BBSI Options History — March 2015

In March 2015, BBSI traded between $9.65 and $10.95. ATM implied volatility averaged 56.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 17.0% (HV 20d: 39.7%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-03-26: Highest Volume — 1,896 contracts
  • 2015-03-09: Largest IV spike — 9.7% change
  • 2015-03-10: Highest IV Rank — 30.4%
  • 2015-03-27: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.40$9.65$10.95$9.75$10.71
Max Pain$10.11$8.75$11.25$8.75$10.00
ATM IV56.7%51.8%61.6%56.9%53.5%
Expected Move16.4%15.4%17.2%16.3%15.4%
HV 20d39.7%27.8%67.6%67.6%35.2%
HV 60d55.9%53.0%61.4%61.4%53.5%
IV Rank24.2%17.8%30.4%17.8%20.0%
IV Percentile20.6%7.9%39.1%7.9%9.1%
Term Structure3.7%1.2%8.2%1.2%6.8%
VWIV56.3%49.4%61.1%61.1%54.3%
Skew 25d7.0%0.2%13.5%10.3%12.0%
Skew 10d12.4%-2.8%26.2%9.2%11.4%
Call IV 25d52.5%45.9%57.5%53.6%46.8%
Put IV 25d59.5%56.2%63.9%63.9%58.8%
Bid-Ask Spread %84.2175.1992.7791.8092.77
Gamma HHI0.380.270.550.390.28
Net GEX56.0K23.6K88.9K66.2K25.8K
Net DEX-5.1M-6.5M-4.2M-4.5M-4.5M
Net VEX-7.3K-9.0K-6.2K-8.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.002.752.752.14
Total Volume644.90981,8961,1561,856
Total OI9,058.7277,8609,8568,8808,332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$9.75$8.7556.9%16.3%67.6%0.0%61.1%10.3%1.2%66.2K-4.5M-8.8K2.7591.803088486,8322,048
2015-03-03$9.72$8.7556.3%16.1%66.7%0.0%58.1%7.5%2.7%66.9K-4.4M-8.8K2.4085.163889326,8362,208
2015-03-04$9.76$8.7556.2%16.1%66.8%0.0%58.1%7.8%2.0%69.3K-4.5M-9.0K2.4387.413849326,9202,312
2015-03-05$9.65$11.2555.5%16.5%42.4%0.0%57.7%0.2%4.7%71.1K-4.2M-8.9K2.6876.543921,0526,9282,312
2015-03-06$9.89$11.2551.8%16.8%29.2%17.8%58.0%7.5%3.0%78.6K-4.5M-8.7K2.7380.353921,0726,9482,508
2015-03-09$9.98$11.2556.8%16.9%27.8%24.2%58.9%5.0%4.7%79.9K-4.7M-8.3K0.0083.6817206,9402,484
2015-03-10$10.38$11.2561.6%17.1%30.6%30.4%49.4%11.1%3.0%73.2K-5.5M-7.7K0.1380.746486,9522,484
2015-03-11$10.19$11.2556.2%16.1%31.4%23.4%55.7%1.9%4.6%88.9K-5.2M-7.1K0.2079.004086,9522,476
2015-03-12$10.70$10.0054.6%15.7%35.1%21.3%57.7%5.3%5.6%83.4K-5.9M-7.3K0.0080.826406,9882,480
2015-03-13$10.87$10.0056.9%16.3%35.3%24.3%56.6%6.2%3.2%64.8K-6.3M-6.7K0.0578.55352167,0242,480
2015-03-16$10.61$10.0058.1%16.6%36.3%25.8%55.4%0.8%2.1%79.5K-6.2M-7.2K0.1775.19212367,3602,496
2015-03-17$10.61$10.0059.0%16.9%36.3%27.0%56.9%4.2%2.1%86.6K-6.1M-7.0K0.0082.7610407,3082,496
2015-03-18$10.88$10.0057.0%16.3%37.0%24.4%57.2%7.4%1.4%59.4K-6.5M-6.7K0.8382.3448407,2762,496
2015-03-19$10.75$10.0058.4%16.7%37.4%26.2%57.6%4.5%2.0%51.8K-6.4M-6.6K0.0087.214407,2682,536
2015-03-20$10.68$10.0055.5%15.9%35.3%22.5%58.5%6.7%6.7%26.9K-6.3M-6.5K0.0087.375607,2722,536
2015-03-23$10.72$10.0055.2%15.8%35.0%22.1%55.7%12.4%4.8%28.0K-4.6M-6.4K0.8187.322281845,5442,316
2015-03-24$10.95$10.0054.3%15.6%35.2%21.0%0.0%6.4%8.2%28.3K-4.8M-6.3K0.0082.444405,6202,500
2015-03-25$10.47$10.0056.2%16.1%39.6%23.4%50.4%3.4%4.7%27.8K-4.4M-6.4K0.0084.0712005,5842,500
2015-03-26$10.36$10.0058.2%16.7%39.4%26.0%56.0%6.5%3.3%27.1K-4.3M-6.6K2.0087.186321,2645,5922,500
2015-03-27$10.54$10.0060.1%17.2%38.0%28.5%0.0%13.5%1.3%23.6K-4.5M-6.2K0.0089.70805,5882,728
2015-03-30$10.58$10.0059.1%17.0%35.2%27.2%52.9%12.3%2.7%25.8K-4.5M-6.4K2.0390.306241,2645,6042,728
2015-03-31$10.71$10.0053.5%15.4%35.2%20.0%54.3%12.0%6.8%25.8K-4.5M-6.4K2.1492.775921,2645,6042,728