BBSI Options History — September 2015

In September 2015, BBSI traded between $8.54 and $10.71. ATM implied volatility averaged 52.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 13.9% (HV 20d: 38.8%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-09-16: Highest Volume — 2,784 contracts
  • 2015-09-14: Largest IV spike — 37.7% change
  • 2015-09-08: Highest IV Rank — 17.1%
  • 2015-09-02: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.24$8.54$10.71$8.54$10.71
Max Pain$6.90$5.00$10.00$8.75$8.75
ATM IV52.7%41.9%67.7%63.3%46.8%
Expected Move14.6%12.0%18.2%18.2%13.4%
HV 20d38.8%33.2%52.2%38.2%52.2%
HV 60d41.7%38.9%46.8%41.6%46.8%
IV Rank7.7%2.3%17.1%14.6%3.7%
IV Percentile21.8%1.2%74.6%62.0%4.0%
Term Structure5.8%-12.1%25.1%0.6%11.4%
VWIV53.1%43.4%65.9%65.9%49.8%
Skew 25d11.1%3.2%19.6%3.4%12.6%
Skew 10d24.1%5.2%42.7%5.5%31.7%
Call IV 25d47.1%39.1%63.5%63.5%44.3%
Put IV 25d58.2%47.4%68.5%66.9%56.8%
Bid-Ask Spread %96.9787.90105.1699.1991.91
Gamma HHI0.360.250.480.250.44
Net GEX3.1K-19.5K30.8K-18.5K30.8K
Net DEX125.5K-1.6M854.4K852.9K-1.6M
Net VEX-6.2K-8.2K-4.8K-5.3K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.031.100.590.23
Total Volume1,050.6671322,7848081,828
Total OI6,576.7625,5327,9285,5487,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$8.54$8.7563.3%18.2%38.2%14.6%65.9%3.4%0.6%-18.5K852.9K-5.3K0.5999.195083001,8683,680
2015-09-02$8.74$8.7563.6%18.2%39.6%14.8%59.1%19.6%-12.1%-19.5K845.8K-4.9K0.6298.265083161,8683,720
2015-09-03$8.59$5.0061.3%12.6%39.3%13.4%53.1%11.1%12.3%-18.7K841.7K-4.9K0.6094.244963001,8683,664
2015-09-04$8.67$5.0062.7%17.8%39.6%14.2%50.8%7.6%-2.0%-18.0K854.4K-5.1K0.6092.564963001,9083,664
2015-09-08$8.70$5.0067.7%15.0%39.6%17.1%0.0%6.8%1.1%-17.8K818.0K-4.9K1.10101.7984921,9083,664
2015-09-09$8.59$5.0057.5%16.5%39.5%11.2%51.1%14.9%0.5%-17.0K843.2K-5.0K0.6191.535883561,9923,752
2015-09-10$8.89$5.0044.3%12.7%41.5%3.7%43.4%10.1%4.7%-16.9K745.5K-4.9K0.62105.165763562,0163,764
2015-09-11$9.04$5.0041.9%12.0%42.1%2.3%51.6%4.4%22.4%-15.4K721.9K-5.0K0.62102.665763562,0163,764
2015-09-14$9.01$5.0057.7%16.5%42.0%11.4%50.6%17.9%-0.0%-15.3K644.9K-4.9K0.6292.965763562,0123,764
2015-09-15$9.31$5.0041.9%12.0%43.6%2.3%44.7%3.2%25.1%-15.3K590.5K-4.8K0.03103.3212842,0123,764
2015-09-16$9.58$5.0049.9%14.3%44.4%5.4%56.4%18.1%5.9%-9.3K359.8K-5.1K0.1592.212,4283562,1403,764
2015-09-17$9.68$5.0049.5%14.2%37.2%5.2%53.1%17.7%5.4%24.7K-702.8K-8.2K0.1593.902,4283564,1563,772
2015-09-18$9.38$5.0050.3%14.4%37.1%5.7%55.0%10.8%5.2%21.6K-466.1K-7.7K0.1597.402,4203564,1443,772
2015-09-21$9.60$5.0050.1%14.4%36.4%5.6%51.9%9.1%3.5%23.9K-504.0K-7.6K0.8587.903563043,9003,456
2015-09-22$9.41$10.0050.9%14.6%33.2%6.0%50.9%10.9%5.5%22.1K-381.8K-7.7K0.8596.653563043,9043,508
2015-09-23$9.49$10.0049.7%14.2%33.2%5.3%54.5%15.3%6.4%22.0K-274.8K-7.5K1.0192.453003043,9043,508
2015-09-24$9.66$10.0048.1%13.8%33.4%4.4%51.7%16.6%7.2%24.6K-476.7K-7.8K0.9996.013083043,9483,508
2015-09-25$9.59$10.0050.3%14.4%33.7%5.7%52.1%10.8%5.9%24.3K-481.3K-7.6K1.04100.092923043,9363,508
2015-09-28$9.42$10.0050.7%14.5%34.0%5.9%58.1%6.1%4.7%24.6K-274.1K-6.9K0.69101.834403043,9243,508
2015-09-29$9.44$8.7548.3%13.8%33.9%4.5%57.7%6.0%9.3%27.7K-277.0K-7.0K0.69104.354403044,0843,508
2015-09-30$10.71$8.7546.8%13.4%52.2%3.7%49.8%12.6%11.4%30.8K-1.6M-7.8K0.2391.911,4843444,0843,508