BB Options History — November 2021

In November 2021, BB traded between $9.56 and $11.76. ATM implied volatility averaged 80.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 23.8% (HV 20d: 56.2%). 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 16 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-11-03: Highest Volume — 317,619 contracts
  • 2021-11-03: Largest IV spike — 10.7% change
  • 2021-11-03: Highest IV Rank — 13.5%
  • 2021-11-03: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.69$9.56$11.76$11.34$9.56
Max Pain$10.14$10.00$11.00$11.00$10.00
ATM IV80.0%71.9%92.4%79.6%80.7%
Expected Move22.4%20.1%27.8%23.2%20.1%
HV 20d56.2%46.5%66.2%57.7%46.5%
HV 60d56.6%54.0%59.9%56.4%54.3%
IV Rank8.7%5.5%13.5%9.6%7.8%
IV Percentile48.0%32.9%64.3%51.2%49.6%
Term Structure1.6%-4.5%8.5%-3.2%1.0%
VWIV88.2%73.4%106.9%91.2%76.5%
Skew 25d-18.3%-37.0%-7.0%-28.0%-7.0%
Skew 10d-41.7%-81.9%-19.9%-57.8%-19.9%
Call IV 25d95.1%83.4%121.0%100.5%88.8%
Put IV 25d76.8%70.1%89.7%72.5%81.8%
Bid-Ask Spread %3.802.418.384.043.18
Gamma HHI0.100.080.160.090.08
Net GEX4.0M2.3M6.2M4.4M2.3M
Net DEX-193.5M-316.8M-101.9M-249.4M-101.9M
Net VEX-1.4M-1.7M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.070.430.090.31
Total Volume92,722.8136,422317,619190,97149,541
Total OI976,474.381888,2951,066,823912,412909,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$11.34$11.0079.6%23.2%57.7%9.6%91.2%-28.0%-3.2%4.4M-249.4M-1.5M0.094.04175,39715,574694,336218,076
2021-11-02$11.35$11.0083.5%24.5%57.7%10.8%102.0%-33.7%0.1%5.1M-257.0M-1.6M0.108.38158,01416,323742,696223,361
2021-11-03$11.76$11.0092.4%27.8%57.3%13.5%106.9%-37.0%0.1%6.2M-316.8M-1.7M0.073.20297,04620,573772,702224,275
2021-11-04$10.94$10.0084.3%24.5%64.1%11.1%106.6%-29.9%3.0%4.5M-230.3M-1.5M0.105.15159,89616,361810,290231,274
2021-11-05$10.99$10.0082.9%23.8%63.1%10.6%96.0%-27.9%0.1%5.2M-231.9M-1.6M0.205.7877,66015,507830,247236,576
2021-11-08$11.28$10.0081.6%22.6%63.2%10.2%95.1%-26.7%-4.5%4.8M-253.9M-1.6M0.144.7188,00612,006763,143227,396
2021-11-09$11.18$10.0079.7%23.8%63.4%9.6%98.3%-22.5%1.9%5.0M-247.3M-1.5M0.324.8247,58015,451784,419227,959
2021-11-10$10.50$10.0078.2%22.4%66.2%8.9%90.0%-19.3%-0.3%2.9M-169.0M-1.4M0.302.9745,30713,400786,437229,422
2021-11-11$10.51$10.0074.6%22.2%64.3%7.8%86.6%-17.3%2.9%3.2M-163.6M-1.3M0.202.7137,5537,633791,599231,256
2021-11-12$10.77$10.0075.0%22.1%64.8%7.4%84.2%-14.5%3.5%3.9M-185.7M-1.4M0.342.4140,20213,757797,427232,404
2021-11-15$10.79$10.0077.2%22.3%63.8%8.1%89.5%-13.5%4.7%4.2M-189.2M-1.4M0.252.7454,97813,972746,294218,844
2021-11-16$11.22$10.0076.1%21.9%48.9%7.7%84.1%-11.8%5.2%5.6M-233.1M-1.4M0.182.9864,50911,650758,239221,188
2021-11-17$10.97$10.0071.9%20.6%49.4%5.5%78.2%-13.3%5.7%6.0M-210.7M-1.4M0.172.5250,4158,509778,079222,412
2021-11-18$10.62$10.0074.7%21.1%50.4%6.0%83.2%-13.0%5.0%4.2M-170.7M-1.3M0.212.8048,60310,100780,835224,354
2021-11-19$10.47$10.0074.0%20.2%49.6%5.7%82.5%-13.4%8.5%2.4M-156.7M-1.3M0.272.6953,37514,672791,136224,838
2021-11-22$10.16$10.0079.0%21.1%50.3%7.3%80.5%-14.3%-0.9%2.9M-141.4M-1.2M0.253.1669,84617,154697,907190,388
2021-11-23$10.12$10.0085.4%21.3%50.1%9.3%80.6%-12.6%0.7%3.0M-142.5M-1.2M0.113.1963,7956,802721,754197,162
2021-11-24$10.19$10.0079.2%20.3%49.7%7.4%73.4%-9.5%2.2%3.2M-154.0M-1.3M0.202.9843,5528,558732,352199,347
2021-11-26$9.94$10.0087.4%23.5%50.0%9.9%85.4%-10.7%-3.3%2.5M-133.2M-1.2M0.433.3725,50110,921740,450202,276
2021-11-29$9.87$10.0083.5%21.4%49.9%8.7%80.5%-9.3%0.3%2.6M-125.1M-1.2M0.236.0538,4459,035700,099193,318
2021-11-30$9.56$10.0080.7%20.1%46.5%7.8%76.5%-7.0%1.0%2.3M-101.9M-1.1M0.313.1837,92211,619713,682195,713