BBSI Options History — September 2020

In September 2020, BBSI traded between $12.24 and $14.40. ATM implied volatility averaged 43.8%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 12.8% (HV 20d: 30.9%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2020-09-09: Highest Volume — 180 contracts
2020-09-16: Largest IV spike — 57.7% change
2020-09-02: Highest IV Rank — 50.0%
2020-09-02: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.11	$12.24	$14.40	$14.35	$13.15
Max Pain	$14.46	$13.75	$15.00	$13.75	$13.75
ATM IV	43.8%	23.8%	71.0%	47.4%	40.1%
Expected Move	12.3%	6.8%	20.4%	13.6%	11.5%
HV 20d	30.9%	28.4%	36.5%	36.3%	36.5%
HV 60d	39.8%	38.1%	44.3%	44.3%	39.2%
IV Rank	21.5%	0.6%	50.0%	25.3%	17.7%
IV Percentile	44.9%	1.2%	84.1%	55.2%	38.1%
Term Structure	6.7%	-22.3%	27.4%	13.7%	18.7%
VWIV	48.1%	31.7%	76.3%	50.7%	50.0%
Skew 25d	4.2%	-7.8%	17.2%	3.5%	16.0%
Skew 10d	-3.7%	-44.6%	23.7%	-5.5%	-1.3%
Call IV 25d	46.9%	31.0%	91.7%	39.1%	36.1%
Put IV 25d	51.0%	30.8%	85.7%	42.6%	52.1%
Bid-Ask Spread %	114.00	104.42	120.89	104.42	114.91
Gamma HHI	0.34	0.25	0.52	0.44	0.25
Net GEX	115	-7.0K	9.2K	6.5K	-4.2K
Net DEX	13.6K	-189.7K	121.6K	-174.0K	52.8K
Net VEX	-771	-923	-645	-863	-838
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.00	5.00	0.09	0.71
Total Volume	28.19	0	180	48	48
Total OI	579.048	444	672	580	588

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
2020-09-01	$14.35	$13.75	47.4%	13.6%	36.3%	25.3%	50.7%	3.5%	13.7%	6.5K	-174.0K	-863	0.09	104.42	44	4	288	292
2020-09-02	$14.40	$13.75	71.0%	20.4%	29.3%	50.0%	76.3%	-6.0%	-22.3%	5.0K	-189.7K	-923	0.00	115.82	4	0	320	296
2020-09-03	$14.11	$15.00	51.5%	14.6%	30.0%	29.5%	0.0%	0.5%	3.2%	7.3K	-152.3K	-863	0.00	113.89	0	0	324	296
2020-09-04	$13.54	$15.00	59.2%	15.3%	33.1%	37.6%	0.0%	3.1%	-1.3%	4.2K	-120.9K	-875	0.00	108.86	0	0	324	296
2020-09-08	$13.16	$15.00	43.3%	10.0%	33.5%	21.0%	37.7%	-1.3%	5.9%	9.2K	-86.0K	-739	5.00	114.71	4	20	324	296
2020-09-09	$13.07	$15.00	46.5%	13.3%	28.6%	24.3%	0.0%	7.1%	11.3%	7.0K	20.4K	-700	0.02	109.17	176	4	320	316
2020-09-10	$13.04	$15.00	32.9%	9.4%	28.7%	10.1%	0.0%	5.8%	26.9%	1.7K	28.9K	-677	0.00	120.48	40	0	248	320
2020-09-11	$13.02	$15.00	48.3%	13.8%	28.4%	26.2%	51.8%	9.6%	8.0%	1.5K	24.0K	-702	0.00	107.90	0	4	248	320
2020-09-14	$13.33	$15.00	42.9%	12.3%	30.2%	20.6%	0.0%	0.5%	27.4%	2.7K	-12.7K	-679	0.00	115.66	0	32	248	324
2020-09-15	$13.31	$15.00	23.8%	6.8%	29.7%	0.6%	31.7%	-4.8%	9.7%	3.3K	7.2K	-645	5.00	120.89	4	20	248	356
2020-09-16	$13.25	$15.00	37.5%	10.8%	29.3%	14.9%	0.0%	7.3%	10.6%	1.5K	13.2K	-709	4.00	108.27	4	16	252	376
2020-09-17	$13.13	$15.00	33.0%	9.5%	29.3%	10.3%	49.3%	-2.6%	16.3%	1.9K	33.1K	-742	0.00	110.95	0	32	256	384
2020-09-18	$13.22	$15.00	34.9%	10.0%	29.7%	12.2%	35.9%	-1.5%	-0.6%	-3.4K	90.6K	-683	0.00	116.78	0	20	256	416
2020-09-21	$12.54	$15.00	44.8%	12.8%	32.5%	22.5%	48.0%	-7.8%	-0.3%	-5.2K	90.9K	-695	3.50	110.28	8	28	112	332
2020-09-22	$12.60	$13.75	40.1%	11.5%	30.4%	17.7%	60.3%	17.2%	2.4%	-5.9K	94.8K	-734	0.00	114.15	0	36	120	352
2020-09-23	$12.25	$13.75	48.6%	13.9%	31.0%	26.6%	39.3%	8.5%	-9.9%	-6.5K	121.6K	-790	1.00	116.90	4	4	120	396
2020-09-24	$12.24	$13.75	46.7%	13.4%	30.9%	24.6%	0.0%	1.2%	5.9%	-5.2K	119.1K	-838	0.00	119.75	4	0	124	404
2020-09-25	$12.39	$13.75	41.4%	11.9%	31.6%	19.0%	0.0%	8.1%	-9.6%	-7.0K	114.7K	-817	0.00	115.21	0	4	136	404
2020-09-28	$12.64	$13.75	35.3%	10.1%	30.4%	12.6%	44.5%	6.3%	23.8%	-5.7K	100.5K	-839	3.00	117.65	4	12	148	408
2020-09-29	$12.51	$13.75	49.7%	14.2%	30.4%	27.6%	49.7%	16.4%	1.3%	-6.2K	108.8K	-838	0.00	117.29	0	12	152	420
2020-09-30	$13.15	$13.75	40.1%	11.5%	36.5%	17.7%	50.0%	16.0%	18.7%	-4.2K	52.8K	-838	0.71	114.91	28	20	152	436