BBSI Options History — October 2014

In October 2014, BBSI traded between $4.64 and $11.20. ATM implied volatility averaged 69.9%. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 24.0% (HV 20d: 93.9%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.08.

Notable Days

  • 2014-10-29: Highest Volume — 9,764 contracts
  • 2014-10-29: Largest IV spike — 94.0% change
  • 2014-10-30: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.87$4.64$11.20$9.96$5.92
Max Pain$13.70$12.50$13.75$13.75$12.50
ATM IV69.9%49.9%115.8%56.3%85.2%
Expected Move16.8%15.2%26.1%15.8%23.3%
HV 20d93.9%44.8%323.7%71.2%323.7%
Term Structure-6.6%-129.9%9.1%0.2%-2.4%
VWIV57.6%44.3%93.7%50.5%80.0%
Skew 25d4.7%-38.9%27.9%17.7%-1.7%
Skew 10d7.6%-39.8%28.9%27.7%-14.8%
Call IV 25d61.3%38.3%135.2%50.2%88.5%
Put IV 25d66.0%51.6%96.3%67.9%86.7%
Bid-Ask Spread %83.3168.5594.6491.0168.55
Gamma HHI0.440.280.530.410.28
Net GEX-5.7K-10.4K27.5K-9.7K27.5K
Net DEX342.5K-808.5K473.5K469.2K-808.5K
Net VEX-2.4K-10.6K-546-1.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.221.501.230.22
Total Volume1,058.43509,76406,112
Total OI1,909.39195611,72898411,728

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$9.96$13.7556.3%15.8%71.2%0.0%0.0%17.7%0.2%-9.7K469.2K-1.5K0.0091.0100256728
2014-10-02$10.18$13.7557.1%15.6%71.0%0.0%0.0%27.9%9.1%-7.5K456.9K-1.6K0.0094.64044256728
2014-10-03$10.36$13.7565.9%16.1%72.1%0.0%0.0%25.6%-4.9%-8.0K427.7K-1.9K0.0091.0200256772
2014-10-06$10.36$13.7553.9%15.9%72.0%0.0%0.0%14.6%1.6%-8.5K439.2K-1.8K0.0087.0800256772
2014-10-07$10.03$13.7572.3%16.3%72.1%0.0%0.0%23.5%-4.9%-8.1K440.5K-1.7K0.0094.29052256772
2014-10-08$10.48$13.7570.3%15.2%75.6%0.0%50.5%13.0%3.5%-8.4K473.5K-1.8K1.2388.29156192256808
2014-10-09$10.01$13.7566.2%16.2%76.2%0.0%50.1%7.8%-3.0%-8.7K407.0K-1.9K1.2883.58156200268808
2014-10-10$10.18$13.7567.4%15.7%77.2%0.0%50.2%0.1%-2.6%-9.1K462.5K-1.8K1.2587.47160200268824
2014-10-13$10.15$13.7591.9%15.2%77.0%0.0%49.3%9.1%-2.0%-8.9K436.3K-1.8K1.1889.12160188280824
2014-10-14$10.60$13.7587.3%15.8%55.6%0.0%49.7%8.9%8.2%-9.3K469.7K-1.8K1.2386.51160196280828
2014-10-15$10.65$13.75107.1%15.5%55.7%0.0%54.4%3.5%-0.4%-10.4K456.5K-1.8K1.2384.40160196280828
2014-10-16$10.99$13.7557.0%15.9%57.3%0.0%52.0%11.1%-2.8%-9.6K421.6K-1.9K0.0090.8504280828
2014-10-17$11.20$13.7553.2%15.4%44.8%0.0%0.0%4.2%1.4%-7.2K394.1K-2.0K0.0071.1808280824
2014-10-20$10.55$13.7559.8%15.6%48.7%0.0%47.5%2.0%-0.4%-9.2K420.9K-1.8K1.5071.65120180168788
2014-10-21$10.93$13.7558.6%15.3%44.9%0.0%53.4%4.9%-5.5%-9.7K444.2K-1.8K1.3680.74132180168788
2014-10-22$10.63$13.7549.9%16.0%46.3%0.0%50.6%-7.0%7.0%-8.2K383.6K-1.9K1.3679.89132180188788
2014-10-23$10.89$13.7558.3%15.7%46.7%0.0%54.1%-0.6%-1.2%-9.0K416.8K-1.9K1.3679.83132180188788
2014-10-24$10.95$13.7552.2%15.7%46.7%0.0%44.3%-1.0%-1.3%-9.4K433.8K-1.8K1.3672.56132180188788
2014-10-27$11.10$13.7562.4%15.5%46.7%0.0%54.8%-6.1%-9.0%-9.5K415.5K-1.9K1.3680.80132180188788
2014-10-28$11.10$13.7559.7%15.6%45.1%0.0%54.8%3.6%-3.8%-8.8K376.0K-1.9K0.6279.71276172188788
2014-10-29$4.64$13.75115.8%24.1%314.8%0.0%93.7%-38.9%-129.9%-700299.4K-5460.3379.017,3402,424356792
2014-10-30$5.16$13.7599.2%26.1%318.3%0.0%90.3%-13.5%-9.2%19.6K-257.8K-8.5K0.4383.992,7521,1767,7642,668
2014-10-31$5.92$12.5085.2%23.3%323.7%0.0%80.0%-1.7%-2.4%27.5K-808.5K-10.6K0.2268.555,0161,0968,3563,372