BBSI Options History — February 2016

In February 2016, BBSI traded between $7.86 and $9.38. ATM implied volatility averaged 87.2%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 24.7% (HV 20d: 62.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 5.57.

Notable Days

  • 2016-02-05: Highest Volume — 4,684 contracts
  • 2016-02-08: Largest IV spike — 45.2% change
  • 2016-02-08: Highest IV Rank — 59.4%
  • 2016-02-08: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.66$7.86$9.38$9.38$8.76
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV87.2%64.3%142.3%78.5%77.1%
Expected Move23.8%18.4%29.7%22.5%22.1%
HV 20d62.5%53.4%73.2%58.6%61.7%
HV 60d57.8%46.2%79.2%79.2%51.4%
IV Rank27.2%13.8%59.4%22.2%21.3%
IV Percentile91.4%71.4%99.6%92.9%86.1%
Term Structure-4.7%-25.7%9.9%-5.0%1.6%
VWIV75.5%61.0%99.4%80.7%67.5%
Skew 25d14.8%1.3%28.5%12.5%13.8%
Skew 10d34.2%15.9%84.4%16.5%21.0%
Call IV 25d77.0%64.8%94.5%76.8%70.1%
Put IV 25d91.8%81.3%111.1%89.4%83.9%
Bid-Ask Spread %90.2265.23110.1296.4197.01
Gamma HHI0.490.200.780.750.20
Net GEX-31.2K-59.6K-1.8K-59.6K-1.8K
Net DEX1.7M51.7K3.0M1.6M51.7K
Net VEX-2.5K-4.2K-1.4K-4.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.571.2310.489.992.57
Total Volume2,6679444,6843,8681,156
Total OI4,698.41,2046,7005,3281,208

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$9.38$10.0078.5%22.5%58.6%22.2%80.7%12.5%-5.0%-59.6K1.6M-4.2K9.9996.413523,5161,6003,728
2016-02-02$9.24$10.0091.3%26.2%56.7%29.7%76.5%25.0%-10.3%-57.1K1.6M-4.2K8.53110.124123,5161,6403,768
2016-02-03$8.99$10.0090.9%26.1%56.9%29.4%63.7%4.4%-4.8%-52.4K2.0M-3.6K7.9394.754483,5521,7003,768
2016-02-04$8.93$0.0097.1%22.1%56.5%33.0%0.0%17.3%-5.9%-52.4K2.1M-3.5K8.3865.234203,5201,7083,808
2016-02-05$8.66$0.0098.0%22.6%57.0%33.5%81.2%18.5%-4.4%-47.8K2.1M-3.2K10.4875.244084,2761,7083,808
2016-02-08$8.05$10.00142.3%29.7%58.6%59.4%99.4%11.3%-25.7%-42.1K2.3M-3.2K10.2780.514124,2321,7444,532
2016-02-09$8.09$10.00107.0%28.7%58.3%38.8%81.2%28.5%-6.8%-39.7K2.8M-2.9K10.27100.314124,2321,7564,836
2016-02-10$7.86$10.0096.6%27.7%55.0%32.7%72.8%19.0%-13.9%-36.2K2.8M-2.4K8.7272.944403,8361,7564,840
2016-02-11$8.03$10.0097.6%28.0%53.4%33.3%83.8%23.5%-15.4%-39.9K2.8M-2.6K8.5768.804483,8401,7964,840
2016-02-12$9.08$10.0081.4%23.3%70.7%23.9%89.2%4.8%2.6%-52.0K1.5M-4.1K8.83102.064363,8481,8044,848
2016-02-16$8.58$10.0086.4%24.8%73.2%26.8%69.6%1.3%-0.0%-57.9K2.7M-2.5K1.5093.234206321,8164,868
2016-02-17$8.62$10.0087.0%24.9%71.4%27.1%88.7%19.8%-7.1%-47.9K2.9M-2.1K1.2383.174245201,8124,888
2016-02-18$8.71$10.0080.4%23.0%69.1%23.3%89.1%11.2%-3.1%-17.5K3.0M-1.7K1.59103.684286801,7924,788
2016-02-19$8.66$10.0077.2%22.1%68.5%21.4%65.5%15.7%-6.4%-3.5K3.0M-1.5K1.46102.394566681,7964,648
2016-02-22$8.68$10.0064.3%18.4%66.4%13.8%64.3%13.2%9.9%-3.8K87.1K-1.5K1.86100.64332616500776
2016-02-23$8.70$10.0073.8%21.2%66.1%19.4%61.0%6.3%4.9%-4.0K107.1K-1.5K1.8690.04332616512828
2016-02-24$8.79$10.0070.6%20.2%65.1%17.5%68.6%17.0%3.1%-4.9K116.2K-1.5K2.3888.51348828512828
2016-02-25$8.65$10.0073.0%20.9%63.0%18.9%64.6%16.8%-2.9%-1.9K69.5K-1.5K2.3884.07348828548656
2016-02-26$8.81$10.0072.9%20.9%62.9%18.9%68.1%15.7%-3.8%-2.0K72.1K-1.4K2.5695.28324828548656
2016-02-29$8.76$10.0077.1%22.1%61.7%21.3%67.5%13.8%1.6%-1.8K51.7K-1.4K2.5797.01324832552656