BBSI Options History — November 2015

In November 2015, BBSI traded between $9.58 and $13.19. ATM implied volatility averaged 63.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 36.8% (HV 20d: 100.0%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.68.

Notable Days

2015-11-11: Highest Volume — 8,880 contracts
2015-11-10: Largest IV spike — 127.2% change
2015-11-10: Highest IV Rank — 36.3%
2015-11-10: Largest Expected Move — 25.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.97	$9.58	$13.19	$12.51	$11.16
Max Pain	$10.38	$10.00	$11.25	$10.00	$10.00
ATM IV	63.2%	43.6%	102.7%	48.4%	58.7%
Expected Move	17.8%	12.1%	25.2%	13.9%	16.8%
HV 20d	100.0%	43.0%	125.4%	43.0%	123.0%
HV 60d	71.6%	47.7%	82.6%	47.7%	81.4%
IV Rank	13.2%	1.8%	36.3%	4.6%	10.6%
IV Percentile	56.8%	2.8%	99.6%	7.5%	42.9%
Term Structure	0.9%	-18.3%	11.1%	4.1%	3.6%
VWIV	67.7%	44.9%	90.6%	47.0%	55.7%
Skew 25d	14.1%	-2.0%	27.0%	15.2%	17.9%
Skew 10d	28.9%	-39.9%	69.7%	26.2%	55.3%
Call IV 25d	57.6%	39.5%	78.9%	42.5%	59.0%
Put IV 25d	71.7%	43.4%	97.3%	57.6%	76.9%
Bid-Ask Spread %	96.94	85.92	114.80	95.39	114.80
Gamma HHI	0.51	0.34	0.93	0.34	0.42
Net GEX	62.4K	140	332.7K	62.4K	25.4K
Net DEX	-2.4M	-4.7M	-98.3K	-3.9M	-1.7M
Net VEX	-4.4K	-7.1K	-1.6K	-3.0K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.68	0.00	33.33	0.92	0.00
Total Volume	2,213	0	8,880	608	8
Total OI	10,583.8	3,524	17,368	8,520	4,776

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$12.51	$10.00	48.4%	13.9%	43.0%	4.6%	47.0%	15.2%	4.1%	62.4K	-3.9M	-3.0K	0.92	95.39	316	292	4,536	3,984
2015-11-03	$12.14	$10.00	43.6%	12.5%	44.0%	1.8%	44.9%	-2.0%	4.3%	61.2K	-3.6M	-3.4K	0.59	91.52	488	288	4,620	3,992
2015-11-04	$12.38	$10.00	48.4%	13.9%	43.9%	4.6%	47.4%	-0.4%	-0.1%	46.3K	-3.9M	-2.6K	0.70	103.16	416	292	4,600	4,024
2015-11-05	$12.62	$11.25	46.0%	13.0%	44.1%	3.2%	49.6%	11.8%	10.1%	49.1K	-4.1M	-2.2K	0.81	94.72	356	288	4,504	4,028
2015-11-06	$13.02	$11.25	52.6%	13.3%	44.7%	7.0%	0.0%	10.2%	6.1%	50.6K	-4.5M	-2.4K	0.25	94.15	16	4	4,524	4,028
2015-11-09	$13.19	$11.25	45.2%	12.1%	43.8%	2.7%	0.0%	5.6%	10.7%	59.3K	-4.7M	-1.6K	0.00	104.42	0	0	4,532	4,028
2015-11-10	$9.58	$11.25	102.7%	25.2%	124.5%	36.3%	90.6%	18.4%	-18.3%	20.4K	-154.1K	-3.7K	1.87	87.74	3,092	5,768	4,532	4,028
2015-11-11	$9.88	$11.25	81.3%	23.3%	125.2%	23.8%	85.3%	23.6%	-11.9%	140	-422.6K	-7.1K	1.85	101.43	3,112	5,768	6,132	7,992
2015-11-12	$9.65	$11.25	70.4%	20.2%	124.5%	17.4%	81.4%	9.9%	11.1%	1.0K	-98.3K	-6.5K	1.18	85.92	740	872	6,352	8,468
2015-11-13	$9.82	$10.00	71.0%	20.4%	124.7%	17.8%	72.8%	19.3%	-3.9%	6.0K	-158.2K	-6.5K	0.43	89.48	2,260	980	6,532	8,812
2015-11-16	$10.13	$10.00	66.3%	19.0%	125.4%	15.1%	0.0%	27.0%	5.4%	44.7K	-1.9M	-6.8K	33.33	106.16	12	400	8,132	8,848
2015-11-17	$10.27	$10.00	64.4%	18.5%	125.0%	13.9%	67.0%	12.2%	7.3%	166.9K	-2.8M	-6.0K	0.62	99.52	2,212	1,364	8,128	9,240
2015-11-18	$10.48	$10.00	74.1%	21.2%	123.9%	19.6%	75.2%	21.2%	-5.2%	148.1K	-3.6M	-5.5K	0.63	94.97	2,172	1,364	8,088	9,240
2015-11-19	$10.07	$10.00	65.7%	18.8%	123.9%	14.7%	74.1%	12.9%	7.8%	332.7K	-2.5M	-5.0K	1.32	96.14	852	1,124	8,088	9,240
2015-11-20	$10.46	$10.00	61.0%	17.5%	124.5%	12.0%	71.0%	14.5%	1.5%	47.2K	-4.7M	-3.9K	0.38	99.69	2,688	1,012	8,048	9,028
2015-11-23	$10.41	$10.00	69.5%	19.9%	124.4%	16.9%	80.4%	15.9%	-13.0%	41.6K	-1.4M	-3.9K	0.00	92.35	0	8	2,676	848
2015-11-24	$10.43	$10.00	67.0%	19.2%	124.4%	15.4%	73.3%	21.7%	2.3%	43.0K	-1.4M	-3.9K	16.79	87.79	96	1,612	2,676	852
2015-11-25	$10.42	$10.00	66.6%	19.1%	121.7%	15.2%	67.3%	14.0%	-2.0%	18.2K	-983.8K	-5.1K	3.22	96.68	620	1,996	2,740	2,020
2015-11-27	$10.87	$10.00	61.3%	17.6%	122.4%	12.1%	55.7%	13.3%	-2.0%	24.2K	-1.4M	-4.3K	1.43	102.72	564	808	2,740	2,020
2015-11-30	$11.16	$10.00	58.7%	16.8%	123.0%	10.6%	0.0%	17.9%	3.6%	25.4K	-1.7M	-3.9K	0.00	114.80	8	0	2,744	2,032