BBSI Options History — June 2020

In June 2020, BBSI traded between $11.98 and $14.10. ATM implied volatility averaged 60.0%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 4.2% (HV 20d: 64.2%). Max pain ranged from $10.00 to $13.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2020-06-23: Highest Volume — 1,876 contracts
  • 2020-06-24: Largest IV spike — 61.8% change
  • 2020-06-16: Highest IV Rank — 57.6%
  • 2020-06-16: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.90$11.98$14.10$12.79$13.27
Max Pain$12.22$10.00$13.75$11.25$12.50
ATM IV60.0%42.0%78.3%56.4%47.3%
Expected Move17.0%12.0%22.4%16.2%13.6%
HV 20d64.2%54.2%74.5%74.5%56.1%
HV 60d88.6%66.9%113.2%112.9%66.9%
IV Rank38.5%19.6%57.6%34.7%25.1%
IV Percentile77.1%54.0%92.1%78.2%61.9%
Term Structure2.6%-17.1%16.7%3.4%12.7%
VWIV67.2%50.4%92.9%64.4%52.5%
Skew 25d10.4%-12.4%32.0%19.7%20.7%
Skew 10d19.4%-9.3%38.7%17.5%16.2%
Call IV 25d61.7%43.9%83.8%62.1%43.9%
Put IV 25d72.1%56.6%95.8%81.8%64.6%
Bid-Ask Spread %107.0693.10125.57113.92109.90
Gamma HHI0.380.220.560.490.22
Net GEX-19.8K-42.1K-6.2K-26.1K-6.2K
Net DEX117.6K-110.3K485.4K210.4K-6.6K
Net VEX-1.8K-2.6K-1.2K-2.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0012.000.000.00
Total Volume178.90901,87600
Total OI2,163.2731,5402,4682,4001,612

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$12.79$11.2556.4%16.2%74.5%34.7%0.0%19.7%3.4%-26.1K210.4K-2.6K0.00113.92004881,912
2020-06-02$12.98$11.2559.9%17.2%72.1%38.3%64.4%32.0%-17.1%-24.6K179.5K-2.4K0.00122.232004881,912
2020-06-03$13.40$11.2556.5%16.2%71.9%34.8%0.0%10.3%-5.3%-20.7K8.4K-2.0K0.00125.57004921,912
2020-06-04$13.11$10.0064.9%16.0%68.8%43.5%82.9%2.1%2.5%-22.2K122.5K-2.2K1.55112.797201,1164921,912
2020-06-05$13.99$10.0055.3%16.1%71.5%33.5%0.0%19.4%0.9%-11.5K-110.3K-1.7K0.00107.421604921,912
2020-06-08$14.10$10.0066.5%16.5%68.0%45.2%0.0%22.1%1.8%-9.3K-88.6K-1.6K0.75102.1732244921,912
2020-06-09$13.56$10.0069.4%19.8%65.2%48.2%0.0%-4.1%0.5%-14.7K-70.5K-2.0K0.00100.23404961,936
2020-06-10$13.05$10.0056.1%16.1%64.0%34.4%0.0%14.1%1.0%-23.8K141.2K-2.3K0.00112.20405001,936
2020-06-11$11.98$10.0067.2%19.3%70.5%45.9%50.4%2.3%2.7%-32.7K480.1K-2.6K12.00106.544485041,936
2020-06-12$12.07$13.7573.8%21.2%69.2%52.8%0.0%22.6%-10.8%-40.2K485.4K-2.4K0.0097.63005081,960
2020-06-15$12.14$13.7564.0%18.3%64.6%42.6%0.0%22.6%5.1%-36.3K286.6K-2.1K0.0098.28404921,960
2020-06-16$12.57$13.7578.3%22.4%62.7%57.6%0.0%3.8%-9.3%-20.2K157.3K-2.0K0.00105.45004961,960
2020-06-17$12.29$13.7563.1%18.1%62.7%41.7%56.3%11.0%-1.9%-33.9K179.2K-1.9K0.0098.880124961,960
2020-06-18$12.13$13.7562.4%17.9%62.8%40.9%0.0%13.5%-2.9%-42.1K247.8K-1.8K0.0096.16404961,972
2020-06-19$12.62$13.7546.0%13.2%64.0%23.8%0.0%-12.4%11.7%-9.5K68.1K-1.4K0.00103.47004961,972
2020-06-22$12.83$13.7556.4%16.2%63.8%34.7%64.2%9.0%13.6%-9.9K69.3K-1.4K0.0093.100204441,096
2020-06-23$13.20$13.7542.0%12.0%60.4%19.6%92.9%14.7%16.7%-10.2K61.6K-1.5K1.63107.317121,1644441,116
2020-06-24$12.88$13.7567.9%19.5%54.7%46.7%74.3%5.2%5.7%-10.2K67.2K-1.5K0.00106.47084441,136
2020-06-25$13.11$13.7555.6%15.9%54.2%33.9%52.5%-5.9%11.1%-8.6K-4.0K-1.3K0.0098.722004441,144
2020-06-26$12.69$12.5058.7%16.8%55.3%37.1%0.0%12.1%11.1%-13.7K99.0K-1.4K0.00119.54404641,144
2020-06-29$12.95$12.5052.8%15.1%55.6%30.9%0.0%-6.6%5.1%-9.3K3.0K-1.2K0.00117.34004681,144
2020-06-30$13.27$12.5047.3%13.6%56.1%25.1%0.0%20.7%12.7%-6.2K-6.6K-1.3K0.00109.90004681,144