BBSI Options History — November 2014 In November 2014, BBSI traded between $5.46 and $6.29. ATM implied volatility averaged 74.3%. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 223.8% (HV 20d: 298.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.60.
Notable Days 2014-11-12 : Highest Volume — 3,996 contracts2014-11-11 : Largest IV spike — 19.5% change2014-11-04 : Largest Expected Move — 23.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.75 $5.46 $6.29 $5.70 $5.46 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 74.3% 59.1% 87.3% 84.2% 67.0% Expected Move 21.5% 20.2% 23.5% 23.5% 21.2% HV 20d 298.1% 72.8% 326.1% 323.6% 72.8% HV 60d 204.7% 191.2% 218.7% 218.7% 191.2% Term Structure -0.9% -9.0% 11.0% -4.7% -3.8% VWIV 76.3% 71.2% 89.3% 80.7% 73.1% Skew 25d 11.6% -3.5% 27.4% 20.9% 26.4% Skew 10d 19.2% -26.2% 58.1% 1.0% 58.1% Call IV 25d 68.9% 46.6% 85.6% 84.4% 51.9% Put IV 25d 80.5% 67.1% 105.3% 105.3% 78.3% Bid-Ask Spread % 80.70 70.78 94.94 94.94 90.45 Gamma HHI 0.29 0.24 0.39 0.27 0.31 Net GEX 11.2K -19.5K 39.3K 20.9K -5.2K Net DEX -288.7K -1.3M 132.1K -375.1K 73.9K Net VEX -9.9K -10.7K -9.0K -9.0K -9.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.60 0.00 5.27 0.50 0.00 Total Volume 2,316.211 32 3,996 3,060 48 Total OI 14,067.368 11,704 17,924 11,704 13,064
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 2014-11-03 $5.70 $12.50 84.2% 23.5% 323.6% 0.0% 80.7% 20.9% -4.7% 20.9K -375.1K -9.0K 0.50 94.94 2,044 1,016 7,868 3,836 2014-11-04 $5.95 $12.50 73.8% 23.5% 324.6% 0.0% 89.3% 16.7% -6.6% 23.6K -618.7K -9.5K 0.58 94.15 1,868 1,084 7,944 3,856 2014-11-05 $5.75 $12.50 76.7% 21.6% 323.5% 0.0% 75.8% -1.2% -2.5% 23.6K -410.6K -9.2K 0.58 82.40 1,884 1,084 8,184 4,072 2014-11-06 $5.72 $12.50 82.1% 22.7% 323.6% 0.0% 79.2% -3.5% -9.0% 25.9K -467.4K -9.8K 0.73 71.55 1,476 1,084 8,680 4,080 2014-11-07 $6.29 $12.50 73.6% 21.4% 326.1% 0.0% 76.3% 7.3% 7.5% 39.3K -1.3M -10.7K 0.71 77.77 1,572 1,116 8,916 4,100 2014-11-10 $6.08 $12.50 73.1% 20.8% 326.1% 0.0% 71.2% 11.5% -0.6% 31.8K -914.4K -10.1K 0.82 80.88 1,508 1,244 9,116 4,224 2014-11-11 $5.79 $12.50 87.3% 21.7% 325.1% 0.0% 74.9% 7.0% 4.1% 27.2K -505.2K -9.6K 1.47 71.61 1,428 2,100 8,920 4,136 2014-11-12 $5.69 $12.50 81.7% 21.7% 324.9% 0.0% 77.5% 6.8% -3.0% 18.9K -317.3K -9.7K 2.02 78.00 1,324 2,672 9,440 5,008 2014-11-13 $5.55 $12.50 75.5% 21.2% 324.1% 0.0% 75.3% 5.4% -1.2% 10.5K 9.8K -9.8K 1.56 70.78 1,152 1,796 9,436 5,800 2014-11-14 $5.65 $12.50 75.6% 21.5% 324.1% 0.0% 0.0% 9.8% -1.9% 7.5K -37.6K -10.0K 0.33 77.99 24 8 9,428 6,216 2014-11-17 $5.67 $12.50 79.9% 21.4% 324.2% 0.0% 75.0% 10.1% -8.4% 7.9K -49.9K -9.6K 1.53 76.99 1,124 1,720 9,432 6,224 2014-11-18 $5.75 $12.50 75.7% 21.4% 323.7% 0.0% 73.1% 4.9% -1.6% 8.1K -201.5K -9.7K 1.59 71.83 1,128 1,796 9,432 6,224 2014-11-19 $5.63 $12.50 74.1% 21.1% 323.7% 0.0% 0.0% 10.3% -0.8% 7.9K -80.5K -9.5K 5.27 78.23 380 2,004 9,380 6,196 2014-11-20 $5.73 $12.50 68.1% 20.7% 323.6% 0.0% 74.8% 4.6% 5.6% -8.6K 132.1K -10.4K 1.91 83.30 1,012 1,932 9,424 8,160 2014-11-21 $5.68 $12.50 72.2% 20.7% 323.4% 0.0% 75.4% 27.4% -4.5% -19.5K 128.2K -10.7K 1.85 85.39 1,064 1,964 9,400 8,524 2014-11-24 $5.76 $12.50 66.1% 20.2% 323.4% 0.0% 73.9% 24.4% 4.8% -3.2K -243.5K -10.1K 5.00 86.57 40 200 6,344 6,324 2014-11-25 $5.66 $12.50 59.1% 22.3% 323.2% 0.0% 74.8% 18.7% 11.0% -679 -249.1K -10.2K 1.49 85.87 744 1,108 6,320 6,524 2014-11-26 $5.64 $12.50 65.6% 20.5% 80.0% 0.0% 73.1% 12.9% -1.3% -2.4K -82.8K -10.1K 2.42 74.56 76 184 6,380 6,668 2014-11-28 $5.46 $12.50 67.0% 21.2% 72.8% 0.0% 0.0% 26.4% -3.8% -5.2K 73.9K -9.7K 0.00 90.45 48 0 6,388 6,676
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