BB Options History — September 2023

In September 2023, BB traded between $4.54 and $5.61. ATM implied volatility averaged 68.9%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 23.3% (HV 20d: 92.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2023-09-11: Highest Volume — 40,934 contracts
  • 2023-09-29: Largest IV drop — 13.8% change
  • 2023-09-28: Highest IV Rank — 50.1%
  • 2023-09-28: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.54$5.61$5.61$4.74
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV68.9%62.7%72.7%70.9%62.7%
Expected Move19.7%16.8%23.0%16.8%18.7%
HV 20d92.2%62.2%105.2%62.6%86.4%
HV 60d66.6%52.9%71.2%52.9%66.2%
IV Rank43.7%33.4%50.1%47.1%33.4%
IV Percentile62.0%42.9%73.4%68.3%42.9%
Term Structure-1.2%-5.0%2.1%0.6%-2.6%
VWIV70.1%60.4%83.8%60.4%64.9%
Skew 25d-2.1%-7.2%3.4%-5.8%3.4%
Skew 10d-8.4%-21.7%6.3%-6.9%6.3%
Call IV 25d72.4%60.5%78.2%75.2%60.5%
Put IV 25d70.4%64.0%75.7%69.4%64.0%
Bid-Ask Spread %13.636.2731.819.3812.45
Gamma HHI0.230.180.310.310.21
Net GEX687.8K133.3K1.6M1.5M294.2K
Net DEX-27.9M-59.5M-1.6M-59.5M-4.9M
Net VEX-191.6K-216.3K-164.3K-209.3K-164.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.111.680.340.61
Total Volume19,124.856,46740,93425,29524,718
Total OI352,242.7275,857426,507397,938323,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$5.61$5.0070.9%16.8%62.6%47.1%60.4%-5.8%0.6%1.5M-59.5M-209.3K0.349.3818,8376,458287,215110,723
2023-09-05$5.58$5.0071.5%19.6%62.4%48.2%71.9%-6.3%-0.6%1.4M-58.0M-190.4K0.9514.619,9739,443279,18099,657
2023-09-06$5.55$5.0070.7%18.2%62.2%46.7%69.0%-3.8%0.2%1.6M-54.8M-203.6K0.4110.758,7303,547285,594105,785
2023-09-07$4.67$5.0068.9%19.9%89.4%43.8%69.4%-7.2%2.1%419.9K-4.2M-164.3K0.368.5129,28810,457284,793107,368
2023-09-08$4.54$5.0067.3%19.7%89.8%41.2%68.5%-6.1%2.1%133.3K-1.6M-164.6K1.056.9310,15610,705301,648108,875
2023-09-11$5.25$5.0070.5%19.9%103.6%46.5%71.5%-0.8%-1.5%1.2M-38.6M-199.6K0.366.2730,15510,779288,950101,735
2023-09-12$5.31$5.0071.1%19.6%103.6%47.5%70.8%-0.0%-2.8%1.4M-43.0M-214.9K0.317.158,4542,593300,189108,369
2023-09-13$5.54$5.0068.5%19.3%103.5%43.1%68.5%-4.2%-1.8%1.5M-57.2M-216.3K0.369.1015,4555,512303,867109,640
2023-09-14$5.42$5.0065.6%18.3%103.7%38.2%65.3%-3.2%-2.1%469.9K-43.8M-201.6K0.369.0512,1064,312309,894111,210
2023-09-15$5.42$5.0066.0%18.7%103.4%38.9%68.1%-4.3%-0.2%468.9K-42.8M-203.1K0.7912.5014,79911,731313,096113,411
2023-09-18$5.24$5.0068.1%19.4%104.6%42.5%68.0%0.5%-2.0%340.3K-21.6M-202.3K0.2920.2813,1973,763212,53683,100
2023-09-19$5.13$5.0069.2%19.8%105.2%44.3%71.9%-2.0%-1.7%239.5K-17.5M-188.2K1.6216.404,7417,687217,42385,074
2023-09-20$5.12$5.0066.7%19.1%105.2%40.1%67.6%-2.2%-0.3%207.6K-17.0M-193.8K0.8522.264,6643,971219,91889,264
2023-09-21$5.14$5.0068.4%19.7%104.9%43.0%69.5%0.3%-1.3%196.3K-18.2M-199.1K1.6827.363,7886,345222,57289,849
2023-09-22$5.13$5.0067.3%19.8%104.1%41.2%69.1%-0.5%-5.0%484.1K-19.4M-193.7K0.116.5710,7951,160223,97986,291
2023-09-25$4.99$5.0069.5%20.5%87.6%44.7%71.9%0.4%-2.5%425.1K-14.8M-181.9K0.2615.5417,0424,424213,02762,830
2023-09-26$4.88$5.0071.4%21.6%87.4%47.9%76.5%1.2%0.9%486.7K-14.1M-181.5K0.6914.744,7253,252225,19564,578
2023-09-27$4.88$5.0070.1%21.5%87.3%45.7%76.0%0.3%-2.8%537.7K-15.0M-185.2K0.9131.813,3843,083230,83365,060
2023-09-28$4.78$5.0072.7%23.0%86.6%50.1%83.8%-0.8%-2.6%479.8K-11.7M-175.1K1.0910.9313,55314,715232,19466,062
2023-09-29$4.74$5.0062.7%18.7%86.4%33.4%64.9%3.4%-2.6%294.2K-4.9M-164.6K0.6112.4515,3459,373243,02680,844