BBSI Options History — September 2016

In September 2016, BBSI traded between $11.29 and $12.44. ATM implied volatility averaged 40.5%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 18.9% (HV 20d: 21.6%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.81.

Notable Days

  • 2016-09-16: Highest Volume — 1,752 contracts
  • 2016-09-12: Largest IV spike — 36.3% change
  • 2016-09-13: Highest IV Rank — 26.6%
  • 2016-09-12: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.88$11.29$12.44$11.84$12.44
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV40.5%32.8%62.0%40.0%34.2%
Expected Move11.4%9.4%13.6%11.5%9.8%
HV 20d21.6%16.9%26.5%18.0%26.5%
HV 60d28.2%21.4%32.8%32.3%22.1%
IV Rank6.9%0.0%26.6%4.4%1.3%
IV Percentile6.3%0.0%49.6%0.8%0.4%
Term Structure8.3%1.6%16.0%10.2%12.9%
VWIV40.5%33.9%46.8%39.2%35.8%
Skew 25d8.3%1.8%17.5%17.5%5.5%
Skew 10d22.6%8.2%60.1%60.1%8.7%
Call IV 25d35.7%29.8%41.8%37.8%32.7%
Put IV 25d44.1%36.6%55.3%55.3%38.2%
Bid-Ask Spread %90.7982.72102.40102.40100.98
Gamma HHI0.380.180.830.460.20
Net GEX7.8K1.1K31.8K7.7K2.5K
Net DEX-250.1K-353.1K-194.8K-257.4K-282.4K
Net VEX-925-1.1K-783-961-837
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.811.857.705.602.05
Total Volume1,381.1435121,7521,240512
Total OI1,743.4291,5562,0761,6361,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$11.84$11.2540.0%11.5%18.0%4.4%39.2%17.5%10.2%7.7K-257.4K-9615.60102.401881,0524601,176
2016-09-02$12.01$11.2532.8%9.4%16.9%0.0%38.9%4.1%1.6%8.7K-284.6K-1.1K5.60101.111881,0524601,176
2016-09-06$11.90$11.2535.7%11.5%17.3%2.7%42.2%7.2%7.2%9.2K-276.9K-9655.6082.721881,0524601,176
2016-09-07$11.86$11.2538.7%12.1%17.5%5.4%40.7%5.8%6.0%8.4K-250.9K-9931.8790.395641,0524601,176
2016-09-08$11.74$11.2540.0%12.2%18.1%6.5%41.6%6.9%6.5%29.4K-353.1K-1.0K1.8788.605641,0528721,176
2016-09-09$11.62$11.2540.5%12.0%18.7%7.0%41.6%6.5%6.8%19.8K-255.3K-1.1K1.8585.575681,0528721,176
2016-09-12$11.63$11.2555.2%13.6%18.1%20.4%45.0%15.5%3.9%12.7K-235.0K-8921.8585.155681,0528761,176
2016-09-13$11.44$11.2562.0%13.4%16.9%26.6%44.8%7.7%4.3%12.6K-228.2K-9541.8590.295681,0528761,176
2016-09-14$11.29$11.2542.9%12.3%17.4%9.2%42.2%3.5%6.1%5.0K-194.8K-9141.8990.615681,0768761,176
2016-09-15$11.86$11.2544.6%12.8%24.9%10.7%43.4%11.1%7.3%31.8K-315.6K-9131.8987.295681,0768761,200
2016-09-16$11.69$11.2540.9%11.7%24.6%7.3%39.2%7.3%8.5%1.3K-206.5K-9682.0888.735681,1848761,200
2016-09-19$11.81$11.2542.8%12.3%24.9%9.1%40.6%7.5%4.9%1.4K-210.2K-9247.7093.931481,1403441,212
2016-09-20$11.95$11.2539.1%11.2%24.8%5.7%39.8%8.8%8.3%1.3K-221.7K-9077.7085.821481,1403441,216
2016-09-21$11.98$11.2538.0%10.9%24.6%4.7%46.8%8.5%11.1%1.4K-225.5K-8927.7084.721481,1403441,216
2016-09-22$12.02$11.2538.6%11.1%24.6%5.3%39.4%8.6%10.3%1.4K-230.8K-8717.7084.791481,1403441,216
2016-09-23$11.92$11.2537.0%10.6%23.3%3.8%40.1%11.5%9.5%1.1K-225.5K-9047.5089.471521,1403441,216
2016-09-26$11.98$11.2535.6%10.2%23.4%2.6%42.0%13.4%16.0%1.4K-224.5K-8767.5090.401521,1403481,216
2016-09-27$12.13$11.2537.2%10.7%23.7%4.0%38.2%9.5%9.1%1.6K-240.5K-8497.3186.971561,1403481,216
2016-09-28$12.30$11.2534.7%10.0%24.0%1.7%33.9%6.9%13.6%1.9K-270.7K-7837.1395.171601,1403561,216
2016-09-29$12.08$11.2539.2%11.2%24.8%5.8%36.0%1.8%9.5%2.4K-262.7K-8106.79101.471681,1403641,216
2016-09-30$12.44$11.2534.2%9.8%26.5%1.3%35.8%5.5%12.9%2.5K-282.4K-8372.05100.981683443721,216