BB Options History — December 2021

In December 2021, BB traded between $8.61 and $9.50. ATM implied volatility averaged 79.1%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 32.8% (HV 20d: 46.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-12-22: Highest Volume — 216,231 contracts
  • 2021-12-22: Largest IV drop — 22.8% change
  • 2021-12-21: Highest IV Rank — 13.3%
  • 2021-12-21: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.61$9.50$8.97$9.40
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV79.1%63.0%97.9%87.0%63.0%
Expected Move22.1%17.5%27.9%22.3%17.5%
HV 20d46.3%41.5%50.5%50.2%41.8%
HV 60d53.5%51.0%55.9%55.6%51.7%
IV Rank7.3%2.3%13.3%9.8%2.3%
IV Percentile43.9%9.1%73.4%58.3%9.1%
Term Structure-0.5%-5.8%4.1%-1.8%4.1%
VWIV83.2%61.7%104.9%86.1%61.7%
Skew 25d-7.8%-15.0%-4.7%-10.0%-6.3%
Skew 10d-18.2%-36.3%-6.3%-24.4%-14.6%
Call IV 25d87.9%69.4%110.6%95.9%69.4%
Put IV 25d80.0%63.1%95.6%85.9%63.1%
Bid-Ask Spread %3.252.039.564.062.48
Gamma HHI0.120.080.560.080.14
Net GEX2.5M1.2M10.8M1.6M3.0M
Net DEX-82.9M-115.5M-49.9M-69.9M-91.0M
Net VEX-953.8K-1.1M-886.6K-997.3K-895.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.200.550.250.31
Total Volume67,289.68232,739216,23156,94446,730
Total OI910,934.455802,310954,402919,369908,501

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$8.97$10.0087.0%22.3%50.2%9.8%86.1%-10.0%-1.8%1.6M-69.9M-997.3K0.254.0645,60611,338718,825200,544
2021-12-02$9.31$10.0087.5%21.8%50.5%10.0%82.4%-5.4%-1.2%2.2M-95.3M-1.1M0.209.5649,6199,677732,937204,293
2021-12-03$8.88$10.0085.8%24.1%47.1%9.5%86.9%-5.0%-1.0%1.6M-65.7M-993.5K0.353.4453,87518,991743,530207,124
2021-12-06$9.04$10.0083.6%22.9%47.9%8.8%88.3%-7.6%-0.4%1.6M-72.0M-965.4K0.283.6934,0919,376698,796201,523
2021-12-07$9.29$10.0081.7%22.2%48.1%8.1%85.9%-7.3%-1.4%2.1M-87.0M-1.0M0.312.8632,83310,097709,921204,888
2021-12-08$9.32$10.0079.1%22.2%48.3%7.4%84.4%-7.9%-0.7%2.3M-88.5M-1.0M0.282.6128,0897,886719,892207,195
2021-12-09$9.01$10.0080.3%22.9%45.0%7.7%88.3%-6.2%-2.1%1.8M-70.8M-965.1K0.362.5324,0588,681729,755208,196
2021-12-10$8.78$10.0081.0%22.9%45.3%7.9%87.2%-5.9%-2.8%1.3M-56.3M-926.5K0.522.3330,66216,078734,940209,494
2021-12-13$8.68$10.0081.8%23.1%43.6%8.2%88.3%-5.6%0.3%1.2M-49.9M-886.6K0.272.7333,9169,070702,882205,962
2021-12-14$8.61$10.0082.9%24.2%43.3%8.5%91.7%-9.6%1.2%1.2M-52.9M-899.0K0.402.9726,99010,734713,440206,737
2021-12-15$8.85$10.0088.0%24.6%41.7%10.2%96.4%-8.8%-3.0%1.5M-70.0M-928.3K0.243.3755,55913,547719,701210,368
2021-12-16$8.74$10.0085.4%24.0%41.5%9.3%94.3%-7.0%0.7%1.6M-63.0M-930.3K0.383.8130,81311,750734,618212,061
2021-12-17$9.15$10.0081.8%23.1%45.4%8.2%88.0%-12.5%-4.2%2.1M-88.7M-951.6K0.412.5852,42621,674740,893213,509
2021-12-20$8.89$10.0090.4%25.7%46.0%10.9%97.6%-10.7%-5.8%1.8M-82.5M-931.4K0.552.8448,80126,734617,664184,646
2021-12-21$9.22$10.0097.9%27.9%47.8%13.3%104.9%-15.0%1.6%2.2M-113.0M-994.3K0.393.46109,49242,889646,984202,532
2021-12-22$9.40$10.0075.6%21.7%48.5%6.2%80.8%-10.2%3.0%3.7M-114.7M-979.9K0.273.64170,66045,571698,546223,544
2021-12-23$9.47$10.0068.0%19.4%48.6%3.9%71.4%-5.8%2.3%10.8M-115.5M-976.3K0.312.8389,74527,405713,767229,646
2021-12-27$9.38$10.0065.5%18.3%48.0%3.1%67.0%-4.7%-0.0%2.4M-93.2M-930.8K0.242.6645,43110,696657,502201,007
2021-12-28$9.48$10.0064.7%18.2%48.2%2.8%65.5%-7.3%1.0%2.7M-97.6M-920.9K0.272.3245,15612,394669,247203,862
2021-12-29$9.20$10.0064.9%18.4%48.0%2.9%68.5%-5.8%-1.0%2.2M-81.0M-888.2K0.332.0334,49111,295683,342207,189
2021-12-30$9.50$10.0064.1%18.1%43.5%2.6%64.6%-7.3%0.9%3.6M-105.7M-922.4K0.402.6739,69815,749691,479209,076
2021-12-31$9.40$10.0063.0%17.5%41.8%2.3%61.7%-6.3%4.1%3.0M-91.0M-895.9K0.312.4835,54211,188695,618212,883