BBSI Options History — June 2017

In June 2017, BBSI traded between $14.11 and $14.78. ATM implied volatility averaged 27.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.1% (HV 20d: 20.2%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.86.

Notable Days

  • 2017-06-21: Highest Volume — 644 contracts
  • 2017-06-12: Largest IV spike — 35.0% change
  • 2017-06-13: Highest IV Rank — 32.7%
  • 2017-06-07: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.41$14.11$14.78$14.42$14.30
Max Pain$13.86$13.75$15.00$15.00$13.75
ATM IV27.3%23.1%39.0%25.5%26.6%
Expected Move7.6%6.6%8.6%7.3%7.6%
HV 20d20.2%17.3%21.7%17.3%19.1%
HV 60d23.1%20.5%34.4%34.4%20.5%
IV Rank9.8%1.7%32.7%6.3%8.5%
IV Percentile7.8%0.4%43.3%0.8%7.5%
Term Structure6.2%-3.4%12.1%-3.4%12.1%
VWIV28.8%26.2%32.2%28.5%27.4%
Skew 25d6.2%3.1%13.4%8.0%3.5%
Skew 10d15.1%8.1%24.8%19.6%15.4%
Call IV 25d25.0%21.4%30.9%30.9%24.3%
Put IV 25d31.2%27.0%38.9%38.9%27.8%
Bid-Ask Spread %57.7735.4692.5992.5956.22
Gamma HHI0.530.330.790.350.65
Net GEX-18.5K-46.6K-599-2.2K-38.1K
Net DEX188.9K47.2K411.7K91.0K250.6K
Net VEX-1.3K-1.8K-865-1.0K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.722.491.542.38
Total Volume537.636268644508636
Total OI972.3646441,4006441,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$14.42$15.0025.5%7.3%17.3%6.3%28.5%8.0%-3.4%-2.2K91.0K-1.0K1.5492.59200308296348
2017-06-02$14.78$15.0027.9%8.0%19.5%11.0%26.8%13.4%-0.3%-59947.2K-1.0K1.5487.93200308296348
2017-06-05$14.41$13.7526.5%8.0%18.6%8.2%31.7%6.2%4.0%-1.9K80.2K-9771.5446.33200308296348
2017-06-06$14.48$13.7525.8%7.8%18.5%6.9%30.6%5.4%4.8%-2.2K84.7K-9771.5746.65196308296348
2017-06-07$14.17$13.7532.8%8.6%19.5%20.6%29.4%5.3%3.7%-3.6K121.6K-8981.1858.17196232296348
2017-06-08$14.55$13.7524.6%7.9%21.7%4.6%30.4%5.7%4.2%-2.1K76.4K-9271.1847.51196232296352
2017-06-09$14.70$13.7527.0%7.6%20.9%9.3%30.3%5.3%6.0%-1.5K59.5K-9291.1853.63196232296352
2017-06-12$14.57$13.7536.4%8.1%21.2%27.7%32.2%6.7%3.1%-2.2K82.7K-8661.3749.79172236296352
2017-06-13$14.45$13.7539.0%7.4%21.5%32.7%31.7%8.0%7.3%-2.5K84.0K-8861.3753.17172236296356
2017-06-14$14.47$13.7526.0%7.5%21.0%7.4%27.8%6.1%6.0%-3.0K93.2K-8652.4472.31172420296356
2017-06-15$14.41$13.7525.0%7.2%20.9%5.4%26.2%5.1%6.8%-20.6K226.6K-1.3K2.0664.22204420296660
2017-06-16$14.40$13.7524.6%7.1%20.3%4.6%28.5%7.1%6.4%-19.0K224.8K-1.3K2.3970.19176420332660
2017-06-19$14.45$13.7525.1%7.2%20.0%5.5%28.2%5.2%6.2%-17.7K191.8K-1.3K0.7258.19156112284652
2017-06-20$14.46$13.7524.6%7.0%20.0%4.5%28.8%8.2%7.9%-18.0K195.5K-1.3K1.7344.72196340284656
2017-06-21$14.36$13.7527.6%7.9%20.2%10.3%27.2%5.5%8.5%-36.2K300.0K-1.8K2.2944.34196448340988
2017-06-22$14.45$13.7524.1%6.9%20.3%3.6%28.0%6.8%9.4%-31.7K258.4K-1.8K2.4940.19180448380996
2017-06-23$14.39$13.7523.1%6.6%19.9%1.7%28.6%5.4%8.2%-35.3K288.7K-1.8K2.4371.12184448400996
2017-06-26$14.39$13.7524.6%7.1%19.9%4.6%28.7%4.8%8.2%-35.9K280.4K-1.7K2.3835.46188448404996
2017-06-27$14.11$13.7529.1%8.3%21.3%13.4%29.0%6.6%6.4%-43.3K411.7K-1.7K2.3855.29188448404996
2017-06-28$14.19$13.7527.4%7.9%21.4%10.1%27.4%5.5%9.5%-43.7K353.0K-1.6K2.3855.04188448404996
2017-06-29$14.15$13.7526.3%7.5%20.8%7.9%26.5%3.1%11.4%-46.6K354.0K-1.6K2.3867.93188448404996
2017-06-30$14.30$13.7526.6%7.6%19.1%8.5%27.4%3.5%12.1%-38.1K250.6K-1.5K2.3856.22188448404996