BBSI Options History — September 2014

Name: BBSI Options Analytics - September 2014
Creator: Options Analysis Suite

In September 2014, BBSI traded between $9.87 and $15.07. ATM implied volatility averaged 53.9%. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 20.9% (HV 20d: 74.8%). Max pain ranged from $13.75 to $16.25. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2014-09-22: Highest Volume — 540 contracts
2014-09-23: Largest IV spike — 41.8% change
2014-09-30: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.44	$9.87	$15.07	$15.07	$9.87
Max Pain	$14.69	$13.75	$16.25	$16.25	$13.75
ATM IV	53.9%	38.0%	67.8%	54.4%	60.9%
Expected Move	14.6%	12.0%	16.3%	14.9%	16.3%
HV 20d	74.8%	72.3%	77.0%	77.0%	72.3%
Term Structure	-1.4%	-22.7%	7.7%	3.5%	-7.0%
VWIV	50.4%	43.7%	56.7%	50.0%	51.7%
Skew 25d	0.1%	-28.6%	16.0%	1.4%	12.9%
Skew 10d	0.9%	-36.3%	22.2%	12.7%	22.2%
Call IV 25d	64.5%	45.7%	105.3%	58.9%	45.7%
Put IV 25d	64.6%	55.5%	83.8%	60.3%	58.6%
Bid-Ask Spread %	69.54	19.12	99.81	61.61	91.71
Gamma HHI	0.54	0.26	1.00	1.00	0.46
Net GEX	-2.5K	-10.6K	2.2K	0	-8.7K
Net DEX	167.5K	-26.4K	623.5K	0	412.1K
Net VEX	-575	-1.7K	0	0	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	2.33	0.00	0.40
Total Volume	71.368	0	540	0	12
Total OI	396	0	972	0	972

Daily Data (19 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
2014-09-04	$15.07	$0.00	54.4%	14.9%	0.0%	0.0%	0.0%	0.0%	3.5%	0	0	0	0.00	61.61	0	0	0	0
2014-09-05	$15.00	$0.00	63.2%	14.9%	0.0%	0.0%	0.0%	0.0%	0.2%	0	0	0	0.00	69.28	0	0	0	0
2014-09-08	$15.03	$0.00	51.7%	14.6%	0.0%	0.0%	50.0%	0.0%	0.8%	0	0	0	0.00	32.23	40	0	0	0
2014-09-09	$14.86	$16.25	44.4%	13.5%	0.0%	0.0%	0.0%	0.0%	2.2%	758	-26.4K	-155	0.00	47.37	0	16	40	0
2014-09-10	$14.75	$16.25	43.5%	13.6%	0.0%	0.0%	0.0%	0.0%	2.3%	362	-18.9K	-192	0.00	49.81	0	0	40	16
2014-09-11	$14.62	$16.25	44.7%	13.5%	0.0%	0.0%	0.0%	0.0%	2.5%	365	-17.4K	-192	0.00	48.01	0	0	40	16
2014-09-12	$14.36	$16.25	42.6%	13.8%	0.0%	0.0%	0.0%	0.0%	-7.7%	100	-17.4K	-182	0.00	48.10	0	0	40	16
2014-09-15	$14.41	$16.25	38.0%	13.2%	0.0%	0.0%	43.7%	0.0%	2.1%	-182	-12.1K	-173	0.00	46.50	56	0	40	16
2014-09-16	$12.17	$16.25	46.4%	14.4%	0.0%	0.0%	50.1%	0.0%	6.7%	51	5.6K	-123	0.90	78.95	244	220	56	16
2014-09-17	$12.13	$13.75	58.7%	14.4%	0.0%	0.0%	50.0%	1.4%	-8.6%	839	181.0K	-364	0.50	93.05	16	8	184	192
2014-09-18	$12.13	$13.75	58.9%	15.4%	0.0%	0.0%	0.0%	16.0%	0.4%	2.2K	159.0K	-503	0.00	97.52	0	12	200	200
2014-09-19	$10.96	$13.75	58.7%	14.5%	0.0%	0.0%	56.7%	5.4%	-3.3%	-12	170.3K	-368	2.33	79.48	24	56	200	212
2014-09-22	$10.65	$13.75	47.9%	15.2%	0.0%	0.0%	50.6%	-17.7%	0.4%	-719	42.3K	-359	0.00	83.74	0	540	204	132
2014-09-23	$10.03	$13.75	67.8%	12.0%	0.0%	0.0%	0.0%	-28.6%	7.7%	-10.6K	623.5K	-55	2.33	19.12	12	28	196	672
2014-09-24	$10.11	$13.75	65.3%	15.5%	0.0%	0.0%	51.7%	7.1%	-1.6%	-7.8K	408.0K	-1.7K	0.40	99.81	40	16	216	700
2014-09-25	$10.00	$13.75	58.5%	15.9%	77.0%	0.0%	0.0%	1.0%	-4.0%	-8.1K	431.3K	-1.7K	0.00	90.37	0	16	256	708
2014-09-26	$10.05	$13.75	57.9%	15.9%	75.5%	0.0%	0.0%	-10.1%	-0.1%	-8.3K	422.6K	-1.7K	0.00	96.17	0	0	256	716
2014-09-29	$10.16	$13.75	60.9%	15.0%	74.5%	0.0%	0.0%	13.4%	-22.7%	-7.6K	418.4K	-1.6K	0.00	88.36	0	0	256	716
2014-09-30	$9.87	$13.75	60.9%	16.3%	72.3%	0.0%	0.0%	12.9%	-7.0%	-8.7K	412.1K	-1.6K	0.00	91.71	0	12	256	716