BBSI Options History — June 2016

In June 2016, BBSI traded between $9.21 and $10.50. ATM implied volatility averaged 54.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 21.3% (HV 20d: 75.5%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.24.

Notable Days

  • 2016-06-01: Highest Volume — 2,664 contracts
  • 2016-06-03: Largest IV drop — 15.9% change
  • 2016-06-13: Highest IV Rank — 19.7%
  • 2016-06-13: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.61$9.21$10.50$9.69$10.32
Max Pain$7.90$7.50$8.75$8.75$8.75
ATM IV54.2%48.2%60.6%51.5%48.7%
Expected Move15.5%14.0%17.4%14.8%14.0%
HV 20d75.5%44.9%86.2%84.1%48.3%
HV 60d70.0%63.1%106.6%106.6%66.5%
IV Rank13.4%7.5%19.7%10.8%8.0%
IV Percentile21.0%7.1%37.7%16.3%9.1%
Term Structure3.0%-0.5%10.4%1.9%10.4%
VWIV54.1%47.3%63.4%63.4%47.3%
Skew 25d9.2%-2.5%47.9%14.2%47.9%
Skew 10d20.4%-0.3%100.2%21.6%100.2%
Call IV 25d52.2%44.0%58.6%51.3%50.8%
Put IV 25d61.4%50.0%98.7%65.4%98.7%
Bid-Ask Spread %82.5468.86100.8769.1899.35
Gamma HHI0.330.290.400.320.30
Net GEX-14.0K-19.1K-2.5K-15.8K-3.2K
Net DEX80.8K-155.2K248.0K60.5K-134.0K
Net VEX-4.5K-5.3K-3.6K-5.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.242.334.223.532.87
Total Volume1,774.9091,3642,6642,6641,456
Total OI5,088.9094,6685,2845,2844,928

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$9.69$8.7551.5%14.8%84.1%10.8%63.4%14.2%1.9%-15.8K60.5K-5.3K3.5369.185882,0761,0764,208
2016-06-02$9.68$7.5057.3%15.6%84.0%16.4%52.9%3.0%0.4%-15.5K46.7K-5.3K4.2269.114922,0761,0684,208
2016-06-03$9.40$7.5048.2%14.9%84.8%7.5%50.0%3.7%2.4%-17.5K73.0K-5.2K4.2272.604922,0761,0724,208
2016-06-06$9.61$7.5054.8%15.1%84.2%13.9%52.1%4.3%-0.4%-16.9K80.4K-4.8K4.2272.344922,0761,0724,208
2016-06-07$9.56$7.5057.0%15.4%84.3%16.2%53.0%3.9%0.1%-16.9K69.6K-5.0K4.2272.854922,0761,0724,208
2016-06-08$9.73$7.5054.3%15.6%83.8%13.5%56.4%4.1%0.9%-16.5K9.5K-4.8K3.4468.863721,2801,0724,208
2016-06-09$9.51$7.5053.9%15.5%84.0%13.1%51.5%5.9%0.7%-17.6K78.8K-5.0K3.4373.653721,2761,0724,208
2016-06-10$9.40$7.5055.1%15.8%83.7%14.3%52.5%5.6%-0.5%-18.6K134.5K-4.9K3.4375.463721,2761,0724,208
2016-06-13$9.21$7.5060.6%17.4%84.3%19.7%54.6%9.5%-0.3%-18.2K178.5K-4.7K3.0277.454161,2561,0724,208
2016-06-14$9.23$7.5057.8%16.6%84.2%16.9%51.5%2.7%1.2%-18.6K185.6K-4.5K3.0283.334161,2561,0364,216
2016-06-15$9.37$7.5059.7%17.1%83.8%18.8%51.9%9.0%1.6%-19.1K185.2K-4.6K3.0288.254161,2561,0364,216
2016-06-16$9.26$7.5056.3%16.2%84.0%15.5%52.6%7.1%4.3%-16.9K248.0K-4.8K2.9989.314201,2561,0364,216
2016-06-17$9.22$7.5055.8%16.0%83.5%15.0%53.3%2.3%3.0%-15.9K224.6K-4.5K2.6485.514201,1081,0484,216
2016-06-20$9.56$7.5051.1%14.7%83.7%10.4%58.0%16.9%3.3%-12.4K93.1K-4.2K2.8886.273521,0128923,776
2016-06-21$9.63$7.5052.2%15.0%83.7%11.4%54.1%9.4%3.6%-12.2K105.7K-4.2K2.8889.673521,0128923,780
2016-06-22$9.75$7.5054.7%15.7%83.6%13.9%58.7%13.6%2.4%-12.7K93.2K-4.2K2.3377.344641,0808923,780
2016-06-23$10.50$8.7551.3%14.7%86.2%10.6%58.2%8.2%4.1%-2.5K-155.2K-4.1K3.0784.723521,0801,0043,872
2016-06-24$9.88$8.7551.8%14.9%45.1%11.1%49.4%-2.5%6.1%-8.9K-21.0K-3.9K3.0794.003521,0801,0443,872
2016-06-27$9.56$8.7555.9%16.0%46.9%15.1%59.4%9.4%8.2%-12.0K102.4K-4.2K3.0791.023521,0801,0443,844
2016-06-28$9.62$8.7552.8%15.1%46.0%12.0%56.6%14.0%9.4%-11.5K102.9K-4.2K2.9094.753721,0801,0443,844
2016-06-29$9.80$8.7551.4%14.7%44.9%10.6%51.7%9.3%3.8%-8.6K14.6K-4.0K2.78100.873881,0801,0643,844
2016-06-30$10.32$8.7548.7%14.0%48.3%8.0%47.3%47.9%10.4%-3.2K-134.0K-3.6K2.8799.353761,0801,0843,844