BBSI Options History — July 2016

In July 2016, BBSI traded between $9.80 and $10.85. ATM implied volatility averaged 54.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 9.9% (HV 20d: 44.1%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.96.

Notable Days

2016-07-12: Highest Volume — 1,552 contracts
2016-07-13: Largest IV drop — 28.5% change
2016-07-12: Highest IV Rank — 29.4%
2016-07-07: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.50	$9.80	$10.85	$9.94	$10.75
Max Pain	$9.94	$8.75	$10.00	$8.75	$10.00
ATM IV	54.0%	47.1%	70.4%	48.0%	52.8%
Expected Move	15.7%	13.8%	16.8%	13.8%	15.1%
HV 20d	44.1%	26.9%	49.4%	49.2%	26.9%
HV 60d	62.1%	57.4%	67.4%	67.1%	57.4%
IV Rank	13.2%	6.4%	29.4%	7.3%	12.0%
IV Percentile	21.9%	5.6%	65.1%	5.6%	18.7%
Term Structure	-3.8%	-7.6%	5.1%	5.1%	-4.1%
VWIV	56.1%	52.1%	60.9%	57.7%	53.2%
Skew 25d	10.1%	2.7%	18.5%	2.7%	18.5%
Skew 10d	24.1%	8.6%	34.5%	8.6%	34.5%
Call IV 25d	51.2%	43.5%	55.1%	55.1%	43.5%
Put IV 25d	61.3%	56.8%	66.1%	57.8%	62.0%
Bid-Ask Spread %	79.01	67.94	99.67	99.67	87.54
Gamma HHI	0.36	0.28	0.61	0.28	0.57
Net GEX	3.5K	-7.9K	14.3K	-5.2K	14.3K
Net DEX	-279.0K	-505.6K	-44.2K	-93.5K	-383.5K
Net VEX	-2.5K	-3.8K	-1.3K	-3.8K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.96	2.84	5.62	2.87	3.55
Total Volume	1,408.4	1,244	1,552	1,456	1,400
Total OI	4,884	4,724	5,052	4,936	4,916

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$9.94	$8.75	48.0%	13.8%	49.2%	7.3%	57.7%	2.7%	5.1%	-5.2K	-93.5K	-3.8K	2.87	99.67	376	1,080	1,092	3,844
2016-07-05	$9.80	$10.00	52.0%	15.9%	49.0%	11.2%	53.0%	7.2%	-2.9%	-5.4K	-126.7K	-3.3K	2.86	87.78	376	1,076	1,092	3,844
2016-07-06	$9.98	$10.00	51.0%	16.3%	49.4%	10.3%	55.5%	10.9%	-5.8%	-7.9K	-44.2K	-3.7K	3.06	80.39	376	1,152	1,092	3,848
2016-07-07	$10.16	$10.00	51.0%	16.8%	49.4%	10.2%	56.9%	6.3%	-7.6%	-1.4K	-188.9K	-3.2K	2.91	78.15	396	1,152	1,092	3,928
2016-07-08	$10.43	$10.00	47.1%	16.5%	49.1%	6.4%	56.6%	7.0%	-6.4%	838	-227.3K	-3.4K	2.91	77.54	396	1,152	1,092	3,928
2016-07-11	$10.37	$10.00	58.4%	16.5%	49.0%	17.5%	54.4%	11.3%	-5.2%	5.7K	-364.5K	-2.7K	2.94	82.71	392	1,152	1,100	3,928
2016-07-12	$10.50	$10.00	70.4%	16.0%	48.1%	29.4%	53.7%	8.1%	-5.7%	5.6K	-294.3K	-2.9K	2.92	76.89	396	1,156	1,100	3,928
2016-07-13	$10.77	$10.00	50.4%	14.4%	48.6%	9.6%	53.5%	13.0%	-1.7%	8.6K	-346.5K	-2.6K	2.92	75.76	396	1,156	1,084	3,932
2016-07-14	$10.68	$10.00	52.8%	15.1%	48.8%	12.0%	52.9%	5.7%	-3.2%	13.2K	-505.6K	-2.2K	2.89	76.08	396	1,144	1,084	3,932
2016-07-15	$10.49	$10.00	53.9%	15.4%	49.1%	13.1%	52.1%	10.8%	-1.8%	3.8K	-435.5K	-2.0K	2.84	82.80	396	1,124	1,084	3,968
2016-07-18	$10.55	$10.00	54.6%	15.7%	49.0%	13.8%	56.9%	7.5%	-2.4%	-1.9K	-142.7K	-2.6K	5.62	76.83	188	1,056	852	3,872
2016-07-19	$10.43	$10.00	57.8%	16.6%	48.0%	17.0%	56.8%	10.2%	-4.2%	1.6K	-251.4K	-2.2K	5.62	69.29	188	1,056	856	3,876
2016-07-20	$10.69	$10.00	51.2%	14.7%	48.6%	10.4%	60.9%	16.1%	-2.3%	-209	-185.9K	-2.6K	5.62	67.94	188	1,056	856	3,876
2016-07-21	$10.80	$10.00	53.8%	15.4%	48.6%	13.0%	60.2%	13.7%	-3.7%	1.3K	-234.9K	-2.5K	5.50	69.74	192	1,056	856	3,876
2016-07-22	$10.85	$10.00	53.4%	15.3%	41.2%	12.7%	57.8%	13.9%	-3.6%	7.7K	-385.3K	-1.6K	5.50	75.63	192	1,056	860	3,876
2016-07-25	$10.72	$10.00	57.8%	16.6%	34.5%	17.0%	60.5%	11.4%	-6.9%	5.7K	-343.3K	-1.9K	5.60	70.11	192	1,076	860	3,876
2016-07-26	$10.81	$10.00	56.6%	16.2%	31.7%	15.8%	58.5%	11.3%	-5.7%	6.2K	-344.8K	-1.8K	5.60	77.41	192	1,076	860	3,896
2016-07-27	$10.69	$10.00	53.3%	15.3%	32.3%	12.5%	54.8%	8.1%	-3.8%	10.8K	-355.9K	-1.3K	4.01	81.68	272	1,092	860	3,888
2016-07-28	$10.66	$10.00	54.2%	15.5%	32.0%	13.4%	56.9%	7.7%	-4.0%	7.1K	-326.1K	-1.8K	3.55	86.24	308	1,092	944	3,932
2016-07-29	$10.75	$10.00	52.8%	15.1%	26.9%	12.0%	53.2%	18.5%	-4.1%	14.3K	-383.5K	-1.5K	3.55	87.54	308	1,092	984	3,932