BBSI Options History — August 2017

In August 2017, BBSI traded between $11.82 and $13.81. ATM implied volatility averaged 33.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 11.4% (HV 20d: 44.9%). Max pain ranged from $11.25 to $16.25. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.51.

Notable Days

  • 2017-08-16: Highest Volume — 776 contracts
  • 2017-08-09: Largest IV drop — 45.0% change
  • 2017-08-07: Highest IV Rank — 66.5%
  • 2017-08-02: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.87$11.82$13.81$13.79$12.88
Max Pain$12.23$11.25$16.25$16.25$11.25
ATM IV33.5%21.8%56.0%45.3%27.4%
Expected Move8.8%6.3%13.8%13.0%7.9%
HV 20d44.9%8.9%59.8%17.3%59.8%
HV 60d30.8%16.9%36.8%17.5%36.5%
IV Rank23.4%1.0%66.5%45.9%11.7%
IV Percentile33.6%0.4%95.2%79.4%13.5%
Term Structure2.0%-12.4%10.0%-11.1%3.0%
VWIV31.7%23.9%46.4%44.0%26.0%
Skew 25d7.5%1.9%12.1%8.2%9.2%
Skew 10d13.7%-8.8%22.7%16.9%15.8%
Call IV 25d27.7%20.7%43.8%42.8%20.7%
Put IV 25d35.2%28.5%52.4%51.0%29.9%
Bid-Ask Spread %68.8332.01102.0447.5483.36
Gamma HHI0.330.230.720.280.30
Net GEX-2.5K-5.7K205-1.1K-2.7K
Net DEX126.1K4.8K266.9K144.0K4.8K
Net VEX-490-675-138-310-558
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.972.340.971.42
Total Volume415.304244776244320
Total OI630.261408988528472

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$13.79$16.2545.3%13.0%17.3%45.9%44.0%8.2%-11.1%-1.1K144.0K-3100.9747.54124120280248
2017-08-02$13.72$16.2548.2%13.8%16.8%51.5%46.4%8.6%-12.4%-373131.8K-3300.9742.75124120280248
2017-08-03$13.80$13.7547.9%10.4%17.0%50.9%36.1%8.1%1.1%-996143.4K-2971.5840.2496152280248
2017-08-04$13.81$13.7551.0%10.2%9.2%56.8%35.4%6.5%0.7%-2.4K156.0K-3331.5832.0196152280276
2017-08-07$13.74$13.7556.0%10.9%8.9%66.5%37.8%7.1%-1.4%-2.8K162.2K-2951.5855.4196152280276
2017-08-08$13.45$13.7555.5%10.1%10.9%65.4%38.3%9.1%1.4%-3.4K178.2K-2681.0351.19136140280276
2017-08-09$11.82$13.7530.5%8.7%45.7%17.6%27.6%6.6%6.3%-4.7K266.9K-1381.4940.11236352320312
2017-08-10$12.54$11.2528.7%8.2%51.8%14.1%33.5%7.8%5.9%-907218.1K-4981.5762.89224352380500
2017-08-11$12.45$11.2528.7%8.2%51.8%14.1%36.0%6.2%6.2%205224.7K-4942.1485.00224480360500
2017-08-14$12.94$11.2529.8%8.5%54.3%16.2%29.4%7.6%3.7%-5.7K216.5K-6062.0385.77232472348628
2017-08-15$13.19$11.2525.5%7.3%54.9%8.0%30.6%4.0%6.5%-3.8K167.8K-5712.0376.91232472368600
2017-08-16$13.14$11.2521.8%6.3%54.9%1.0%30.4%5.2%8.1%-3.3K179.5K-5702.3490.69232544368600
2017-08-17$13.25$11.2522.9%6.6%55.0%3.0%29.3%6.6%10.0%-4.0K169.1K-5361.7883.23232412368600
2017-08-18$12.53$11.2530.0%8.6%58.0%16.6%29.3%1.9%4.9%-887201.6K-6041.7890.97232412368620
2017-08-21$12.44$11.2529.4%8.4%57.9%15.4%26.4%9.3%1.5%-3.8K47.3K-5731.2852.66116148100308
2017-08-22$12.54$11.2529.3%8.4%58.0%15.3%30.1%10.9%0.9%-3.8K44.4K-5651.1254.63132148104308
2017-08-23$12.35$11.2528.0%8.0%58.1%12.7%28.7%5.6%1.7%-2.4K32.8K-5951.12100.33132148124308
2017-08-24$12.21$11.2525.6%7.3%58.1%8.2%23.9%8.0%4.0%-2.0K45.4K-6021.1235.62132148124308
2017-08-25$12.21$11.2526.7%7.6%58.1%10.3%26.2%8.0%1.4%-2.3K42.4K-6011.4295.41132188124308
2017-08-28$12.29$11.2528.4%8.1%58.2%13.6%27.6%9.0%1.2%-2.6K54.0K-6751.4299.62132188124348
2017-08-29$12.47$11.2527.8%8.0%58.6%12.4%28.0%7.0%1.3%-2.0K39.9K-6281.42102.04132188124348
2017-08-30$12.51$11.2526.8%7.7%58.7%10.5%28.3%12.1%1.3%-2.6K30.3K-6121.4274.83132188124348
2017-08-31$12.88$11.2527.4%7.9%59.8%11.7%26.0%9.2%3.0%-2.7K4.8K-5581.4283.36132188124348