BBSI Options History — December 2014

In December 2014, BBSI traded between $5.05 and $7.19. ATM implied volatility averaged 68.6%. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 4.6% (HV 20d: 64.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2014-12-10: Highest Volume — 5,208 contracts
  • 2014-12-10: Largest IV spike — 17.9% change
  • 2014-12-15: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.23$5.05$7.19$5.05$6.85
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV68.6%57.7%79.8%65.0%68.4%
Expected Move20.7%18.9%22.1%21.4%20.5%
HV 20d64.0%52.9%72.0%58.2%63.2%
HV 60d192.1%190.6%193.1%191.5%192.1%
Term Structure1.7%-6.1%8.9%6.2%4.0%
VWIV74.3%68.8%79.2%73.4%78.6%
Skew 25d6.6%-7.9%18.5%12.3%0.4%
Skew 10d17.4%-9.6%50.6%-7.4%-2.9%
Call IV 25d66.7%57.8%73.2%64.8%68.9%
Put IV 25d73.3%62.9%89.5%77.0%69.2%
Bid-Ask Spread %84.2877.7393.0982.9693.09
Gamma HHI0.330.270.400.380.31
Net GEX5.6K-18.2K31.1K-17.0K19.1K
Net DEX-839.7K-2.8M806.0K798.0K-1.3M
Net VEX-9.0K-9.5K-8.4K-8.6K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.005.001.635.00
Total Volume2,468.182285,2081,87648
Total OI15,072.18212,23619,38813,07212,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$5.05$12.5065.0%21.4%58.2%0.0%73.4%12.3%6.2%-17.0K798.0K-8.6K1.6382.967121,1646,3966,676
2014-12-02$5.19$12.5069.9%20.5%58.3%0.0%71.1%10.3%-0.4%-14.9K650.1K-8.8K2.2487.066801,5246,4246,884
2014-12-03$5.53$12.5068.3%20.2%60.9%0.0%71.0%-6.9%-3.7%-13.6K343.5K-9.4K2.2483.526801,5246,4327,284
2014-12-04$5.16$12.5072.8%20.6%64.5%0.0%0.0%10.2%-0.8%-18.2K806.0K-9.0K0.0086.779206,4327,284
2014-12-05$5.36$12.5063.9%19.3%66.4%0.0%68.8%12.1%3.9%-14.6K571.5K-9.3K1.9580.477481,4566,4847,284
2014-12-08$5.37$12.5065.5%19.5%55.5%0.0%73.5%12.7%-0.2%-14.4K522.1K-9.0K1.9881.877801,5486,4847,232
2014-12-09$5.46$12.5057.7%19.4%55.2%0.0%69.6%18.5%1.5%-11.7K453.8K-8.6K3.8788.448123,1406,5167,284
2014-12-10$5.50$12.5068.1%22.0%52.9%0.0%77.7%16.7%-4.6%-11.7K318.0K-9.1K4.2384.949964,2126,5208,624
2014-12-11$5.75$12.5079.8%21.9%55.0%0.0%79.2%12.3%-2.9%-8.2K-268.2K-9.2K1.4582.421,2121,7566,75611,464
2014-12-12$5.93$12.5073.5%21.7%55.2%0.0%79.1%5.3%-0.2%18.4K-942.5K-9.3K1.4886.281,2361,8327,05611,636
2014-12-15$6.64$12.5071.3%22.1%67.3%0.0%76.9%10.4%3.9%26.5K-2.2M-8.6K1.2284.891,8602,2727,01611,568
2014-12-16$6.42$12.5071.8%21.0%68.9%0.0%74.5%3.0%2.1%19.5K-1.9M-9.5K2.1081.839882,0767,18812,012
2014-12-17$6.63$12.5071.9%21.9%69.3%0.0%76.9%5.5%5.8%20.5K-2.2M-8.6K1.2877.731,5481,9807,36012,028
2014-12-18$6.75$12.5071.7%21.3%68.6%0.0%77.2%8.1%2.3%12.2K-2.5M-8.6K1.7278.611,1241,9327,27211,992
2014-12-19$7.19$12.5068.8%20.1%71.2%0.0%75.6%6.5%-1.2%31.1K-2.8M-8.4K0.0083.1625207,25211,992
2014-12-22$7.08$12.5070.5%20.3%71.5%0.0%73.9%-7.9%1.0%13.6K-1.3M-8.4K1.6183.869681,5604,6127,624
2014-12-23$6.99$12.5065.8%20.9%72.0%0.0%74.3%-0.8%8.5%14.3K-1.3M-8.6K1.1787.741,3321,5604,7527,624
2014-12-24$7.08$12.5062.5%20.2%71.2%0.0%74.5%7.4%8.9%18.3K-1.5M-9.4K1.1781.171,3321,5605,2047,624
2014-12-26$7.07$12.5070.5%18.9%71.2%0.0%70.3%0.1%-6.1%17.2K-1.6M-9.4K1.1788.081,3281,5605,2047,624
2014-12-29$7.14$12.5064.7%20.5%69.1%0.0%73.4%5.7%5.7%19.0K-1.5M-9.2K1.1778.441,3281,5605,2047,624
2014-12-30$6.98$12.5066.6%20.2%62.2%0.0%70.3%3.1%3.2%18.7K-1.5M-9.1K0.7590.8616125,2047,624
2014-12-31$6.85$12.5068.4%20.5%63.2%0.0%78.6%0.4%4.0%19.1K-1.3M-9.1K5.0093.098405,2207,612