BBSI Options History — July 2020

In July 2020, BBSI traded between $12.74 and $14.22. ATM implied volatility averaged 68.6%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 20.8% (HV 20d: 47.7%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.89.

Notable Days

  • 2020-07-15: Highest Volume — 1,824 contracts
  • 2020-07-27: Largest IV spike — 36.5% change
  • 2020-07-14: Highest IV Rank — 75.7%
  • 2020-07-27: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.74$14.22$12.87$13.13
Max Pain$12.44$11.25$12.50$12.50$12.50
ATM IV68.6%49.5%95.6%53.3%75.8%
Expected Move19.6%15.3%23.3%15.3%21.7%
HV 20d47.7%43.1%55.9%55.9%45.7%
HV 60d63.4%56.9%67.2%67.2%56.9%
IV Rank47.4%27.5%75.7%31.4%55.0%
IV Percentile81.3%62.7%97.6%67.1%88.5%
Term Structure-9.2%-27.4%8.2%8.2%-10.4%
VWIV75.2%45.9%100.7%53.5%82.1%
Skew 25d3.9%-33.6%25.1%5.6%12.3%
Skew 10d14.9%-21.8%56.9%-17.5%8.2%
Call IV 25d67.7%54.6%82.0%59.1%67.5%
Put IV 25d71.6%45.6%94.6%64.7%79.9%
Bid-Ask Spread %101.7895.59112.58112.58100.35
Gamma HHI0.310.220.450.260.37
Net GEX-6.4K-10.2K-2.1K-10.2K-9.2K
Net DEX-40.4K-141.3K41.2K-3.6K-3.8K
Net VEX-946-1.3K-693-1.1K-768
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.0011.000.000.29
Total Volume178.72701,824036
Total OI1,368.9099881,6761,6121,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$12.87$12.5053.3%15.3%55.9%31.4%0.0%5.6%8.2%-10.2K-3.6K-1.1K0.00112.58004681,144
2020-07-02$12.91$12.5063.6%18.2%55.4%42.2%53.5%-4.7%0.4%-8.2K10.1K-1.2K0.00110.19804681,144
2020-07-06$13.21$11.2562.6%16.8%50.6%41.2%73.4%11.2%-1.3%-4.5K-40.6K-1.1K1.39103.357521,0484921,144
2020-07-07$12.79$12.5061.8%20.8%51.5%40.4%0.0%12.5%-10.6%-9.3K41.2K-1.3K2.0097.98484921,156
2020-07-08$13.27$12.5049.5%22.1%51.9%27.5%0.0%10.3%-19.2%-4.8K-52.7K-1.2K0.0095.74004921,164
2020-07-09$12.77$12.5061.0%21.6%51.9%39.5%0.0%6.1%-6.1%-7.1K16.2K-1.1K0.0098.190244921,164
2020-07-10$13.28$12.5077.5%17.3%43.1%56.7%0.0%4.2%-0.7%-7.4K-12.6K-1.3K0.0095.59004921,184
2020-07-13$13.37$12.5071.5%19.6%43.1%50.5%0.0%23.4%-12.9%-5.7K-48.6K-9780.0099.13004881,184
2020-07-14$13.33$12.5095.6%18.6%43.2%75.7%0.0%4.5%-1.4%-3.5K-55.4K-9760.0097.29004881,184
2020-07-15$14.22$12.5069.9%20.0%47.0%48.8%82.7%13.1%-5.4%-4.2K-141.3K-9731.4396.617521,0724881,184
2020-07-16$13.81$12.5074.8%21.4%47.7%53.9%0.0%11.5%-15.4%-6.4K-119.8K-8700.0096.11084881,184
2020-07-17$13.56$12.5066.3%19.0%47.9%45.0%68.4%25.1%-18.4%-2.1K-65.4K-1.0K4.0098.5412484881,180
2020-07-20$13.52$12.5072.6%20.8%46.2%51.6%68.4%-5.0%-17.2%-3.7K-70.9K-9020.00103.5604464524
2020-07-21$13.66$12.5067.2%19.3%46.1%45.9%100.7%13.1%-12.0%-5.1K-79.3K-7770.00105.66032464528
2020-07-22$13.30$12.5075.5%21.7%46.3%54.7%85.9%0.4%-27.4%-4.7K-54.0K-8430.00103.5404464536
2020-07-23$13.15$12.5065.5%18.8%45.6%44.1%45.9%-20.6%0.7%-9.2K-26.8K-7150.00105.4604464540
2020-07-24$13.26$12.5059.6%17.1%45.3%38.0%66.8%-13.9%-3.5%-6.9K-60.7K-7020.00105.40016464544
2020-07-27$12.74$12.5081.4%23.3%46.0%60.8%86.8%-33.6%-27.2%-6.7K5.6K-80811.00104.84444464552
2020-07-28$13.23$12.5078.0%22.4%47.4%57.3%84.2%-3.0%-23.0%-6.0K-46.9K-7933.00102.97412468576
2020-07-29$13.38$12.5057.7%16.5%46.7%36.0%74.8%12.3%-1.0%-8.1K-53.1K-6930.00105.0708468588
2020-07-30$13.30$12.5067.5%19.4%45.4%46.3%79.3%1.1%0.4%-8.6K-27.4K-7210.00100.90028468596
2020-07-31$13.13$12.5075.8%21.7%45.7%55.0%82.1%12.3%-10.4%-9.2K-3.8K-7680.29100.35288468624