BFIN Options History — September 2013

In September 2013, BFIN traded between $8.26 and $9.24. ATM implied volatility averaged 80.1%. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 47.7% (HV 20d: 32.4%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2013-09-11: Largest IV spike — 112.4% change
  • 2013-09-03: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.82$8.26$9.24$8.28$8.84
ATM IV80.1%41.7%146.6%111.6%85.2%
Expected Move20.6%11.2%32.0%32.0%24.4%
HV 20d32.4%22.4%35.0%34.8%22.4%
HV 60d33.0%30.3%35.4%35.4%30.3%
Term Structure-22.2%-51.8%-3.3%-51.8%-22.6%
Skew 25d7.3%1.8%15.5%1.9%6.5%
Skew 10d15.6%2.2%24.1%18.6%20.1%
Call IV 25d53.1%35.1%66.0%61.5%55.3%
Put IV 25d60.4%39.2%81.5%63.4%61.8%
Bid-Ask Spread %140.15120.34150.87143.44143.97
Gamma HHI1.001.001.001.001.00
Net GEX65581166366
Net DEX-4.2K-5.0K-3.3K-3.4K-4.2K
Net VEX-8-10-4-10-7
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI66666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$8.28$0.00111.6%32.0%34.8%0.0%0.0%1.9%-51.8%63-3.4K-100.00143.44N/AN/A0060
2013-09-04$8.26$0.0097.7%28.0%34.6%0.0%0.0%5.5%-39.6%67-3.3K-100.00139.43N/AN/A0060
2013-09-05$8.38$0.00101.0%29.0%35.0%0.0%0.0%6.8%-41.2%63-3.5K-100.00141.08N/AN/A0060
2013-09-06$8.38$0.00112.6%20.8%34.3%0.0%0.0%10.7%-25.4%60-3.5K-100.00150.87N/AN/A0060
2013-09-09$8.51$0.0066.9%11.3%35.0%0.0%0.0%4.6%-3.3%116-4.0K-70.00123.03N/AN/A0060
2013-09-10$8.79$0.0069.0%11.2%34.7%0.0%0.0%5.6%-11.7%75-4.4K-70.00120.34N/AN/A0060
2013-09-11$8.70$0.00146.6%22.3%33.9%0.0%0.0%4.8%-31.4%59-3.9K-90.00148.55N/AN/A0060
2013-09-12$8.64$0.0076.9%22.1%33.7%0.0%0.0%6.3%-29.5%62-3.8K-90.00143.00N/AN/A0060
2013-09-13$8.70$0.0084.0%24.1%33.2%0.0%0.0%1.8%-37.4%61-3.9K-90.00149.08N/AN/A0060
2013-09-16$8.93$0.0064.8%18.6%34.4%0.0%0.0%5.3%-15.1%63-4.3K-80.00142.79N/AN/A0060
2013-09-17$9.12$0.0059.1%16.9%34.5%0.0%0.0%2.8%-14.4%61-4.6K-60.00135.14N/AN/A0060
2013-09-18$9.19$0.0067.2%19.3%34.5%0.0%0.0%14.4%-15.4%58-4.6K-70.00146.82N/AN/A0060
2013-09-19$9.15$0.0067.1%19.2%33.0%0.0%0.0%11.3%-16.1%59-4.6K-70.00146.86N/AN/A0060
2013-09-20$9.14$0.0064.6%18.5%30.8%0.0%0.0%10.3%-16.9%60-4.6K-70.00138.57N/AN/A0060
2013-09-23$9.24$0.0067.0%19.2%30.9%0.0%0.0%15.5%-11.8%58-4.7K-60.00138.88N/AN/A0060
2013-09-24$9.21$0.0069.7%20.0%30.8%0.0%0.0%10.1%-15.3%58-4.7K-60.00141.35N/AN/A0060
2013-09-25$9.04$0.0041.7%12.0%30.2%0.0%0.0%11.5%-12.0%59-5.0K-40.00121.26N/AN/A0060
2013-09-26$9.02$0.0073.6%21.1%28.6%0.0%0.0%8.1%-14.7%63-4.5K-70.00144.79N/AN/A0060
2013-09-27$8.86$0.0076.4%21.9%28.9%0.0%0.0%2.9%-17.8%64-4.2K-80.00143.70N/AN/A0060
2013-09-30$8.84$0.0085.2%24.4%22.4%0.0%0.0%6.5%-22.6%66-4.2K-70.00143.97N/AN/A0060