BBSI Options History — January 2017

In January 2017, BBSI traded between $15.06 and $16.07. ATM implied volatility averaged 39.0%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 17.9% (HV 20d: 21.1%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-01-30: Highest Volume — 4,948 contracts
  • 2017-01-11: Largest IV spike — 22.9% change
  • 2017-01-18: Highest IV Rank — 20.6%
  • 2017-01-18: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.47$15.06$16.07$16.07$15.06
Max Pain$13.81$13.75$15.00$13.75$13.75
ATM IV39.0%27.9%47.0%29.2%46.9%
Expected Move11.8%8.3%13.5%8.4%13.5%
HV 20d21.1%17.8%23.3%17.8%23.2%
HV 60d27.7%26.9%28.9%28.3%27.3%
IV Rank14.0%4.7%20.6%5.8%20.6%
IV Percentile23.8%4.8%38.1%6.7%38.1%
Term Structure-0.8%-6.8%9.6%8.1%-6.8%
VWIV44.4%28.4%51.3%29.4%47.4%
Skew 25d7.0%0.2%14.4%6.0%10.7%
Skew 10d19.2%-0.4%33.0%27.7%12.4%
Call IV 25d38.2%28.2%46.6%28.2%41.1%
Put IV 25d45.2%31.8%53.5%34.3%51.8%
Bid-Ask Spread %87.2862.40103.73103.7392.99
Gamma HHI0.320.220.880.260.88
Net GEX18.3K3.5K160.5K15.4K160.5K
Net DEX-542.9K-2.0M-291.9K-640.2K-2.0M
Net VEX-3.0K-9.2K-2.2K-3.1K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.152.061.270.15
Total Volume1,242.47164,9488364,948
Total OI4,281.63,9848,1404,0488,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$16.07$13.7529.2%8.4%17.8%5.8%29.4%6.0%8.1%15.4K-640.2K-3.1K1.27103.733684688643,184
2017-01-04$16.02$15.0029.1%8.3%18.0%5.7%28.4%0.2%9.6%16.5K-724.3K-2.7K1.33103.433524688523,200
2017-01-05$15.45$13.7527.9%11.6%22.8%4.7%41.3%3.6%-1.5%12.9K-528.5K-2.9K1.3381.913524688563,200
2017-01-06$15.52$13.7530.4%11.4%22.7%6.7%45.8%10.2%-1.2%11.8K-427.3K-3.2K1.4481.553525088523,196
2017-01-09$15.49$13.7530.9%11.9%22.4%7.2%45.2%6.3%-1.9%10.8K-418.0K-3.1K1.4482.653525088523,236
2017-01-10$15.61$13.7531.3%11.4%19.9%7.6%45.2%14.4%1.3%12.4K-542.9K-2.9K1.4486.203525088523,236
2017-01-11$15.74$13.7538.5%11.0%20.1%13.5%43.5%5.0%-1.0%15.2K-528.0K-2.7K1.4485.483525088523,236
2017-01-12$15.68$13.7536.0%10.3%20.0%11.4%44.0%9.5%2.6%14.9K-549.0K-2.6K1.4487.093525088523,236
2017-01-13$15.55$13.7541.0%11.8%20.1%15.6%44.6%4.3%-1.0%14.6K-490.6K-2.7K1.4486.363525088523,236
2017-01-17$15.25$13.7539.4%11.3%20.3%14.3%41.5%1.4%0.1%13.5K-463.7K-2.3K1.4585.003525128523,236
2017-01-18$15.35$13.7547.0%13.5%20.5%20.6%50.5%10.2%-5.4%10.5K-387.3K-2.7K1.4562.403525128523,240
2017-01-19$15.08$13.7546.2%13.2%21.1%19.9%51.3%9.1%-3.8%7.4K-318.0K-2.7K1.4581.413525128523,280
2017-01-20$15.28$13.7544.7%12.8%20.6%18.7%48.3%6.7%-3.1%5.0K-382.5K-2.6K1.5184.393525328523,280
2017-01-23$15.13$13.7546.6%13.4%20.6%20.3%49.8%3.8%-1.1%3.5K-291.9K-2.6K1.9886.272605167763,208
2017-01-24$15.41$13.7546.2%13.2%20.9%19.9%49.1%9.4%-3.3%6.6K-362.6K-2.4K2.0688.962605367963,208
2017-01-25$15.77$13.7540.9%11.7%22.7%15.5%47.4%7.4%-0.7%11.2K-542.8K-2.3K1.7589.432604567963,228
2017-01-26$15.64$13.7541.4%11.9%22.3%16.0%45.2%7.5%-1.3%7.7K-494.4K-2.3K1.4387.143204567963,308
2017-01-27$15.32$13.7544.5%12.8%22.8%18.6%45.4%5.8%-3.1%8.4K-443.9K-2.3K1.4393.633204568363,308
2017-01-30$15.08$13.7542.7%12.2%23.3%17.0%44.2%9.0%-2.6%6.5K-348.8K-2.2K0.1595.644,3206288363,308
2017-01-31$15.06$13.7546.9%13.5%23.2%20.6%47.4%10.7%-6.8%160.5K-2.0M-9.2K0.1592.994,3206284,8363,304