BBSI Options History — October 2016

In October 2016, BBSI traded between $10.98 and $12.44. ATM implied volatility averaged 47.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 22.3% (HV 20d: 25.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.06.

Notable Days

  • 2016-10-31: Highest Volume — 2,564 contracts
  • 2016-10-12: Largest IV spike — 26.7% change
  • 2016-10-31: Highest IV Rank — 25.1%
  • 2016-10-31: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.72$10.98$12.44$12.43$11.25
Max Pain$10.18$10.00$11.25$11.25$10.00
ATM IV47.5%35.1%60.3%38.4%60.3%
Expected Move14.2%10.1%17.3%11.0%17.3%
HV 20d25.3%22.8%29.5%26.2%23.2%
HV 60d22.3%21.1%23.4%21.6%22.9%
IV Rank13.4%2.1%25.1%5.1%25.1%
IV Percentile20.6%1.2%48.8%3.6%48.8%
Term Structure-1.5%-8.3%12.5%11.9%-7.4%
VWIV55.5%35.7%65.2%36.3%61.7%
Skew 25d9.5%0.6%15.6%2.7%5.7%
Skew 10d25.6%9.6%38.6%23.7%33.0%
Call IV 25d44.9%29.9%56.0%34.5%56.0%
Put IV 25d54.4%37.2%63.9%37.2%61.6%
Bid-Ask Spread %87.9671.30101.80100.9792.34
Gamma HHI0.240.180.350.200.26
Net GEX-1.6K-9.7K2.9K2.7K-8.9K
Net DEX-131.8K-283.9K144.3K-283.9K81.8K
Net VEX-1.4K-2.7K-806-806-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.508.572.058.57
Total Volume668.5713162,5645122,564
Total OI1,9041,5842,5841,5842,584

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$12.43$11.2538.4%11.0%26.2%5.1%36.3%2.7%11.9%2.7K-283.9K-8062.05100.971683443721,212
2016-10-04$12.44$11.2535.1%10.1%25.9%2.1%35.7%8.3%12.5%2.5K-282.4K-8361.91100.251803443721,212
2016-10-05$12.43$11.2538.9%11.1%25.8%5.5%44.1%12.8%8.7%2.7K-273.9K-1.0K1.27101.801802283921,212
2016-10-06$12.27$10.0040.7%14.1%26.1%7.2%65.2%10.8%-4.2%2.8K-277.1K-9121.1685.221802083921,208
2016-10-07$12.03$10.0038.1%13.2%26.9%4.8%59.5%7.3%-2.9%2.5K-255.6K-8911.1682.501802083921,212
2016-10-10$12.29$10.0036.0%13.6%27.8%2.9%64.1%10.2%-2.4%2.9K-282.4K-8492.2178.221723803921,212
2016-10-11$11.93$10.0037.8%14.1%29.5%4.6%57.8%7.5%-4.0%-430-171.3K-1.3K2.3371.301724003961,392
2016-10-12$11.96$10.0047.9%13.7%29.0%13.8%63.0%11.0%-1.1%-920-158.7K-1.4K2.3379.681724003961,412
2016-10-13$11.93$10.0046.9%13.5%23.3%12.9%48.9%12.2%-2.5%-1.2K-181.3K-1.2K1.2873.491722204001,412
2016-10-14$11.75$10.0051.9%14.9%23.3%17.4%56.7%10.1%-3.8%-1.4K-144.9K-1.4K0.9384.141721604001,412
2016-10-17$11.80$10.0052.5%15.1%23.1%18.0%55.8%5.8%-1.8%-899-158.7K-1.3K0.9384.871721604001,412
2016-10-18$11.73$10.0058.3%16.7%22.8%23.2%64.8%13.5%-8.3%-1.6K-133.8K-1.4K0.9385.471721604001,412
2016-10-19$11.69$10.0052.4%15.0%22.8%17.9%56.4%11.0%-4.4%-1.2K-141.2K-1.3K0.9388.371721604001,412
2016-10-20$11.28$10.0050.7%14.6%25.8%16.4%52.0%3.8%-3.3%-3.3K-113.1K-1.2K0.8483.531721444001,412
2016-10-21$11.27$10.0054.1%15.5%25.7%19.4%62.9%12.2%-5.7%-1.5K-82.8K-1.3K0.5082.142881444001,412
2016-10-24$11.32$10.0051.2%14.7%25.7%16.8%55.3%13.2%-1.8%311-144.4K-1.3K1.0095.352682684641,388
2016-10-25$11.16$10.0052.8%15.2%25.4%18.3%56.9%0.6%-4.1%-747-100.3K-1.4K3.2491.342688684641,508
2016-10-26$11.02$10.0052.0%14.9%24.6%17.6%58.1%15.6%-5.3%-9.2K116.4K-2.7K3.2492.152688684642,108
2016-10-27$10.98$10.0050.9%14.6%24.2%16.6%56.8%15.4%-0.6%-9.7K144.3K-2.6K3.2495.112688684642,108
2016-10-28$11.25$10.0050.3%14.4%23.2%16.0%54.0%9.9%-0.6%-9.2K76.0K-2.6K3.2898.872688804642,108
2016-10-31$11.25$10.0060.3%17.3%23.2%25.1%61.7%5.7%-7.4%-8.9K81.8K-2.6K8.5792.342682,2964642,120