020752,378235,593