BBSI Options History — April 2015

In April 2015, BBSI traded between $10.12 and $11.30. ATM implied volatility averaged 60.3%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 22.6% (HV 20d: 37.7%). Max pain ranged from $6.25 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2015-04-20: Highest Volume — 3,712 contracts
  • 2015-04-29: Largest IV drop — 19.2% change
  • 2015-04-27: Highest IV Rank — 35.1%
  • 2015-04-27: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.62$10.12$11.30$10.60$11.08
Max Pain$6.43$6.25$10.00$10.00$6.25
ATM IV60.3%51.2%65.3%57.4%51.2%
Expected Move17.4%14.7%18.7%16.4%14.7%
HV 20d37.7%30.0%53.7%35.6%53.7%
HV 60d51.5%48.1%53.6%53.3%53.1%
IV Rank28.7%16.9%35.1%24.9%16.9%
IV Percentile39.9%4.9%58.4%25.0%4.9%
Term Structure-0.6%-5.9%4.6%1.9%2.3%
VWIV61.1%43.5%73.0%53.2%48.8%
Skew 25d6.5%-1.5%13.1%6.6%6.4%
Skew 10d12.4%0.2%22.4%9.0%20.4%
Call IV 25d57.8%43.6%64.2%47.7%48.4%
Put IV 25d64.3%54.3%71.5%54.3%54.8%
Bid-Ask Spread %79.3138.3193.3093.3038.31
Gamma HHI0.380.240.580.290.58
Net GEX47.7K18.1K111.3K25.5K110.0K
Net DEX-4.8M-6.3M-4.3M-4.5M-5.8M
Net VEX-8.1K-10.1K-6.1K-6.1K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.682.412.261.52
Total Volume2,139.429163,7121,9322,008
Total OI10,119.6198,33612,1528,33612,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$10.60$10.0057.4%16.4%35.6%24.9%53.2%6.6%1.9%25.5K-4.5M-6.1K2.2693.305921,3405,6082,728
2015-04-02$10.48$6.2557.4%17.6%35.6%24.9%62.5%3.0%0.6%25.2K-4.4M-6.2K1.3070.961,0281,3405,6082,808
2015-04-06$10.20$6.2557.5%18.2%36.5%25.0%64.4%5.7%0.0%27.2K-4.3M-7.1K1.0278.841,0281,0446,0082,808
2015-04-07$10.51$6.2563.3%18.4%37.9%32.5%67.2%8.8%-2.0%29.1K-4.5M-7.1K1.1177.901,0121,1206,0082,832
2015-04-08$10.56$6.2562.4%17.9%35.3%31.3%0.0%6.9%0.1%28.6K-4.5M-7.0K0.0075.750166,0002,904
2015-04-09$10.51$6.2562.9%18.0%34.7%32.0%64.4%5.8%-1.4%27.9K-4.5M-6.9K1.0477.149681,0086,0082,912
2015-04-10$10.47$6.2562.5%17.9%30.0%31.5%67.2%5.5%0.5%28.9K-4.5M-6.9K1.4578.629721,4086,0122,912
2015-04-13$10.86$6.2559.7%17.1%32.3%27.9%57.9%13.0%1.8%30.8K-4.7M-7.5K1.3879.021,0241,4086,0163,312
2015-04-14$10.62$6.2561.4%17.6%32.1%30.1%62.8%5.9%1.6%27.7K-4.5M-7.9K1.4283.499841,3966,0443,304
2015-04-15$11.09$6.2562.0%17.8%35.5%30.9%65.8%7.9%-1.3%39.9K-4.9M-7.7K1.3874.621,0201,4046,0443,348
2015-04-16$10.87$6.2560.1%17.2%35.3%28.4%58.0%5.2%0.7%33.6K-4.8M-7.5K1.3583.501,0321,3926,1403,548
2015-04-17$10.62$6.2562.4%17.9%36.0%31.3%59.7%5.5%-5.6%18.1K-4.5M-7.5K0.7478.271,8801,3846,1403,548
2015-04-20$11.06$6.2558.2%16.7%38.9%26.0%58.0%6.7%-0.5%42.2K-5.3M-8.2K0.6885.522,2041,5086,6483,364
2015-04-21$10.82$6.2561.0%17.5%39.8%29.6%59.0%2.0%-2.2%72.0K-5.6M-9.7K2.4180.526281,5127,8763,540
2015-04-22$10.49$6.2561.1%17.5%40.5%29.7%63.8%-1.5%-3.0%67.9K-5.1M-9.6K2.0382.636241,2647,9043,548
2015-04-23$10.44$6.2564.0%18.4%37.2%33.5%63.3%5.9%-3.0%66.6K-4.9M-10.1K2.1284.745961,2647,8963,664
2015-04-24$10.22$6.2562.4%17.9%37.8%31.4%63.7%4.6%-1.7%61.9K-4.6M-9.6K1.8083.376321,1367,9043,664
2015-04-27$10.12$6.2565.3%18.7%37.3%35.1%65.8%8.6%-5.9%63.0K-4.4M-9.4K1.8482.826321,1648,0403,788
2015-04-28$10.17$6.2563.5%18.2%37.3%32.8%73.0%11.1%-1.0%63.6K-4.4M-9.3K1.5484.867561,1648,0403,812
2015-04-29$11.30$6.2551.3%14.7%53.3%17.2%43.5%13.1%4.6%111.3K-6.3M-9.5K1.6291.317761,2608,2603,812
2015-04-30$11.08$6.2551.2%14.7%53.7%16.9%48.8%6.4%2.3%110.0K-5.8M-9.6K1.5238.317961,2128,2723,880