BBSI Options History — December 2015

In December 2015, BBSI traded between $10.66 and $11.27. ATM implied volatility averaged 61.0%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 4.0% (HV 20d: 57.0%). 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 20 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2015-12-14: Highest Volume — 2,388 contracts
  • 2015-12-08: Largest IV spike — 24.5% change
  • 2015-12-15: Highest IV Rank — 16.7%
  • 2015-12-15: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.98$10.66$11.27$11.02$10.93
Max Pain$8.86$8.75$10.00$10.00$8.75
ATM IV61.0%48.2%69.1%63.9%65.8%
Expected Move17.9%14.8%19.8%18.3%18.9%
HV 20d57.0%28.9%122.5%122.5%32.3%
HV 60d80.3%76.4%81.7%81.5%76.4%
IV Rank11.9%4.5%16.7%13.7%14.8%
IV Percentile57.8%7.9%86.5%70.2%81.0%
Term Structure5.4%-1.2%16.3%-1.2%3.0%
VWIV70.5%60.0%81.8%61.2%81.8%
Skew 25d11.6%0.7%19.4%2.8%16.8%
Skew 10d28.5%10.6%40.7%10.6%40.7%
Call IV 25d58.5%52.5%63.6%59.7%57.2%
Put IV 25d70.1%60.6%76.5%62.5%74.0%
Bid-Ask Spread %92.5374.98113.31107.9495.44
Gamma HHI0.410.320.550.340.49
Net GEX25.1K17.7K42.3K20.3K22.8K
Net DEX-1.5M-2.8M-566.1K-1.6M-606.4K
Net VEX-3.4K-4.7K-2.6K-4.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.004.191.611.34
Total Volume1,188.72742,38880384
Total OI4,105.0911,7846,0124,7841,908

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$11.02$10.0063.9%18.3%122.5%13.7%0.0%2.8%-1.2%20.3K-1.6M-4.2K0.00107.940802,7522,032
2015-12-02$10.93$10.0054.9%15.7%122.1%8.4%61.2%11.5%5.8%21.6K-1.7M-4.0K1.61100.415488842,7522,112
2015-12-03$10.90$8.7555.8%18.3%121.8%8.9%68.7%14.7%5.5%21.8K-1.7M-3.8K1.6489.685529042,7522,112
2015-12-04$10.96$8.7548.2%17.8%121.5%4.5%68.7%15.2%0.7%22.6K-1.8M-3.7K1.6174.985609042,7602,132
2015-12-07$10.89$8.7552.9%17.8%120.7%7.2%0.0%0.7%14.3%23.6K-1.8M-3.5K0.0091.94402,7762,132
2015-12-08$10.92$8.7565.9%18.0%120.5%14.8%67.9%15.2%5.6%22.9K-1.5M-3.6K2.0483.564449042,7802,132
2015-12-09$10.92$8.7562.3%17.9%33.4%12.7%69.0%10.6%8.2%23.0K-1.6M-3.5K0.7980.401,1409042,7802,132
2015-12-10$10.67$8.7562.5%17.9%33.7%12.8%68.3%10.5%8.1%33.8K-1.9M-4.7K0.8087.851,1329043,5922,132
2015-12-11$10.91$8.7564.1%18.4%32.7%13.8%71.5%16.7%6.3%42.3K-1.9M-4.5K0.8084.991,1329043,5962,132
2015-12-14$10.77$8.7567.7%19.4%33.1%15.8%74.7%12.9%2.0%37.7K-1.9M-4.1K1.1179.621,1321,2563,5962,132
2015-12-15$11.18$8.7569.1%19.8%33.8%16.7%79.0%13.4%0.4%35.7K-2.6M-3.6K1.2481.391,0121,2563,5962,416
2015-12-16$11.22$8.7566.7%19.1%33.6%15.3%71.3%15.2%2.9%28.7K-2.6M-3.5K1.2293.381,0321,2563,5962,416
2015-12-17$11.27$8.7567.7%19.4%33.1%15.9%76.9%11.9%1.5%25.6K-2.8M-3.2K1.2282.991,0321,2563,5722,416
2015-12-18$11.25$8.7561.4%17.6%28.9%12.2%72.0%12.3%3.6%19.3K-2.8M-3.0K4.1986.743001,2563,5722,416
2015-12-21$10.66$8.7555.2%15.8%33.3%8.5%60.0%19.4%16.3%17.7K-576.3K-2.7K1.1793.242402801,444340
2015-12-22$10.71$8.7559.0%16.9%33.2%10.7%69.2%9.7%8.3%19.5K-566.1K-2.7K1.71103.501642801,524340
2015-12-23$11.05$8.7564.0%18.4%34.8%13.7%71.8%13.5%-1.1%20.6K-601.5K-2.8K1.71113.311642801,524360
2015-12-24$11.09$8.7556.8%16.3%34.8%9.5%67.0%10.3%8.5%22.5K-649.5K-2.8K1.6395.641722801,524360
2015-12-28$10.91$8.7563.1%18.1%32.1%13.1%73.0%1.9%1.9%22.3K-616.5K-2.7K1.37109.021722361,524360
2015-12-29$11.17$8.7551.7%14.8%31.7%6.5%63.0%8.7%13.8%23.8K-655.0K-2.8K1.40112.411682361,524368
2015-12-30$11.18$8.7563.5%18.2%31.4%13.4%75.2%11.8%4.3%23.7K-675.6K-2.8K1.4387.231682401,528368
2015-12-31$10.93$8.7565.8%18.9%32.3%14.8%81.8%16.8%3.0%22.8K-606.4K-2.6K1.3495.441642201,536372