BBSI Options History — November 2016

In November 2016, BBSI traded between $10.95 and $14.71. ATM implied volatility averaged 40.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.6% (HV 20d: 31.9%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.17.

Notable Days

  • 2016-11-01: Highest Volume — 4,044 contracts
  • 2016-11-09: Largest IV drop — 52.6% change
  • 2016-11-08: Highest IV Rank — 37.2%
  • 2016-11-01: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$10.95$14.71$10.95$14.54
Max Pain$12.34$11.25$12.50$11.25$12.50
ATM IV40.5%24.1%73.5%58.3%26.1%
Expected Move10.6%6.9%16.7%16.7%7.5%
HV 20d31.9%24.2%38.5%24.3%31.2%
HV 60d27.7%23.5%30.0%23.5%30.0%
IV Rank9.1%0.0%37.2%23.3%1.6%
IV Percentile16.1%0.0%69.8%44.8%0.8%
Term Structure1.9%-7.7%9.5%-7.7%-2.0%
VWIV34.4%24.2%67.4%60.0%25.9%
Skew 25d7.3%0.4%13.8%4.2%1.7%
Skew 10d17.4%5.8%30.4%25.2%5.9%
Call IV 25d34.5%24.1%58.0%58.0%29.9%
Put IV 25d41.8%28.7%67.2%62.3%31.6%
Bid-Ask Spread %88.8853.73104.3395.55104.15
Gamma HHI0.320.200.420.420.30
Net GEX-9.5K-62.9K31.3K-50.1K30.3K
Net DEX-139.1K-759.3K865.9K697.8K-743.2K
Net VEX-3.3K-5.3K-2.2K-3.6K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.170.2614.0914.090.26
Total Volume1,807.4297084,0444,044804
Total OI4,922.2863,2726,0723,9363,844

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$10.95$11.2558.3%16.7%24.3%23.3%60.0%4.2%-7.7%-50.1K697.8K-3.6K14.0995.552683,7764643,472
2016-11-02$11.04$11.2557.0%16.3%24.8%22.1%67.4%12.5%-3.8%-59.6K860.0K-5.3K11.5495.302683,0924645,072
2016-11-03$10.97$0.0065.5%14.8%24.7%29.9%0.0%10.8%-4.3%-57.2K865.9K-5.0K11.5453.732683,0924645,072
2016-11-04$11.01$0.0064.2%13.5%24.3%28.7%0.0%5.9%0.2%-57.7K787.9K-4.9K11.5457.082683,0924645,072
2016-11-07$11.38$0.0063.7%12.1%26.0%28.2%0.0%6.6%1.2%-62.9K687.4K-4.6K11.5495.972683,0924645,072
2016-11-08$11.43$0.0073.5%13.9%24.2%37.2%0.0%10.5%-2.7%-58.2K673.5K-4.6K6.9060.963482,4004645,072
2016-11-09$12.15$0.0034.8%10.0%33.2%1.8%35.1%13.8%4.3%-46.2K191.1K-4.0K6.6079.363602,3765245,112
2016-11-10$12.57$12.5034.7%9.9%35.1%1.7%33.9%12.0%6.4%-7.2K-172.4K-3.2K7.5484.303202,4125765,108
2016-11-11$13.21$12.5031.4%9.0%38.2%0.0%32.5%6.2%4.2%-11.0K-337.8K-2.5K1.5475.145368245885,088
2016-11-14$13.23$12.5032.9%9.4%38.2%1.3%32.3%4.3%8.6%7.1K-471.2K-3.1K0.5887.195283048165,088
2016-11-15$13.56$12.5031.9%9.1%38.5%0.4%32.0%5.4%9.5%12.7K-590.6K-2.2K0.4885.166363048045,168
2016-11-16$13.68$12.5033.6%9.6%38.3%1.9%34.0%9.9%6.6%11.8K-533.0K-2.3K0.4990.036243047205,168
2016-11-17$13.68$12.5032.0%9.2%34.8%0.5%31.7%4.3%8.6%11.6K-515.0K-2.6K0.4397.597043047245,168
2016-11-18$13.95$12.5031.9%9.1%34.7%0.4%31.2%10.1%8.0%14.7K-739.5K-2.6K0.4396.457043049045,168
2016-11-21$14.13$12.5035.2%10.1%34.7%3.4%34.2%7.3%1.7%13.9K-437.9K-2.4K0.36100.875201886522,620
2016-11-22$14.20$12.5034.4%9.9%33.5%2.7%34.4%10.8%-2.7%12.4K-438.7K-2.5K0.4399.776202686522,692
2016-11-23$14.54$12.5030.3%8.7%32.3%0.0%24.2%5.5%0.6%15.4K-580.1K-2.6K0.4499.456202727562,732
2016-11-25$14.71$12.5024.1%6.9%31.8%0.0%24.4%4.6%5.5%20.1K-655.1K-2.4K0.35100.097882727562,736
2016-11-28$14.44$12.5025.6%7.3%33.7%1.2%26.7%0.4%-1.6%31.3K-710.6K-2.7K0.30104.337882361,0282,736
2016-11-29$14.69$12.5028.8%8.3%33.4%3.9%24.7%7.1%-0.4%29.8K-759.3K-2.9K0.26104.086361681,0282,796
2016-11-30$14.54$12.5026.1%7.5%31.2%1.6%25.9%1.7%-2.0%30.3K-743.2K-2.7K0.26104.156361681,0402,804