BBSI Options History — June 2015

In June 2015, BBSI traded between $8.96 and $10.43. ATM implied volatility averaged 54.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 8.2% (HV 20d: 63.1%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2015-06-11: Highest Volume — 2,576 contracts
  • 2015-06-03: Largest IV drop — 28.3% change
  • 2015-06-29: Highest IV Rank — 17.1%
  • 2015-06-29: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.75$8.96$10.43$9.07$9.11
Max Pain$9.32$8.75$10.00$10.00$8.75
ATM IV54.9%45.3%67.7%64.5%66.0%
Expected Move16.1%13.3%19.4%18.5%18.9%
HV 20d63.1%24.9%134.5%133.9%33.2%
HV 60d84.3%83.9%84.9%84.9%84.3%
IV Rank9.7%4.2%17.1%15.3%16.1%
IV Percentile23.7%3.2%70.7%57.3%66.5%
Term Structure8.7%-1.8%12.7%-1.8%3.6%
VWIV52.8%45.8%65.3%52.8%63.0%
Skew 25d19.1%16.2%24.4%24.4%21.1%
Skew 10d38.0%28.7%46.1%35.9%34.4%
Call IV 25d45.8%41.5%53.7%46.2%52.5%
Put IV 25d64.9%58.2%76.6%70.6%73.6%
Bid-Ask Spread %72.0761.1282.5676.0878.26
Gamma HHI0.240.140.500.260.17
Net GEX10.1K-54.1K95.0K-54.1K-5.7K
Net DEX-414.9K-1.6M1.0M1.0M283.0K
Net VEX-12.7K-14.7K-10.9K-14.6K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.781.322.251.721.86
Total Volume1,662.182162,5762,1121,088
Total OI14,778.3648,90818,03216,8449,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$9.07$10.0064.5%18.5%133.9%15.3%52.8%24.4%-1.8%-54.1K1.0M-14.6K1.7276.087761,3365,48411,360
2015-06-02$9.22$10.0064.5%18.5%134.1%15.3%62.6%21.7%-1.6%-48.9K784.4K-14.7K0.0082.560165,58411,284
2015-06-03$9.39$10.0046.2%13.3%134.2%4.7%45.8%19.6%9.7%-39.5K443.4K-14.2K1.6379.147761,2685,58411,292
2015-06-04$9.64$8.7547.3%15.6%134.5%5.4%51.5%19.5%11.0%-25.5K-25.9K-14.0K1.5261.127401,1245,58411,308
2015-06-05$9.87$8.7545.3%15.5%134.4%4.2%50.8%16.2%11.5%2.7K-573.4K-13.2K1.5770.007001,1005,60411,352
2015-06-08$9.78$8.7550.3%15.8%134.4%7.1%50.9%18.8%10.5%-6.2K-363.0K-13.4K1.5761.767001,1005,60411,332
2015-06-09$9.99$8.7549.6%15.8%132.1%6.7%49.9%18.1%11.1%14.3K-828.3K-12.6K1.5565.827001,0845,60411,332
2015-06-10$10.19$8.7555.5%15.9%33.8%10.1%53.3%17.3%10.4%24.0K-1.2M-12.7K1.6365.177001,1445,60411,292
2015-06-11$10.40$8.7555.2%15.8%33.7%9.9%51.5%17.2%9.7%39.3K-1.5M-13.8K1.9465.888761,7005,75611,788
2015-06-12$10.36$8.7555.1%15.8%31.0%9.9%50.4%17.3%9.7%41.5K-1.5M-13.7K2.2565.137041,5845,75611,936
2015-06-15$10.43$8.7554.1%15.5%30.2%9.3%49.9%16.5%10.8%46.0K-1.6M-13.1K2.0869.987321,5245,75211,940
2015-06-16$10.34$8.7552.3%15.0%29.2%8.2%50.0%17.6%12.4%58.9K-1.5M-12.6K1.5972.879561,5245,76411,928
2015-06-17$10.04$8.7553.4%15.3%26.2%8.9%50.0%21.2%12.7%80.6K-1.0M-12.8K1.3272.819561,2605,94811,928
2015-06-18$10.18$10.0051.2%14.7%24.9%7.6%48.8%16.6%12.5%95.0K-1.3M-12.4K1.5373.536961,0645,94812,076
2015-06-19$9.82$10.0052.9%15.2%28.4%8.6%48.5%19.7%10.3%5.9K-219.8K-12.1K1.3977.096529045,96012,072
2015-06-22$9.88$10.0051.9%14.9%27.3%8.0%48.1%21.3%10.6%5.4K-342.4K-11.7K2.0874.914248843,7845,124
2015-06-23$9.83$10.0050.9%14.6%27.0%7.4%49.9%17.3%9.9%3.8K-259.0K-11.7K2.1775.803848323,8205,448
2015-06-24$9.47$10.0051.5%14.8%30.4%7.8%56.8%21.1%9.8%-1.0K-3.6K-11.7K2.2470.914049043,8205,528
2015-06-25$9.37$10.0060.1%17.2%30.7%12.7%55.3%17.4%9.1%-2.6K106.1K-11.6K1.9276.183687083,8205,608
2015-06-26$9.25$10.0061.3%17.6%31.2%13.4%56.8%18.1%5.5%-4.9K212.6K-11.1K1.8674.603807083,8205,644
2015-06-29$8.96$8.7567.7%19.4%33.2%17.1%65.3%22.9%3.5%-6.4K319.0K-11.0K1.8675.943807083,8365,640
2015-06-30$9.11$8.7566.0%18.9%33.2%16.1%63.0%21.1%3.6%-5.7K283.0K-10.9K1.8678.263807083,8365,640