BBSI Options History — March 2017

In March 2017, BBSI traded between $12.97 and $16.49. ATM implied volatility averaged 40.9%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.1% (HV 20d: 46.0%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-03-14: Highest Volume — 1,216 contracts
  • 2017-03-08: Largest IV drop — 31.3% change
  • 2017-03-07: Highest IV Rank — 46.2%
  • 2017-03-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.91$12.97$16.49$16.49$13.65
Max Pain$14.13$13.75$15.00$15.00$13.75
ATM IV40.9%30.6%64.3%48.8%30.6%
Expected Move10.9%8.8%14.0%14.0%8.8%
HV 20d46.0%26.9%52.6%26.9%51.5%
HV 60d33.0%23.5%36.7%23.5%36.7%
IV Rank20.5%9.2%46.2%29.2%9.2%
IV Percentile31.4%9.5%78.2%48.0%9.5%
Term Structure2.2%-8.6%8.1%-8.6%8.1%
VWIV37.7%33.1%46.2%46.2%33.2%
Skew 25d5.9%1.5%12.6%9.2%9.1%
Skew 10d12.9%0.9%32.3%32.3%16.3%
Call IV 25d35.4%30.4%42.3%42.3%30.9%
Put IV 25d41.3%36.6%51.5%51.5%40.0%
Bid-Ask Spread %86.8059.4197.0782.4089.18
Gamma HHI0.420.220.900.890.23
Net GEX46.4K-17.8K297.7K256.0K-7.9K
Net DEX-240.7K-4.0M591.0K-4.0M330.1K
Net VEX-3.7K-7.7K-2.4K-7.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.282.431.180.84
Total Volume939.3046721,216672728
Total OI3,887.8261,6125,9564,9001,840

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$16.49$15.0048.8%14.0%26.9%29.2%46.2%9.2%-8.6%256.0K-4.0M-7.4K1.1882.403083644,472428
2017-03-02$16.30$15.0044.9%12.9%27.4%24.9%41.0%7.8%-7.1%297.7K-3.7M-7.2K2.4382.893087484,472440
2017-03-03$15.94$15.0047.0%13.5%28.6%27.3%42.6%3.3%-8.5%281.1K-2.8M-7.7K2.3474.473087204,472840
2017-03-06$15.55$15.0054.6%11.9%29.7%35.6%42.9%6.0%1.4%247.0K-2.0M-6.8K2.3459.413087204,472852
2017-03-07$15.35$15.0064.3%11.4%29.5%46.2%42.4%6.2%3.0%214.3K-1.6M-6.3K2.4269.483087444,472852
2017-03-08$13.86$15.0044.1%10.9%45.3%24.1%33.3%5.2%1.5%-5.7K451.6K-2.6K0.2879.388402324,472888
2017-03-09$12.98$15.0036.8%10.4%50.0%16.0%35.8%3.5%5.0%-13.1K591.0K-2.7K0.2982.548722524,776960
2017-03-10$13.46$13.7537.8%10.0%52.4%17.1%33.1%6.2%5.4%-13.2K515.0K-3.0K0.2881.349082524,8361,016
2017-03-13$13.28$13.7544.3%10.1%50.8%24.2%33.7%5.7%4.9%-13.2K532.0K-2.9K0.2884.809082524,8521,016
2017-03-14$13.35$13.7543.1%10.2%51.0%22.9%37.0%11.8%2.7%-13.0K577.5K-2.8K0.3977.798763404,8521,016
2017-03-15$13.45$13.7535.8%10.3%49.9%14.9%39.3%6.7%3.0%-14.7K535.0K-2.9K0.3989.658763404,8601,096
2017-03-16$13.69$13.7534.3%9.8%50.0%13.2%34.6%12.6%5.4%-10.5K426.7K-3.0K0.3992.958763404,8601,096
2017-03-17$13.94$13.7534.5%9.9%50.9%13.5%36.4%5.6%4.7%-10.8K328.3K-3.0K0.5192.846683404,8601,096
2017-03-20$13.69$13.7534.8%10.0%50.9%13.8%36.0%4.4%4.2%-12.4K345.7K-2.9K0.5393.24524276656956
2017-03-21$13.09$13.7536.7%10.5%52.5%15.9%37.4%1.6%4.2%-15.9K462.0K-2.6K0.6694.41416276656956
2017-03-22$13.13$13.7539.0%11.2%52.6%18.5%37.1%2.0%4.3%-16.9K545.7K-2.5K0.6796.38412276668956
2017-03-23$13.02$13.7540.1%11.5%52.6%19.7%37.9%3.6%2.7%-16.1K516.5K-2.5K0.6797.07412276676956
2017-03-24$13.06$13.7537.6%10.8%52.4%16.9%38.5%3.4%3.1%-16.5K539.4K-2.4K0.8095.63412328676956
2017-03-27$12.97$13.7542.1%12.1%51.3%21.9%37.5%6.1%2.4%-17.8K585.1K-2.4K0.6395.555243286761,016
2017-03-28$13.05$13.7541.1%11.8%51.6%20.8%35.1%8.1%1.1%-12.5K524.8K-2.5K0.6595.095083327961,016
2017-03-29$13.24$13.7533.7%9.7%49.9%12.6%36.2%6.4%3.1%-11.1K471.9K-2.6K0.6596.455083328001,020
2017-03-30$13.34$13.7534.0%9.8%50.4%13.0%38.8%1.5%4.9%-7.8K371.6K-2.7K0.8493.393963328001,020
2017-03-31$13.65$13.7530.6%8.8%51.5%9.2%33.2%9.1%8.1%-7.9K330.1K-2.7K0.8489.183963328001,040