BBSI Options History — January 2018

In January 2018, BBSI traded between $15.65 and $17.98. ATM implied volatility averaged 27.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.5% (HV 20d: 29.3%). Max pain ranged from $16.25 to $16.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2018-01-05: Highest Volume — 756 contracts
  • 2018-01-10: Largest IV spike — 34.3% change
  • 2018-01-10: Highest IV Rank — 33.9%
  • 2018-01-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.83$15.65$17.98$15.92$17.40
Max Pain$16.25$16.25$16.25$16.25$16.25
ATM IV27.8%23.3%31.3%27.5%28.7%
Expected Move8.2%6.7%9.1%7.9%8.2%
HV 20d29.3%24.9%32.5%28.6%32.5%
HV 60d28.1%26.2%29.9%26.2%29.9%
IV Rank26.9%17.8%33.9%26.2%28.8%
IV Percentile34.4%6.0%47.2%31.0%44.0%
Term Structure3.8%0.7%7.5%2.4%3.3%
VWIV29.2%25.5%32.0%30.2%30.1%
Skew 25d3.8%-1.9%8.3%2.7%3.0%
Skew 10d8.6%-1.8%17.7%7.5%5.0%
Call IV 25d28.3%24.2%31.9%27.9%29.7%
Put IV 25d32.0%26.7%36.5%30.7%32.8%
Bid-Ask Spread %83.5064.86114.3676.9090.99
Gamma HHI0.570.340.770.340.66
Net GEX58.0K17.4K92.8K18.8K88.3K
Net DEX-682.5K-1.2M-116.6K-207.1K-957.4K
Net VEX-2.2K-2.8K-1.4K-1.4K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.661.661.250.97
Total Volume587.619424756540504
Total OI1,434.2869801,5889801,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$15.92$16.2527.5%7.9%28.6%26.2%30.2%2.7%2.4%18.8K-207.1K-1.4K1.2576.90240300640340
2018-01-03$15.69$16.2523.5%6.7%28.7%18.2%26.4%3.7%6.3%17.4K-116.6K-1.4K0.78114.36384300728388
2018-01-04$15.88$16.2527.8%8.7%28.4%26.8%27.7%8.3%1.3%30.3K-220.6K-1.8K0.7779.74392300960388
2018-01-05$16.09$16.2527.5%9.1%28.6%26.3%30.8%0.9%1.7%35.0K-276.2K-1.9K0.6664.86456300968388
2018-01-08$16.08$16.2526.7%9.1%28.2%24.6%32.0%3.3%1.7%39.8K-357.5K-2.1K0.6673.404563001,032388
2018-01-09$15.84$16.2523.3%8.6%28.7%17.8%31.5%1.9%3.1%35.5K-285.4K-2.1K0.6672.624563001,072388
2018-01-10$15.65$16.2531.3%9.0%28.7%33.9%30.7%3.7%0.7%32.0K-249.6K-1.9K0.6684.944563001,072388
2018-01-11$16.17$16.2530.1%8.6%31.1%31.6%30.3%2.5%1.3%45.1K-393.4K-2.1K0.6677.104563001,072388
2018-01-12$16.40$16.2527.9%8.0%31.4%27.2%30.0%4.1%4.9%56.6K-499.2K-2.2K1.3285.162283001,072388
2018-01-16$16.63$16.2529.1%8.4%31.7%29.6%31.1%1.2%4.0%68.1K-605.2K-2.1K1.6692.902123521,076388
2018-01-17$17.19$16.2526.2%7.5%30.2%23.6%28.0%1.6%7.5%77.3K-866.9K-2.6K1.4095.162523521,128448
2018-01-18$17.14$16.2527.3%7.8%24.9%25.9%28.9%-1.9%5.4%74.1K-839.5K-2.5K1.3591.952523401,100448
2018-01-19$17.78$16.2529.3%8.4%27.7%30.0%29.4%4.2%4.7%70.4K-1.2M-2.4K1.4293.182283241,100452
2018-01-22$17.71$16.2527.0%7.7%27.9%25.3%27.1%6.7%6.2%73.8K-1.1M-2.5K1.4586.641762561,068304
2018-01-23$17.68$16.2528.4%8.1%27.8%28.1%27.4%8.1%2.6%71.1K-1.1M-2.5K1.4171.281762481,064320
2018-01-24$17.17$16.2529.4%8.4%28.8%30.1%31.3%5.9%4.7%66.6K-766.4K-2.7K1.4183.191762481,064376
2018-01-25$17.31$16.2527.5%7.9%28.2%26.3%28.1%1.8%6.6%74.3K-774.9K-2.8K1.4169.131762481,064416
2018-01-26$17.98$16.2527.9%8.0%30.5%27.1%28.5%4.2%6.7%68.4K-1.2M-2.6K0.8769.472842481,064416
2018-01-29$17.72$16.2529.6%8.5%31.2%30.5%27.8%6.4%3.2%82.0K-1.2M-2.7K0.8783.892842481,172416
2018-01-30$17.92$16.2528.4%8.2%31.1%28.2%25.5%7.3%1.7%92.8K-1.2M-2.5K0.8796.562842481,172416
2018-01-31$17.40$16.2528.7%8.2%32.5%28.8%30.1%3.0%3.3%88.3K-957.4K-2.6K0.9790.992562481,172416