BBSI Options History — August 2015

In August 2015, BBSI traded between $8.38 and $9.99. ATM implied volatility averaged 59.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 19.4% (HV 20d: 40.3%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2015-08-18: Highest Volume — 2,068 contracts
  • 2015-08-12: Largest IV drop — 22.8% change
  • 2015-08-11: Highest IV Rank — 17.9%
  • 2015-08-24: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.38$9.99$9.99$8.89
Max Pain$9.64$8.75$10.00$10.00$8.75
ATM IV59.7%52.8%69.1%54.8%64.1%
Expected Move16.7%15.1%18.7%15.7%18.4%
HV 20d40.3%31.9%46.6%45.6%36.8%
HV 60d46.1%37.4%84.3%84.1%40.9%
IV Rank12.5%8.5%17.9%9.7%15.0%
IV Percentile43.0%16.4%77.4%21.4%64.3%
Term Structure-0.9%-10.5%3.5%-2.8%-10.5%
VWIV63.7%56.2%70.4%67.5%63.4%
Skew 25d13.7%2.8%20.0%13.0%10.9%
Skew 10d31.3%17.2%40.9%26.4%18.0%
Call IV 25d52.6%45.8%66.9%51.5%57.2%
Put IV 25d66.3%60.3%72.3%64.5%68.2%
Bid-Ask Spread %75.7449.39101.6772.6897.32
Gamma HHI0.450.200.730.580.22
Net GEX-68.0K-130.7K-11.4K-96.3K-21.3K
Net DEX2.1M821.1K4.3M1.1M821.1K
Net VEX-8.0K-11.8K-5.0K-11.8K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.4214.0014.000.42
Total Volume1,336.38142,06860940
Total OI11,680.195,27214,37614,2245,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$9.99$10.0054.8%15.7%45.6%9.7%67.5%13.0%-2.8%-96.3K1.1M-11.8K14.0072.684564,2809,944
2015-08-04$9.73$10.0055.1%15.8%46.6%9.8%70.4%15.7%-3.0%-102.4K1.6M-11.5K2.3449.395841,3644,2809,964
2015-08-05$9.62$10.0058.2%16.7%45.3%11.6%68.6%13.5%-4.3%-96.6K1.8M-11.2K2.3256.415801,3484,1049,936
2015-08-06$9.40$10.0058.8%15.3%45.9%12.0%62.3%16.1%2.7%-94.2K2.2M-10.8K1.8558.556721,2404,1049,916
2015-08-07$9.37$10.0068.9%17.5%43.3%17.8%61.0%15.7%-0.6%-95.5K2.3M-10.6K1.8560.326721,2404,1969,952
2015-08-10$9.40$10.0059.1%15.3%42.3%12.2%63.8%14.9%2.8%-100.5K2.4M-9.9K1.9663.706601,2924,1969,952
2015-08-11$9.29$10.0069.1%17.2%41.4%17.9%0.0%15.3%0.0%-99.8K2.6M-9.6K0.0065.83044,19610,048
2015-08-12$9.39$10.0053.3%15.3%41.6%8.8%64.6%14.2%3.5%-109.9K2.4M-9.5K1.9868.446801,3444,19610,052
2015-08-13$9.35$10.0061.9%17.7%39.5%13.8%65.3%15.8%-1.7%-105.4K2.6M-9.0K2.0165.176681,3404,20410,052
2015-08-14$9.39$10.0052.8%15.1%39.1%8.5%63.5%14.1%3.2%-118.6K2.5M-8.7K1.8972.206681,2644,20010,116
2015-08-17$9.48$10.0052.8%15.1%31.9%8.5%62.4%14.9%3.5%-130.7K2.4M-7.8K1.9069.916641,2644,20010,112
2015-08-18$9.33$10.0060.8%17.4%32.4%13.1%63.8%15.5%-0.8%-89.0K2.8M-7.2K1.6471.167841,2844,20010,112
2015-08-19$8.75$10.0058.5%16.8%38.8%11.8%0.0%15.4%0.5%-11.4K3.8M-6.2K0.0086.1701644,08010,112
2015-08-20$8.47$10.0061.4%17.6%39.8%13.5%65.1%14.4%-1.2%-19.5K4.3M-5.8K1.0571.717768164,20010,176
2015-08-21$8.75$10.0058.2%16.7%41.2%11.6%59.1%12.8%2.4%-24.1K3.6M-5.7K1.1277.308569604,20410,040
2015-08-24$8.38$8.7565.3%18.7%41.0%15.7%69.2%3.6%-2.4%-22.4K971.5K-5.6K1.0090.634084081,5923,708
2015-08-25$8.45$8.7561.8%17.7%38.7%13.7%64.2%2.8%-1.2%-23.1K975.6K-5.4K1.0994.183764081,5923,684
2015-08-26$8.57$8.7560.1%17.2%39.5%12.7%56.3%13.6%0.3%-24.1K968.4K-5.0K0.79101.633762961,5923,680
2015-08-27$8.63$8.7556.4%16.2%37.8%10.6%56.2%20.0%-9.0%-23.4K992.6K-5.4K0.60101.674962961,5923,680
2015-08-28$8.83$8.7561.5%17.6%37.5%13.6%63.6%15.8%-0.1%-20.6K863.5K-5.6K0.5796.135162961,7163,680
2015-08-31$8.89$8.7564.1%18.4%36.8%15.0%63.4%10.9%-10.5%-21.3K821.1K-5.2K0.4297.326642761,7643,680