BBSI Options History — May 2016

In May 2016, BBSI traded between $7.01 and $9.36. ATM implied volatility averaged 72.9%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 16.4% (HV 20d: 56.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.97.

Notable Days

  • 2016-05-06: Highest Volume — 4,016 contracts
  • 2016-05-06: Largest IV drop — 28.0% change
  • 2016-05-05: Highest IV Rank — 39.6%
  • 2016-05-04: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.65$7.01$9.36$7.77$9.36
Max Pain$8.10$7.50$10.00$7.50$8.75
ATM IV72.9%55.9%108.3%80.5%61.7%
Expected Move19.6%16.0%30.2%23.1%17.7%
HV 20d56.5%18.5%83.9%65.8%83.7%
HV 60d98.3%95.4%106.4%100.8%106.4%
IV Rank24.7%15.0%39.6%23.3%20.8%
IV Percentile62.1%25.8%98.8%80.6%42.9%
Term Structure-7.4%-26.2%0.2%-14.1%-2.7%
VWIV74.4%54.2%122.9%82.4%66.4%
Skew 25d9.5%-6.3%53.0%3.6%10.8%
Skew 10d18.7%-18.3%98.3%5.3%29.2%
Call IV 25d69.9%49.9%116.4%79.2%53.5%
Put IV 25d79.4%58.5%130.4%82.9%64.3%
Bid-Ask Spread %91.3567.21124.62104.5575.43
Gamma HHI0.390.180.690.240.33
Net GEX2.1K-25.2K36.9K8.8K-17.1K
Net DEX348.2K-274.4K1.0M-274.4K170.3K
Net VEX-5.3K-6.5K-4.1K-5.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.971.895.083.893.55
Total Volume2,955.6191,9164,0163,0122,660
Total OI6,971.6194,5528,1847,3765,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$7.77$7.5080.5%23.1%65.8%23.3%82.4%3.6%-14.1%8.8K-274.4K-5.6K3.89104.556162,3963,0244,352
2016-05-03$7.80$7.5088.5%25.4%65.2%28.0%81.1%-6.3%-26.2%6.9K-141.9K-5.7K3.89105.486162,3963,0324,352
2016-05-04$7.75$7.50105.3%30.2%65.2%37.8%122.9%35.0%-11.6%2.1K-202.7K-5.7K5.08109.546283,1923,0324,352
2016-05-05$7.67$10.00108.3%18.9%65.4%39.6%113.0%-5.5%-4.2%-2.2K-172.7K-6.5K5.08116.366283,1923,0325,152
2016-05-06$7.53$10.0078.0%19.3%66.0%21.9%71.7%-2.6%-11.4%7.3K159.6K-6.2K5.0195.506683,3483,0325,152
2016-05-09$7.71$10.0085.4%19.2%66.2%26.2%63.0%11.2%-2.7%15.3K22.0K-5.7K4.8688.556162,9962,9844,892
2016-05-10$7.60$10.0085.9%18.5%66.5%26.5%67.6%4.4%-6.3%14.1K25.2K-5.7K4.8492.036203,0002,9844,892
2016-05-11$7.46$7.5068.2%19.6%66.8%16.2%92.2%1.4%-13.8%11.7K84.9K-5.4K4.84124.626203,0002,9884,896
2016-05-12$7.32$7.5067.9%19.5%67.0%26.8%69.6%7.0%-6.5%22.1K271.0K-5.3K4.1284.525882,4242,9884,896
2016-05-13$7.30$7.5064.5%18.5%66.2%23.5%66.4%11.8%-3.5%25.7K436.8K-5.1K4.1278.335882,4242,9804,888
2016-05-16$7.28$7.5060.1%17.2%66.2%19.2%58.2%11.2%-0.1%28.8K450.6K-4.8K3.5591.196642,3562,9804,888
2016-05-17$7.20$7.5066.8%19.1%66.3%25.7%63.3%7.7%-7.5%24.1K603.9K-4.6K3.5874.156642,3762,9884,908
2016-05-18$7.15$7.5068.4%19.6%29.8%27.3%66.4%6.0%-7.3%36.9K619.1K-4.5K1.9091.206641,2602,9884,976
2016-05-19$7.03$7.5063.3%18.2%25.2%22.4%64.9%5.0%-1.0%-17.5K1.0M-4.1K1.8981.336641,2522,9884,996
2016-05-20$7.01$7.5065.0%18.6%25.3%24.0%86.5%53.0%-11.1%-17.1K1.0M-4.1K2.85111.197322,0882,9445,004
2016-05-23$7.08$7.5063.5%18.2%23.5%22.5%68.0%7.5%-4.5%-25.2K971.3K-5.2K4.1474.644441,8367443,808
2016-05-24$7.13$7.5067.1%19.2%18.5%26.1%71.1%14.0%-8.6%-22.8K912.5K-5.3K4.2983.574281,8368083,808
2016-05-25$7.28$7.5067.7%19.4%20.2%26.6%70.6%3.1%-8.8%-24.8K901.4K-5.2K4.3086.554281,8408323,784
2016-05-26$9.12$7.5059.4%17.0%83.9%18.5%54.2%13.4%-3.1%-14.0K231.5K-5.1K3.9567.215362,1168323,792
2016-05-27$9.11$8.7555.9%16.0%83.5%15.0%62.8%8.6%0.2%-18.8K203.1K-5.2K3.5482.485882,0809884,168
2016-05-31$9.36$8.7561.7%17.7%83.7%20.8%66.4%10.8%-2.7%-17.1K170.3K-5.5K3.5575.435842,0761,0724,208