BBSI Options History — October 2015

In October 2015, BBSI traded between $10.13 and $12.22. ATM implied volatility averaged 56.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 0.9% (HV 20d: 57.1%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-10-02: Highest Volume — 1,980 contracts
  • 2015-10-07: Largest IV drop — 29.2% change
  • 2015-10-26: Highest IV Rank — 18.2%
  • 2015-10-26: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.13$10.13$12.22$10.69$12.20
Max Pain$9.89$8.75$10.00$8.75$10.00
ATM IV56.2%42.7%71.7%51.7%42.7%
Expected Move16.8%12.3%20.6%14.8%12.3%
HV 20d57.1%44.8%62.4%52.2%44.8%
HV 60d47.0%45.5%47.9%46.2%47.6%
IV Rank9.1%1.3%18.2%6.5%1.3%
IV Percentile35.8%1.6%85.3%15.9%1.6%
Term Structure-3.5%-17.7%14.0%8.2%14.0%
VWIV57.2%49.3%65.2%50.5%53.8%
Skew 25d14.0%-1.3%31.6%-1.3%31.6%
Skew 10d30.3%7.0%53.0%7.0%53.0%
Call IV 25d54.1%44.2%61.4%49.3%44.2%
Put IV 25d68.1%48.0%81.9%48.0%75.8%
Bid-Ask Spread %80.8459.72113.2997.81101.69
Gamma HHI0.300.250.400.330.30
Net GEX50.6K40.4K73.0K50.7K59.7K
Net DEX-2.3M-3.5M-1.2M-2.0M-3.5M
Net VEX-6.9K-8.6K-4.1K-8.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.201.200.281.20
Total Volume1,357.45501,9801,912580
Total OI8,502.1828,0248,6408,4448,540

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$10.69$8.7551.7%14.8%52.2%6.5%50.5%-1.3%8.2%50.7K-2.0M-8.6K0.2897.811,4924204,8963,548
2015-10-02$10.13$8.7554.1%15.5%56.2%7.9%51.5%8.3%9.3%40.4K-1.2M-8.5K0.2797.551,5644164,9043,628
2015-10-05$10.61$10.0061.8%18.7%57.9%12.4%0.0%12.5%-7.0%45.5K-1.7M-8.4K0.0068.93004,9083,624
2015-10-06$10.39$10.0061.2%18.7%58.8%12.1%61.7%7.0%-7.2%46.8K-1.6M-8.2K0.2959.721,1403364,9083,624
2015-10-07$10.63$10.0043.3%17.3%58.5%1.6%60.2%12.1%-5.4%46.8K-1.8M-8.2K0.2970.541,1403364,8963,628
2015-10-08$10.67$10.0050.8%16.9%57.9%6.0%57.7%9.9%-6.2%47.7K-1.8M-7.9K0.2062.971,3642724,8963,628
2015-10-09$10.70$10.0044.1%16.7%57.8%2.1%56.4%12.7%-2.8%47.4K-1.9M-8.1K0.2265.351,2442724,9243,644
2015-10-12$11.08$10.0053.5%17.3%58.4%7.6%57.5%14.1%-5.1%54.0K-2.5M-7.5K0.2672.891,2163164,9283,644
2015-10-13$11.04$10.0064.3%17.3%57.9%13.9%59.4%9.6%-5.9%56.4K-2.4M-7.6K0.2768.971,1763164,9523,688
2015-10-14$10.90$10.0060.3%17.3%57.9%11.5%57.6%11.9%-5.7%54.5K-2.2M-7.3K0.2865.521,1763244,9603,668
2015-10-15$11.28$10.0061.0%17.5%58.8%12.0%54.7%16.4%-5.4%59.7K-2.5M-7.3K0.2866.121,1763284,9603,668
2015-10-16$11.38$10.0060.5%17.3%56.9%11.6%56.1%16.0%-7.3%43.1K-2.7M-7.1K0.3068.551,0963284,9603,668
2015-10-19$11.27$10.0062.0%17.8%57.1%12.5%56.3%20.0%-2.3%48.5K-2.3M-6.6K0.9186.827967284,4803,544
2015-10-20$11.59$10.0058.6%16.8%56.5%10.5%62.1%15.5%-4.4%41.2K-2.3M-6.8K0.9167.667967284,4803,948
2015-10-21$10.95$10.0060.9%17.5%61.3%11.9%61.0%12.6%-0.5%46.6K-2.3M-6.2K0.9286.047727084,4803,944
2015-10-22$11.31$10.0058.5%16.8%61.9%10.5%56.6%19.1%-7.2%49.0K-2.2M-6.1K0.9298.377727084,4883,944
2015-10-23$11.53$10.0057.8%16.6%61.7%10.1%61.3%7.3%-7.8%55.6K-2.5M-5.6K0.92113.297727084,4883,944
2015-10-26$11.28$10.0071.7%20.6%62.0%18.2%58.7%24.1%-17.7%46.7K-2.4M-6.0K0.3298.508042564,4883,944
2015-10-27$11.16$10.0064.1%18.4%62.4%13.8%65.2%18.8%-5.7%44.1K-2.0M-6.2K0.4064.568283324,5643,932
2015-10-28$11.92$10.0048.4%13.9%49.6%4.6%53.8%12.4%-6.2%73.0K-3.0M-4.2K0.4295.557483164,5523,996
2015-10-29$12.22$10.0045.4%13.0%50.0%2.8%49.3%18.5%0.9%54.5K-3.2M-5.3K0.42100.977483164,5563,984
2015-10-30$12.20$10.0042.7%12.3%44.8%1.3%53.8%31.6%14.0%59.7K-3.5M-4.1K1.20101.692643164,5563,984