BBSI Options History — March 2016

In March 2016, BBSI traded between $6.10 and $9.37. ATM implied volatility averaged 86.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded below realized volatility by 36.1% (HV 20d: 122.5%). Max pain ranged from $6.25 to $10.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2016-03-10: Highest Volume — 2,548 contracts
  • 2016-03-04: Largest IV spike — 50.1% change
  • 2016-03-04: Highest IV Rank — 39.2%
  • 2016-03-10: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.10$9.37$8.96$7.21
Max Pain$6.72$6.25$10.00$10.00$6.25
ATM IV86.4%71.7%107.6%79.5%83.8%
Expected Move23.5%17.9%28.4%22.8%24.0%
HV 20d122.5%54.6%159.0%61.1%151.8%
HV 60d83.9%51.7%99.3%51.7%98.6%
IV Rank26.8%18.2%39.2%22.8%25.3%
IV Percentile89.9%80.6%99.2%88.9%86.5%
Term Structure-1.2%-13.6%20.3%0.9%-6.0%
VWIV89.4%53.8%102.5%53.8%89.3%
Skew 25d14.7%-1.2%34.2%24.0%13.5%
Skew 10d32.4%-9.8%60.5%41.3%27.2%
Call IV 25d78.0%55.2%92.3%66.3%80.3%
Put IV 25d92.6%68.3%118.5%90.4%93.8%
Bid-Ask Spread %91.0064.73121.77104.4692.94
Gamma HHI0.200.170.230.220.21
Net GEX-370-2.8K2.4K-2.5K-2.3K
Net DEX63.2K-31.8K262.9K66.6K91.4K
Net VEX-1.6K-2.1K-748-1.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.752.341.650.88
Total Volume1,213.6368602,548860960
Total OI2,1481,2163,1681,2163,104

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$8.96$10.0079.5%22.8%61.1%22.8%53.8%24.0%0.9%-2.5K66.6K-1.4K1.65104.46324536552664
2016-03-02$9.11$10.0077.0%22.1%61.3%21.3%61.5%25.2%-9.1%-1.9K35.9K-1.4K1.65108.17324536552668
2016-03-03$9.18$0.0071.7%19.3%60.5%18.2%0.0%7.4%4.2%-1.7K10.8K-1.4K1.65100.93324536556668
2016-03-04$9.25$0.00107.6%17.9%60.5%39.2%0.0%4.3%20.3%-2.0K3.4K-1.5K1.48121.77364540556668
2016-03-07$9.37$0.0088.8%20.8%59.4%28.2%0.0%19.7%1.3%-1.3K-9.4K-1.5K1.6589.08328540616672
2016-03-08$8.99$0.0094.2%18.7%54.6%31.4%0.0%-1.2%11.4%-398-31.8K-1.5K1.65119.12328540624672
2016-03-09$9.06$0.0072.2%20.7%54.7%18.5%0.0%19.4%0.5%-1.2K20.4K-1.4K1.6585.18328540624672
2016-03-10$6.10$0.0099.2%28.4%152.7%34.2%96.4%34.2%7.0%-1.1K262.9K-7481.1064.731,2161,332616672
2016-03-11$6.85$6.2594.8%27.2%159.0%31.7%93.7%21.0%-7.1%1.2K-8.4K-2.0K1.0272.091,0121,0361,4881,332
2016-03-14$6.98$6.2587.4%25.1%151.8%27.4%96.5%23.4%-6.1%-5544.1K-1.8K1.5481.766801,0441,3881,532
2016-03-15$6.95$6.2585.5%24.5%151.0%26.2%102.5%18.3%-2.9%58342.5K-1.8K1.5967.196169801,3841,604
2016-03-16$7.02$6.2587.0%25.0%151.1%27.2%96.9%11.5%-2.2%2.4K59.3K-1.7K1.5196.675688601,4561,624
2016-03-17$6.79$6.2592.3%26.5%151.1%30.3%93.5%18.7%-13.6%1.8K127.5K-1.5K1.2584.885687081,4201,672
2016-03-18$7.01$6.2583.0%23.8%151.9%24.8%82.4%15.3%-4.9%1.3K144.9K-1.5K1.1889.026007081,4201,748
2016-03-21$6.99$6.2586.7%24.9%151.8%26.9%99.8%15.5%-4.7%1.7K5.9K-1.6K0.7588.915524121,044908
2016-03-22$6.89$6.2582.3%23.6%151.7%24.4%97.1%14.7%-4.9%73558.9K-1.6K0.9289.185204761,0441,052
2016-03-23$6.83$6.2590.4%25.9%151.5%29.1%97.1%13.5%-1.1%58271.7K-1.6K1.0286.695205281,0481,052
2016-03-24$6.94$6.2578.0%22.4%151.8%21.9%82.6%5.6%3.1%-1.0K99.3K-1.6K0.9997.285365281,0481,220
2016-03-28$6.83$6.2589.6%25.7%151.4%28.6%100.4%4.6%-0.6%-10390.3K-1.6K0.8887.865284641,0321,220
2016-03-29$7.01$6.2586.9%24.9%152.1%27.0%89.6%1.1%-10.0%-7684.4K-1.6K2.3484.655241,2281,0441,248
2016-03-30$7.16$6.2583.3%23.9%152.0%25.0%86.8%12.7%-1.5%-2.8K118.9K-2.0K0.8289.405004081,0442,028
2016-03-31$7.21$6.2583.8%24.0%151.8%25.3%89.3%13.5%-6.0%-2.3K91.4K-2.1K0.8892.945124481,0562,048