BBSI Options History — May 2015

In May 2015, BBSI traded between $8.71 and $12.39. ATM implied volatility averaged 69.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 39.2% (HV 20d: 108.7%). Max pain ranged from $6.25 to $11.25. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 9.18.

Notable Days

  • 2015-05-12: Highest Volume — 21,744 contracts
  • 2015-05-12: Largest IV spike — 394.0% change
  • 2015-05-12: Highest IV Rank — 100.0%
  • 2015-05-12: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.90$8.71$12.39$10.95$9.03
Max Pain$10.13$6.25$11.25$6.25$10.00
ATM IV69.5%42.9%211.7%50.8%61.4%
Expected Move18.5%14.2%27.9%14.6%17.6%
HV 20d108.7%51.9%140.1%53.8%133.8%
HV 60d69.5%39.7%85.5%43.8%84.9%
IV Rank20.9%6.2%100.0%16.5%13.4%
IV Percentile46.9%1.2%100.0%4.8%44.0%
Term Structure0.1%-12.5%8.1%2.5%1.1%
VWIV62.7%44.1%103.4%49.1%57.7%
Skew 25d18.2%0.5%33.9%0.5%23.0%
Skew 10d39.2%8.6%66.0%16.8%47.7%
Call IV 25d54.0%44.5%82.8%51.6%47.4%
Put IV 25d72.2%52.0%116.7%52.0%70.4%
Bid-Ask Spread %72.3957.1691.6991.6979.29
Gamma HHI0.380.210.670.590.26
Net GEX23.2K-66.6K157.6K113.0K-62.3K
Net DEX-2.4M-8.3M1.5M-5.8M1.3M
Net VEX-12.7K-16.9K-7.3K-9.5K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.180.00139.001.891.88
Total Volume3,584.8021,7441,8642,060
Total OI15,846.411,90428,81212,15616,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$10.95$6.2550.8%14.6%53.8%16.5%49.1%0.5%2.5%113.0K-5.8M-9.5K1.8991.696441,2208,2763,880
2015-05-04$11.04$11.2549.4%15.6%52.6%14.7%0.0%5.9%4.4%124.9K-5.5M-8.9K0.0081.53008,0443,892
2015-05-05$11.21$11.2549.6%14.3%51.9%14.9%50.1%7.8%8.1%134.1K-5.9M-9.1K1.8879.066441,2088,0523,892
2015-05-06$11.36$11.2551.2%15.1%52.0%17.0%52.8%5.8%3.9%140.3K-6.2M-8.7K1.8883.246441,2088,0803,896
2015-05-07$11.68$11.2550.6%15.0%52.5%16.2%52.3%5.7%3.4%137.4K-6.9M-8.5K1.9176.806321,2088,0403,896
2015-05-08$11.61$11.2548.9%14.9%52.6%14.0%0.0%5.7%5.6%157.6K-6.7M-8.3K0.0085.41808,0163,896
2015-05-11$12.39$11.2542.9%14.2%55.7%6.2%53.3%8.6%3.9%35.9K-8.3M-7.4K0.2177.59132288,0083,896
2015-05-12$8.71$11.25211.7%27.9%139.3%100.0%103.4%33.9%-12.5%33.0K-2.4M-7.3K1.2158.099,82811,9167,9803,924
2015-05-13$8.90$10.0085.6%24.5%138.4%27.4%91.0%29.3%-7.1%26.9K-2.4M-11.9K3.0157.372,7088,16411,97611,420
2015-05-14$9.31$8.7584.0%24.1%139.8%26.5%71.2%27.9%-5.3%32.7K-3.3M-15.9K3.3362.241,4364,77613,16814,760
2015-05-15$9.53$8.7570.4%20.2%140.0%18.6%68.3%27.0%-0.9%-15.6K-4.0M-16.1K3.0159.701,4724,43213,40015,412
2015-05-18$9.33$10.0078.5%22.5%139.0%23.3%80.6%23.7%-2.1%-21.8K327.4K-15.7K3.1157.161444484,5608,524
2015-05-19$8.93$10.0072.3%20.7%139.5%19.8%89.9%22.4%0.7%-34.2K888.5K-14.9K139.0066.2745564,7008,892
2015-05-20$9.19$10.0065.6%18.8%139.9%15.9%60.9%22.0%-2.3%-28.8K571.5K-15.2K2.6566.531,1963,1724,7049,364
2015-05-21$9.10$10.0065.3%18.7%139.9%15.7%48.8%23.9%-0.7%-55.9K999.2K-16.8K1.3772.251,1761,6125,28811,204
2015-05-22$8.94$10.0063.5%18.2%139.9%14.7%53.4%22.4%-1.1%-61.2K1.5M-16.9K2.0472.058001,6285,33211,308
2015-05-26$8.86$10.0063.4%18.2%139.9%14.6%44.1%22.9%-0.4%-66.6K1.5M-15.9K2.2069.837241,5965,34411,368
2015-05-27$9.01$10.0062.0%17.8%140.1%13.8%52.5%20.7%2.4%-63.0K1.3M-15.6K1.9674.847281,4285,44411,416
2015-05-28$9.01$10.0062.7%18.0%133.8%14.2%48.7%24.6%-0.8%-61.8K1.3M-15.5K1.9676.797161,4005,48411,352
2015-05-29$9.03$10.0061.4%17.6%133.8%13.4%57.7%23.0%1.1%-62.3K1.3M-15.2K1.8879.297161,3445,48411,356