BBSI Options History — January 2020

In January 2020, BBSI traded between $20.70 and $22.74. ATM implied volatility averaged 31.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 12.8% (HV 20d: 18.2%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2020-01-16: Highest Volume — 168 contracts
2020-01-15: Largest IV spike — 26.5% change
2020-01-29: Highest IV Rank — 34.2%
2020-01-29: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.93	$20.70	$22.74	$22.69	$20.70
Max Pain	$22.38	$21.25	$22.50	$21.25	$22.50
ATM IV	31.0%	23.2%	40.6%	25.0%	33.7%
Expected Move	9.6%	7.2%	11.6%	7.2%	9.7%
HV 20d	18.2%	14.2%	22.3%	21.7%	17.5%
HV 60d	26.1%	25.7%	27.0%	26.8%	25.9%
IV Rank	15.1%	0.0%	34.2%	2.8%	20.7%
IV Percentile	25.4%	0.0%	67.5%	2.4%	34.9%
Term Structure	3.5%	-1.0%	8.1%	8.1%	6.5%
VWIV	35.1%	30.5%	41.5%	36.9%	31.4%
Skew 25d	6.1%	-0.3%	12.0%	3.6%	9.8%
Skew 10d	6.4%	-8.5%	17.6%	-2.2%	-8.5%
Call IV 25d	33.1%	23.2%	41.9%	23.2%	32.7%
Put IV 25d	39.2%	26.9%	53.9%	26.9%	42.5%
Bid-Ask Spread %	88.49	58.50	116.05	99.38	103.40
Gamma HHI	0.37	0.28	0.54	0.29	0.54
Net GEX	-392	-30.4K	30.7K	21.7K	-30.4K
Net DEX	-18.9K	-316.6K	360.3K	-272.0K	360.3K
Net VEX	-1.7K	-2.1K	-1.3K	-2.1K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	3.00	0.00	1.00
Total Volume	27.619	0	168	4	8
Total OI	857.333	772	984	856	820

Daily Data (21 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
2020-01-02	$22.69	$21.25	25.0%	7.2%	21.7%	2.8%	0.0%	3.6%	8.1%	21.7K	-272.0K	-2.1K	0.00	99.38	4	0	396	460
2020-01-03	$22.48	$21.25	27.2%	7.8%	21.8%	7.0%	0.0%	5.8%	3.9%	19.6K	-316.6K	-2.0K	0.00	116.05	0	8	400	460
2020-01-06	$22.15	$22.50	27.4%	9.7%	22.0%	7.6%	0.0%	4.6%	4.2%	19.3K	-192.6K	-2.0K	0.00	81.55	0	0	400	468
2020-01-07	$21.92	$22.50	26.0%	9.3%	22.3%	4.8%	36.9%	4.7%	5.5%	18.8K	-123.8K	-1.9K	0.00	74.91	0	8	400	468
2020-01-08	$22.07	$22.50	25.9%	9.5%	20.7%	4.7%	0.0%	5.0%	3.8%	20.9K	-169.3K	-1.9K	0.00	71.08	0	0	400	476
2020-01-09	$22.12	$22.50	25.2%	9.3%	20.3%	3.1%	0.0%	4.4%	4.8%	24.0K	-166.2K	-1.9K	0.00	69.03	0	0	400	476
2020-01-10	$22.00	$22.50	23.2%	9.5%	19.8%	0.0%	0.0%	6.0%	2.4%	25.0K	-121.8K	-1.9K	0.00	69.98	0	0	400	476
2020-01-13	$22.18	$22.50	25.4%	9.9%	19.6%	4.3%	34.5%	6.5%	0.9%	30.7K	-188.4K	-1.7K	3.00	58.50	4	12	400	476
2020-01-14	$22.09	$22.50	24.2%	9.5%	17.5%	2.0%	0.0%	5.1%	5.1%	11.7K	-112.0K	-1.7K	0.00	75.78	160	0	400	568
2020-01-15	$22.18	$22.50	30.7%	8.8%	14.2%	14.6%	0.0%	3.2%	6.2%	-5.4K	-116.0K	-1.5K	0.00	106.25	0	0	332	568
2020-01-16	$22.74	$22.50	34.4%	9.9%	16.5%	22.0%	35.1%	7.4%	1.7%	-6.1K	-236.9K	-1.4K	0.00	104.71	0	168	332	568
2020-01-17	$22.61	$22.50	29.4%	8.4%	16.5%	12.1%	30.5%	10.0%	6.3%	-18.8K	-305.6K	-1.4K	0.00	109.28	20	0	332	652
2020-01-21	$22.43	$22.50	32.6%	9.4%	14.9%	18.6%	0.0%	9.7%	4.2%	-7.7K	60.8K	-1.6K	0.00	73.51	0	68	228	544
2020-01-22	$22.07	$22.50	35.1%	10.1%	15.0%	23.3%	0.0%	6.1%	1.1%	-12.5K	114.3K	-1.7K	0.00	74.59	0	0	228	604
2020-01-23	$21.99	$22.50	36.2%	10.4%	15.0%	25.5%	0.0%	6.0%	2.3%	-13.1K	111.7K	-1.7K	0.00	82.62	0	0	228	604
2020-01-24	$21.72	$22.50	36.3%	10.4%	15.4%	25.8%	35.7%	6.2%	2.9%	-16.5K	184.4K	-1.7K	1.00	87.06	4	4	228	604
2020-01-27	$21.13	$22.50	36.2%	10.4%	17.9%	25.5%	0.0%	-0.3%	2.8%	-23.6K	273.3K	-1.6K	0.00	98.18	0	60	228	608
2020-01-28	$21.12	$22.50	39.6%	11.3%	17.8%	32.2%	0.0%	6.5%	1.1%	-23.0K	291.6K	-1.5K	0.00	83.60	0	0	228	548
2020-01-29	$21.14	$22.50	40.6%	11.6%	17.9%	34.2%	41.5%	12.0%	-1.0%	-22.6K	291.0K	-1.4K	0.08	113.37	48	4	228	548
2020-01-30	$20.96	$22.50	36.2%	10.4%	17.4%	25.5%	0.0%	6.3%	1.6%	-20.4K	236.2K	-1.4K	0.00	105.45	0	0	268	552
2020-01-31	$20.70	$22.50	33.7%	9.7%	17.5%	20.7%	31.4%	9.8%	6.5%	-30.4K	360.3K	-1.3K	1.00	103.40	4	4	268	552