BBSI Options History — December 2016

In December 2016, BBSI traded between $14.27 and $16.40. ATM implied volatility averaged 29.6%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.8% (HV 20d: 23.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-12-06: Highest Volume — 956 contracts
  • 2016-12-12: Largest IV spike — 30.0% change
  • 2016-12-12: Highest IV Rank — 18.8%
  • 2016-12-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.61$14.27$16.40$14.27$16.01
Max Pain$14.52$12.50$15.00$12.50$13.75
ATM IV29.6%22.3%44.8%26.4%28.5%
Expected Move8.2%6.4%9.5%7.6%8.2%
HV 20d23.8%18.2%33.3%33.3%18.2%
HV 60d29.1%28.2%30.3%30.3%28.5%
IV Rank6.0%0.0%18.8%1.9%5.2%
IV Percentile4.7%0.0%25.0%1.2%5.6%
Term Structure8.2%3.8%11.0%9.5%8.2%
VWIV30.7%23.4%36.9%23.4%28.3%
Skew 25d5.0%-0.0%13.0%-0.0%2.5%
Skew 10d9.4%0.7%18.3%3.3%0.7%
Call IV 25d27.9%24.1%31.2%29.5%29.7%
Put IV 25d32.9%28.4%39.3%29.5%32.3%
Bid-Ask Spread %90.9774.09105.91105.91101.86
Gamma HHI0.310.210.460.290.25
Net GEX22.5K9.7K35.5K31.4K13.7K
Net DEX-887.7K-1.4M-606.9K-627.1K-638.0K
Net VEX-2.8K-3.6K-2.2K-2.7K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.261.350.261.24
Total Volume813.333520956804852
Total OI3,967.2383,6844,1523,8444,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$14.27$12.5026.4%7.6%33.3%1.9%23.4%-0.0%9.5%31.4K-627.1K-2.7K0.26105.916361681,0402,804
2016-12-02$14.49$12.5022.3%6.4%32.5%0.0%26.2%8.5%3.8%32.4K-680.8K-2.7K0.26104.856361681,0402,804
2016-12-05$14.60$13.7526.8%8.9%32.4%3.8%33.0%4.4%7.2%31.6K-661.1K-3.0K0.3177.076682041,0402,804
2016-12-06$14.82$15.0031.3%9.3%31.6%7.5%36.1%13.0%6.7%33.7K-773.1K-3.0K0.2978.027402161,0842,856
2016-12-07$14.92$15.0031.2%9.0%31.5%7.4%33.3%8.9%7.9%35.4K-852.9K-3.6K0.2974.097402161,1922,880
2016-12-08$15.10$15.0034.3%9.5%25.8%10.1%35.4%7.1%5.3%35.5K-1.0M-2.9K0.2977.577402161,1922,880
2016-12-09$15.56$15.0034.5%8.6%25.4%10.2%33.1%6.5%10.1%32.7K-1.2M-2.9K0.2975.707402161,1922,880
2016-12-12$15.62$15.0044.8%9.5%21.0%18.8%34.3%3.6%7.6%28.6K-1.3M-2.5K0.4784.965562601,1922,880
2016-12-13$15.73$15.0034.9%8.4%20.8%10.5%33.5%3.8%8.5%23.7K-1.2M-2.9K0.5586.124762601,2002,920
2016-12-14$15.63$15.0030.0%8.6%20.6%6.5%35.0%4.5%7.8%22.2K-1.2M-3.4K0.5691.334762681,2242,920
2016-12-15$15.88$15.0029.3%8.4%20.8%5.9%36.9%4.9%7.4%16.8K-1.4M-2.8K0.5683.774762681,2242,928
2016-12-16$15.93$15.0028.2%8.1%20.6%4.9%31.3%5.7%9.2%11.2K-1.4M-2.7K0.5689.944762681,2242,928
2016-12-19$15.76$15.0027.4%7.9%21.1%4.3%33.7%4.7%8.6%14.9K-672.4K-2.2K1.2092.452362847562,928
2016-12-20$16.04$15.0026.4%7.6%21.3%3.5%28.3%2.2%11.0%9.7K-606.9K-2.9K1.3596.183124207562,968
2016-12-21$16.11$15.0026.8%7.7%21.3%3.8%25.5%5.1%10.1%17.2K-723.6K-2.3K1.3594.383124207963,048
2016-12-22$16.38$15.0027.2%7.8%20.7%4.1%26.5%6.1%9.8%17.1K-763.2K-2.4K1.3597.363124207963,048
2016-12-23$16.23$15.0027.5%7.9%21.2%4.4%26.8%2.9%9.4%17.0K-765.9K-2.3K1.3196.273764927963,048
2016-12-27$16.40$15.0028.5%8.2%19.3%5.2%29.1%5.8%8.5%14.8K-782.0K-3.1K1.2498.063804728603,120
2016-12-28$16.17$13.7527.0%7.7%20.2%4.0%28.3%3.3%7.9%17.6K-766.4K-2.9K1.24100.243804728643,104
2016-12-29$16.18$13.7528.0%8.0%19.5%4.8%27.3%0.9%8.5%14.5K-690.0K-3.2K1.24104.233804728643,184
2016-12-30$16.01$13.7528.5%8.2%18.2%5.2%28.3%2.5%8.2%13.7K-638.0K-3.3K1.24101.863804728643,184