BBSI Options History — January 2016

In January 2016, BBSI traded between $9.13 and $10.40. ATM implied volatility averaged 82.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 35.0% (HV 20d: 47.9%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 8.54.

Notable Days

  • 2016-01-15: Highest Volume — 6,984 contracts
  • 2016-01-11: Largest IV spike — 47.4% change
  • 2016-01-11: Highest IV Rank — 35.8%
  • 2016-01-19: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$9.13$10.40$10.40$9.76
Max Pain$9.34$8.75$10.00$8.75$10.00
ATM IV82.9%69.1%101.8%91.7%76.6%
Expected Move22.3%18.7%26.0%22.2%22.0%
HV 20d47.9%36.7%57.7%36.7%57.7%
HV 60d78.3%76.8%79.5%76.9%79.1%
IV Rank24.8%16.7%35.8%29.9%21.1%
IV Percentile95.4%87.7%99.2%99.2%90.9%
Term Structure-4.7%-13.4%11.6%-6.6%-11.6%
VWIV77.8%56.1%86.8%86.8%76.1%
Skew 25d16.1%2.8%25.1%15.4%16.4%
Skew 10d30.9%17.5%53.6%53.6%19.1%
Call IV 25d71.4%64.0%82.2%69.7%70.5%
Put IV 25d87.4%79.0%95.3%85.2%86.8%
Bid-Ask Spread %85.9471.53103.0279.79103.02
Gamma HHI0.660.430.860.460.73
Net GEX-51.6K-191.3K20.5K19.2K-59.2K
Net DEX1.1M-437.2K2.9M-437.2K1.6M
Net VEX-3.6K-5.3K-1.7K-2.3K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.541.1123.251.3411.00
Total Volume2,608.4213846,9843843,792
Total OI4,480.2111,9205,3281,9205,328

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$10.40$8.7591.7%22.2%36.7%29.9%86.8%15.4%-6.6%19.2K-437.2K-2.3K1.3479.791642201,540380
2016-01-05$10.20$8.7591.8%22.7%37.1%29.9%77.1%15.6%-7.1%19.4K-416.2K-2.2K1.3480.831642201,540380
2016-01-06$10.34$8.7578.3%21.4%37.5%22.0%77.9%15.9%-4.0%20.5K-397.6K-2.2K1.3477.171642201,540380
2016-01-07$10.16$8.7583.9%22.3%37.8%25.3%79.2%15.7%-7.3%16.9K-376.4K-2.2K11.1272.071641,8241,540380
2016-01-08$9.55$8.7569.1%18.7%43.1%16.7%73.0%6.3%11.6%-45.8K620.5K-2.6K8.8183.532081,8321,5401,984
2016-01-11$9.68$8.75101.8%20.4%43.1%35.8%79.2%13.5%-1.9%-102.1K1.6M-3.0K8.1571.532201,7921,5963,596
2016-01-12$10.12$8.7599.5%21.4%45.6%34.4%75.5%18.7%-5.7%-141.3K1.2M-3.0K1.1181.691882081,6043,600
2016-01-13$9.54$8.7577.9%22.3%49.6%21.8%82.0%17.8%-7.9%-191.3K1.3M-2.7K1.1588.952162481,6043,628
2016-01-14$9.65$8.7578.0%22.4%47.5%21.9%80.2%15.0%-8.0%-139.1K1.8M-2.4K1.2277.332042481,6323,668
2016-01-15$9.58$8.7579.9%22.9%47.4%23.0%77.5%16.3%-10.0%9.8K2.9M-1.7K23.2592.372886,6961,6323,668
2016-01-19$9.13$10.0090.7%26.0%49.2%29.3%56.1%10.9%-13.4%-39.5K1.5M-5.0K12.0492.292923,5161,5523,656
2016-01-20$9.58$10.0075.7%21.7%53.4%20.5%82.8%2.8%9.6%-50.3K1.7M-5.1K11.9292.782923,4801,5723,720
2016-01-21$9.32$10.0087.9%25.2%51.2%27.7%80.4%17.8%-7.1%-45.2K1.5M-5.2K11.9280.562923,4801,5723,724
2016-01-22$9.72$10.0073.5%21.1%53.9%19.2%73.6%22.5%-3.9%-51.3K1.5M-5.3K11.4589.043043,4801,5723,724
2016-01-25$9.48$10.0079.3%22.7%52.7%22.6%80.0%22.3%-7.1%-48.0K1.5M-5.0K11.4584.863043,4801,5883,724
2016-01-26$9.77$10.0079.7%22.8%54.3%22.8%80.3%19.2%-7.5%-51.6K1.5M-5.0K11.7691.772963,4801,5883,724
2016-01-27$9.29$10.0080.3%23.0%56.5%23.2%79.8%17.9%8.0%-50.5K1.5M-4.6K11.0098.983163,4761,5963,724
2016-01-28$9.48$10.0080.5%23.1%56.3%23.3%80.3%25.1%-9.6%-51.2K1.6M-4.6K11.0094.213163,4761,6003,728
2016-01-29$9.76$10.0076.6%22.0%57.7%21.1%76.1%16.4%-11.6%-59.2K1.6M-4.6K11.00103.023163,4761,6003,728