BBSI Options History — September 2017

In September 2017, BBSI traded between $13.16 and $14.33. ATM implied volatility averaged 25.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.0% (HV 20d: 27.7%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.63.

Notable Days

2017-09-12: Highest Volume — 340 contracts
2017-09-07: Largest IV drop — 22.1% change
2017-09-06: Highest IV Rank — 13.5%
2017-09-25: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.58	$13.16	$14.33	$13.20	$14.13
Max Pain	$13.57	$11.25	$13.75	$11.25	$13.75
ATM IV	25.7%	21.8%	28.4%	22.6%	27.4%
Expected Move	7.5%	6.3%	8.1%	6.5%	7.9%
HV 20d	27.7%	14.3%	60.6%	60.6%	16.8%
HV 60d	36.5%	36.3%	37.0%	36.4%	37.0%
IV Rank	8.4%	1.0%	13.5%	2.3%	11.7%
IV Percentile	11.9%	0.4%	24.6%	1.2%	21.0%
Term Structure	6.6%	0.5%	10.9%	0.5%	8.0%
VWIV	26.3%	21.8%	29.7%	23.0%	28.0%
Skew 25d	7.8%	2.9%	13.5%	6.0%	5.1%
Skew 10d	13.6%	1.1%	24.0%	8.7%	11.3%
Call IV 25d	22.9%	19.1%	26.8%	25.4%	24.2%
Put IV 25d	30.7%	28.9%	34.2%	31.3%	29.4%
Bid-Ask Spread %	78.22	54.88	103.28	98.28	59.40
Gamma HHI	0.29	0.26	0.34	0.28	0.26
Net GEX	-3.4K	-5.7K	97	-2.9K	-401
Net DEX	-107	-36.3K	56.7K	-10.5K	-13.5K
Net VEX	-466	-532	-400	-532	-482
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.63	1.42	4.80	1.42	2.53
Total Volume	286.6	232	340	320	268
Total OI	457.2	396	492	472	476

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-09-01	$13.20	$11.25	22.6%	6.5%	60.6%	2.3%	23.0%	6.0%	0.5%	-2.9K	-10.5K	-532	1.42	98.28	132	188	124	348
2017-09-05	$13.16	$0.00	25.8%	7.7%	60.6%	8.5%	0.0%	4.6%	6.4%	-3.0K	-9.3K	-514	1.42	67.75	132	188	124	348
2017-09-06	$13.16	$0.00	28.4%	7.4%	60.2%	13.5%	0.0%	10.0%	7.0%	-3.0K	-8.3K	-506	1.42	78.49	132	188	124	348
2017-09-07	$13.36	$0.00	22.1%	7.7%	36.8%	1.4%	0.0%	4.7%	5.9%	-3.2K	-19.8K	-487	1.42	57.63	132	188	124	348
2017-09-08	$13.45	$0.00	22.2%	7.7%	31.1%	1.6%	0.0%	5.4%	6.6%	-4.2K	-32.1K	-422	1.42	55.16	132	188	124	348
2017-09-11	$13.42	$0.00	24.3%	7.7%	30.9%	5.6%	0.0%	10.1%	4.7%	-4.0K	-36.3K	-420	1.42	59.46	132	188	124	348
2017-09-12	$13.51	$0.00	26.7%	7.5%	28.1%	10.2%	26.2%	8.3%	6.5%	-4.8K	-35.6K	-400	1.58	81.12	132	208	124	348
2017-09-13	$13.43	$13.75	26.0%	7.4%	27.5%	8.9%	26.1%	2.9%	7.2%	-5.4K	-16.2K	-461	1.58	81.91	132	208	124	368
2017-09-14	$13.48	$13.75	25.6%	7.3%	27.5%	8.1%	25.6%	5.0%	6.3%	-5.7K	-22.2K	-432	1.79	84.95	116	208	124	368
2017-09-15	$13.50	$13.75	25.6%	7.3%	27.4%	8.1%	25.3%	8.1%	5.4%	-4.7K	-15.4K	-432	1.79	91.54	116	208	124	368
2017-09-18	$13.55	$13.75	25.6%	7.3%	17.3%	8.1%	25.5%	9.2%	7.5%	-4.6K	56.7K	-422	4.80	80.45	40	192	44	352
2017-09-19	$13.49	$13.75	26.6%	7.6%	17.1%	10.0%	26.4%	9.7%	6.5%	-3.9K	40.2K	-500	4.80	80.90	40	192	68	352
2017-09-20	$13.51	$13.75	21.8%	6.3%	17.0%	1.0%	21.8%	8.7%	10.9%	-4.3K	43.2K	-491	4.80	94.44	40	192	68	352
2017-09-21	$13.56	$13.75	26.0%	7.5%	15.6%	8.9%	26.0%	10.6%	7.6%	-3.9K	35.4K	-459	4.80	82.02	40	192	68	352
2017-09-22	$13.60	$13.75	26.8%	7.7%	14.3%	10.5%	27.0%	10.9%	6.7%	-4.0K	41.7K	-492	4.80	72.53	40	192	68	352
2017-09-25	$13.74	$13.75	28.1%	8.1%	14.3%	13.0%	28.2%	13.5%	5.2%	-3.3K	24.6K	-441	3.20	103.28	60	192	68	352
2017-09-26	$13.87	$13.75	27.9%	8.0%	14.4%	12.5%	27.9%	6.9%	6.0%	-2.5K	14.2K	-464	2.53	97.41	76	192	88	352
2017-09-27	$14.33	$13.75	27.8%	8.0%	16.9%	12.4%	28.2%	8.2%	7.3%	97	-24.4K	-468	2.53	82.87	76	192	124	352
2017-09-28	$14.09	$13.75	27.3%	7.8%	18.9%	11.4%	29.7%	7.6%	10.5%	-191	-14.5K	-492	2.53	54.88	76	192	124	352
2017-09-29	$14.13	$13.75	27.4%	7.9%	16.8%	11.7%	28.0%	5.1%	8.0%	-401	-13.5K	-482	2.53	59.40	76	192	124	352