BBSI Options History — March 2020

In March 2020, BBSI traded between $7.07 and $15.12. ATM implied volatility averaged 78.2%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 33.8% (HV 20d: 112.0%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-03-27: Highest Volume — 532 contracts
  • 2020-03-09: Largest IV spike — 44.3% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 34.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.99$7.07$15.12$15.12$9.91
Max Pain$13.86$10.00$17.50$17.50$10.00
ATM IV78.2%50.8%118.9%53.8%70.3%
Expected Move21.3%14.6%34.1%15.4%20.1%
HV 20d112.0%70.2%167.4%70.5%163.9%
HV 60d71.1%44.6%102.4%44.6%102.4%
IV Rank69.9%38.2%100.0%60.2%49.2%
IV Percentile97.0%92.1%100.0%93.7%94.0%
Term Structure-3.8%-33.2%36.1%-6.7%20.4%
VWIV103.3%77.5%148.7%84.7%87.1%
Skew 25d3.5%-43.2%40.5%20.9%-2.6%
Skew 10d7.1%-53.3%46.5%13.1%32.5%
Call IV 25d77.8%48.0%146.2%48.0%86.5%
Put IV 25d81.4%52.8%128.5%68.9%83.9%
Bid-Ask Spread %104.5595.21110.81107.23110.22
Gamma HHI0.400.280.560.490.28
Net GEX-3.6K-12.8K-1.1K-2.5K-12.8K
Net DEX258.1K110.1K391.8K110.1K371.7K
Net VEX-818-1.8K-178-265-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.160.800.00
Total Volume70.3640532364
Total OI585.6362001,3242041,324

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$15.12$17.5053.8%15.4%70.5%60.2%0.0%20.9%-6.7%-2.5K110.1K-2650.80107.23201696108
2020-03-03$14.50$17.5050.8%14.6%70.2%54.4%0.0%-4.0%-16.9%-2.3K118.5K-2680.00105.460092116
2020-03-04$14.85$17.5059.6%17.1%71.1%71.6%0.0%-2.7%-27.2%-2.4K118.4K-2700.00106.9102492116
2020-03-05$13.80$16.2567.3%16.6%71.5%86.9%0.0%-4.0%-4.1%-1.7K120.8K-2250.00100.690092116
2020-03-06$13.77$16.2570.0%19.5%71.8%92.1%0.0%15.6%-9.7%-1.6K123.0K-2170.0096.940092116
2020-03-09$12.90$16.25101.0%19.5%73.3%100.0%0.0%-2.7%-3.6%-1.1K110.5K-1780.00100.42013292108
2020-03-10$12.95$16.2592.1%15.2%73.2%88.6%0.0%1.6%9.0%-2.4K141.3K-2110.00103.244092152
2020-03-11$12.80$16.2569.5%19.9%73.2%59.6%0.0%-3.4%2.9%-2.1K142.3K-2040.00102.90042496152
2020-03-12$12.10$16.2584.4%24.2%73.9%78.6%0.0%-13.0%-4.1%-7.3K342.1K-1.5K0.0095.210096576
2020-03-13$11.95$16.2581.0%23.2%73.7%74.4%0.0%-8.6%-0.9%-6.7K326.6K-1.5K0.0096.0403296576
2020-03-16$10.17$16.2572.9%20.9%86.8%63.9%0.0%-29.2%2.3%-5.4K361.5K-1.2K0.00101.450496572
2020-03-17$9.27$16.2584.1%24.1%87.0%78.3%84.7%14.2%-5.8%-4.1K391.8K-9860.00103.7412096576
2020-03-18$7.07$16.25118.9%34.1%117.6%100.0%129.2%-43.2%-33.2%-2.1K311.3K-7450.57104.442816108576
2020-03-19$9.00$10.00108.1%31.0%157.1%88.7%92.4%40.5%-11.2%-3.0K372.2K-9500.26106.0116844136568
2020-03-20$8.32$10.0082.6%23.7%156.5%62.0%0.0%4.4%4.7%-1.7K317.8K-9450.00108.6500220572
2020-03-23$7.82$10.0098.0%28.1%156.6%78.1%148.7%20.2%-32.0%-1.8K312.7K-7541.57107.882844172536
2020-03-24$8.81$10.0082.2%23.6%167.4%61.6%0.0%23.5%-7.3%-2.2K330.7K-9140.00106.53120192540
2020-03-25$8.63$10.0077.6%22.2%159.5%56.8%77.5%9.6%3.5%-1.8K306.8K-9530.00106.3640192540
2020-03-26$9.06$10.0059.7%17.1%162.0%38.2%0.0%2.2%36.1%-2.0K308.2K-1.0K0.00110.4600196540
2020-03-27$9.49$10.0073.2%21.0%163.4%52.2%87.1%28.4%-6.5%-2.2K281.5K-1.1K3.16108.50128404196540
2020-03-30$9.60$10.0063.2%18.1%162.9%41.8%0.0%10.3%6.6%-9.7K357.7K-1.8K0.00110.81003201,004
2020-03-31$9.91$10.0070.3%20.1%163.9%49.2%0.0%-2.6%20.4%-12.8K371.7K-1.7K0.00110.22403201,004