BBSI Options History — August 2016

In August 2016, BBSI traded between $10.61 and $12.00. ATM implied volatility averaged 46.5%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 27.1% (HV 20d: 19.4%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 5.97.

Notable Days

  • 2016-08-19: Highest Volume — 1,752 contracts
  • 2016-08-10: Largest IV drop — 28.4% change
  • 2016-08-09: Highest IV Rank — 21.6%
  • 2016-08-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.41$10.61$12.00$10.61$11.73
Max Pain$10.38$10.00$11.25$10.00$11.25
ATM IV46.5%35.2%63.6%59.5%44.2%
Expected Move12.9%10.1%17.1%17.1%12.7%
HV 20d19.4%17.2%23.2%23.2%18.4%
HV 60d48.5%32.4%57.4%57.4%32.4%
IV Rank6.5%0.0%21.6%17.5%8.4%
IV Percentile10.4%0.0%50.8%38.5%7.5%
Term Structure2.7%-2.8%12.6%-2.0%-1.4%
VWIV46.9%39.8%58.6%58.0%44.0%
Skew 25d8.3%0.1%23.7%9.8%0.1%
Skew 10d16.6%0.9%46.7%23.2%0.9%
Call IV 25d41.2%33.7%53.6%53.6%43.8%
Put IV 25d49.6%39.2%67.2%63.4%43.9%
Bid-Ask Spread %92.6475.56103.2485.0099.12
Gamma HHI0.530.340.800.450.46
Net GEX13.8K2.7K39.6K11.8K5.6K
Net DEX-420.4K-796.6K-215.3K-359.5K-240.6K
Net VEX-1.2K-1.8K-920-1.8K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.973.3923.503.555.60
Total Volume1,254.78301,7521,4001,240
Total OI3,805.3911,5165,0764,9161,636

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$10.61$10.0059.5%17.1%23.2%17.5%58.0%9.8%-2.0%11.8K-359.5K-1.8K3.5585.003081,0929843,932
2016-08-02$10.74$10.0050.4%14.4%22.5%8.4%57.4%18.4%-0.3%13.7K-381.7K-1.7K4.0375.563081,2409843,932
2016-08-03$10.87$10.0052.1%14.9%22.1%10.1%58.6%23.7%-1.3%14.4K-396.8K-1.4K4.0379.923081,2409844,008
2016-08-04$10.79$10.0053.0%14.3%21.8%11.0%48.9%9.4%-0.6%13.9K-388.1K-1.7K4.0385.513081,2409844,008
2016-08-05$11.05$10.0053.8%13.8%21.6%11.8%47.9%15.0%1.5%16.8K-473.8K-1.4K4.2186.322921,2289844,008
2016-08-08$11.01$10.0059.7%14.1%21.5%17.7%49.3%7.8%0.7%17.5K-451.1K-1.3K4.8088.712561,2289963,976
2016-08-09$11.04$10.0063.6%13.7%21.2%21.6%48.8%9.4%2.4%16.5K-443.9K-1.3K4.8088.672561,2281,0003,976
2016-08-10$11.07$10.0045.5%13.0%19.3%3.6%46.3%4.6%4.6%22.3K-460.2K-1.2K4.8991.752521,2321,0003,976
2016-08-11$11.13$10.0042.3%12.1%19.0%0.4%45.0%7.2%6.4%28.1K-491.0K-1.2K4.9296.312521,2409963,980
2016-08-12$11.29$10.0041.3%11.8%18.0%0.0%42.8%6.8%9.5%34.5K-535.9K-1.1K4.9295.672521,2409964,028
2016-08-15$11.58$10.0043.5%12.5%19.5%2.2%45.1%9.3%7.4%39.6K-695.0K-9203.3996.053681,2489964,028
2016-08-16$11.56$10.0043.2%12.4%18.7%1.9%43.8%2.9%5.2%35.1K-656.4K-1.2K3.3994.553681,2481,0004,036
2016-08-17$11.61$10.0043.1%12.4%17.2%1.8%0.0%7.5%4.7%2.8K-796.6K-93423.5094.2481881,0004,036
2016-08-18$11.82$10.0043.9%12.6%17.7%2.6%0.0%11.0%7.1%12.1K-467.9K-1.1K13.0091.854527444,216
2016-08-19$11.76$10.0039.3%11.3%18.1%0.0%42.6%3.7%12.6%3.1K-711.2K-1.2K3.6697.883761,3769124,164
2016-08-22$11.63$10.0042.0%12.0%18.1%2.6%45.7%5.7%3.6%2.7K-215.3K-1.1K5.8296.091801,0483721,144
2016-08-23$11.72$11.2544.8%12.8%18.1%5.3%48.4%10.5%0.4%3.0K-221.0K-1.1K5.8293.471801,0483921,172
2016-08-24$11.71$11.2542.3%12.1%17.2%2.9%0.0%0.4%2.1%3.1K-223.4K-1.1K0.0097.06003921,172
2016-08-25$12.00$11.2535.2%10.1%18.3%0.0%40.0%10.4%4.5%4.3K-251.5K-9375.7096.691841,0483921,172
2016-08-26$11.94$11.2541.2%11.8%18.6%5.6%42.3%8.4%-2.8%4.1K-261.3K-1.0K5.8298.941801,0483961,172
2016-08-29$11.89$11.2541.5%11.9%17.7%5.9%43.0%4.4%-2.3%6.5K-281.7K-9765.8298.181801,0484521,172
2016-08-30$11.85$11.2543.2%12.4%17.8%7.5%39.8%5.4%0.5%6.4K-265.6K-1.0K5.60103.241881,0524521,172
2016-08-31$11.73$11.2544.2%12.7%18.4%8.4%44.0%0.1%-1.4%5.6K-240.6K-1.0K5.6099.121881,0524601,176