BBSI Options History — July 2015

In July 2015, BBSI traded between $9.31 and $10.78. ATM implied volatility averaged 55.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 10.7% (HV 20d: 45.1%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.69.

Notable Days

  • 2015-07-28: Highest Volume — 4,836 contracts
  • 2015-07-02: Largest IV spike — 45.6% change
  • 2015-07-08: Highest IV Rank — 18.2%
  • 2015-07-08: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.89$9.31$10.78$9.71$10.31
Max Pain$9.26$8.75$10.00$8.75$10.00
ATM IV55.7%40.6%69.7%45.2%51.7%
Expected Move17.0%11.6%20.9%13.0%14.8%
HV 20d45.1%39.8%50.0%39.8%44.4%
HV 60d85.0%83.2%86.1%85.1%84.1%
IV Rank10.2%1.5%18.2%4.2%7.9%
IV Percentile31.6%0.4%75.8%2.9%14.5%
Term Structure-2.5%-9.4%15.4%15.4%-0.1%
VWIV62.8%48.0%70.4%51.0%52.6%
Skew 25d17.2%8.9%25.4%13.1%9.0%
Skew 10d38.2%18.1%60.1%27.3%18.1%
Call IV 25d51.8%39.6%59.5%43.3%46.6%
Put IV 25d69.0%48.4%80.0%56.4%55.6%
Bid-Ask Spread %63.2153.2183.6374.1283.63
Gamma HHI0.330.150.620.180.54
Net GEX-44.4K-135.6K463463-87.7K
Net DEX242.1K-728.8K1.1M-111.9K459.8K
Net VEX-11.1K-13.8K-9.2K-11.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.691.617.761.612.40
Total Volume2,431.8189924,8369922,012
Total OI11,383.8189,20816,3649,47614,168

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$9.71$8.7545.2%13.0%39.8%4.2%51.0%13.1%15.4%463-111.9K-11.2K1.6174.123806123,8365,640
2015-07-02$9.36$8.7565.8%18.9%40.9%16.0%59.3%15.9%0.7%-3.3K67.5K-10.9K1.6178.743806123,8365,624
2015-07-06$9.60$8.7550.1%17.8%41.0%6.9%67.9%22.6%-2.0%-1.7K-22.6K-10.5K2.4654.794361,0723,8365,624
2015-07-07$9.62$8.7550.5%17.8%40.9%7.2%66.1%23.0%-2.0%-19.7K131.4K-10.5K2.4153.214441,0723,8406,104
2015-07-08$9.31$8.7569.7%20.9%41.4%18.2%69.4%25.4%-9.4%-20.0K508.1K-10.6K2.6364.284081,0723,8486,104
2015-07-09$9.42$8.7541.3%17.7%41.0%1.9%68.1%23.3%-1.6%-21.3K439.0K-10.5K2.4457.334401,0723,8486,104
2015-07-10$9.81$8.7548.5%17.8%43.1%6.0%67.9%20.4%-2.1%-22.7K-42.6K-10.3K2.8854.334481,2923,8686,120
2015-07-13$10.04$8.7559.5%18.3%44.1%12.4%68.5%18.4%-4.8%-27.6K-186.2K-10.3K2.9053.424401,2763,8806,340
2015-07-14$9.76$8.7545.3%17.3%45.0%4.2%70.4%18.7%-0.6%-66.1K447.1K-10.6K3.0654.444401,3483,8806,836
2015-07-15$9.79$8.7561.0%17.5%45.0%13.2%67.9%18.8%-1.6%-73.7K432.6K-10.2K2.4157.825601,3483,8806,912
2015-07-16$10.12$8.7561.9%17.7%45.6%13.7%61.7%16.5%-3.5%-135.6K-232.8K-10.0K1.7758.027041,2483,9406,920
2015-07-17$10.25$8.7561.4%17.6%45.6%13.5%61.5%16.4%-3.5%138-728.8K-9.6K1.9957.676281,2483,9526,920
2015-07-20$9.60$8.7558.8%16.9%49.8%12.0%62.9%17.5%-4.3%-2.7K-105.3K-9.2K7.7659.284283,3203,5525,656
2015-07-21$9.55$10.0058.1%16.7%49.7%11.6%62.1%18.2%-3.7%-50.0K1.1M-12.3K7.7662.204283,3203,5808,512
2015-07-22$9.67$10.0059.4%17.0%50.0%12.3%63.0%18.0%-5.0%-52.3K905.8K-12.0K7.7669.174283,3203,5808,512
2015-07-23$9.71$10.0058.9%16.9%48.1%12.0%62.0%17.6%-3.7%-49.5K822.2K-11.7K7.7667.224283,3203,5848,512
2015-07-24$9.90$10.0060.8%17.4%48.3%13.1%64.5%14.7%-7.6%-51.7K659.7K-11.9K3.1262.567882,4603,5848,512
2015-07-27$10.18$10.0064.4%18.5%48.7%15.2%69.1%17.0%-8.7%-56.0K671.1K-12.8K2.5561.977161,8283,7889,144
2015-07-28$10.50$10.0059.8%17.2%47.6%12.6%63.2%11.0%-6.4%-61.9K220.3K-12.5K4.8758.718244,0123,9689,508
2015-07-29$10.50$10.0053.6%15.4%47.6%9.0%54.1%14.3%-3.9%-112.8K481.8K-13.8K6.6573.216204,1244,24812,116
2015-07-30$10.78$10.0040.6%11.6%43.4%1.5%48.0%8.9%4.3%-61.4K-562.3K-11.7K2.4474.466241,5204,3049,924
2015-07-31$10.31$10.0051.7%14.8%44.4%7.9%52.6%9.0%-0.1%-87.7K459.8K-11.9K2.4083.635921,4204,2809,888