BFIN Options History — September 2015

In September 2015, BFIN traded between $11.99 and $12.37. ATM implied volatility averaged 27.5%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 12.1% (HV 20d: 15.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2015-09-01: Highest Volume — 3 contracts
  • 2015-09-11: Largest IV spike — 158.5% change
  • 2015-09-11: Highest IV Rank — 21.1%
  • 2015-09-11: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.18$11.99$12.37$12.17$12.37
ATM IV27.5%22.3%57.6%27.6%27.6%
Expected Move7.7%6.4%16.5%7.9%7.9%
HV 20d15.4%11.2%17.0%17.0%12.2%
HV 60d13.9%13.1%14.7%14.7%13.7%
IV Rank4.0%1.5%21.1%4.4%4.4%
IV Percentile31.7%9.3%71.3%46.0%46.4%
Term Structure-1.7%-7.9%3.6%-6.5%-5.0%
Skew 25d7.8%2.6%11.7%4.2%10.1%
Skew 10d4.7%2.4%8.6%2.5%8.6%
Call IV 25d30.8%25.3%52.2%25.7%36.3%
Put IV 25d38.6%29.9%59.4%29.9%46.5%
Bid-Ask Spread %122.57117.31156.58127.31124.39
Gamma HHI1.001.001.001.001.00
Net GEX2913482828
Net DEX-181-746-50-144-139
Net VEX-2-6-1-2-1
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.7140333
Total OI33333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$12.17$0.0027.6%7.9%17.0%4.4%0.0%4.2%-6.5%28-144-20.00127.31N/AN/A3030
2015-09-02$12.18$0.0025.9%7.4%17.0%3.5%0.0%2.6%-1.7%35-201-20.00126.43N/AN/A3030
2015-09-03$12.20$0.0026.9%6.5%16.9%1.7%0.0%6.3%1.0%26-127-10.00121.31N/AN/A3030
2015-09-04$12.13$0.0027.5%6.5%17.0%1.8%0.0%7.3%2.7%28-157-20.00119.47N/AN/A3030
2015-09-08$12.14$0.0031.0%6.7%17.0%2.0%0.0%7.4%-2.9%22-103-10.00119.00N/AN/A0030
2015-09-09$12.18$0.0022.8%6.5%17.0%1.8%0.0%7.4%3.6%37-238-30.00120.06N/AN/A3030
2015-09-10$12.19$0.0022.3%6.4%17.0%1.5%0.0%7.1%2.1%34-200-20.00120.66N/AN/A3030
2015-09-11$12.15$0.0057.6%16.5%16.6%21.1%0.0%7.2%-7.9%48-746-60.00156.58N/AN/A3030
2015-09-14$12.21$0.0023.6%6.8%16.1%2.3%0.0%5.9%-1.9%28-142-10.00118.84N/AN/A3030
2015-09-15$12.21$0.0024.0%6.9%15.7%2.5%0.0%6.0%-3.8%22-99-10.00121.32N/AN/A0030
2015-09-16$12.21$0.0023.5%6.7%14.5%2.2%0.0%8.3%-0.8%26-126-10.00118.81N/AN/A3030
2015-09-17$12.07$0.0033.9%9.7%14.9%7.9%0.0%8.8%-3.4%39-313-30.00122.52N/AN/A3030
2015-09-18$11.99$0.0024.7%7.1%14.9%2.9%0.0%10.3%-0.5%24-122-10.00117.85N/AN/A3030
2015-09-21$12.22$0.0023.8%6.8%16.4%2.4%0.0%8.5%0.2%35-230-20.00118.95N/AN/A3030
2015-09-22$12.15$0.0025.1%7.2%14.3%3.1%0.0%8.8%1.7%30-185-20.00117.31N/AN/A3030
2015-09-23$12.25$0.0024.9%7.1%14.5%3.0%0.0%6.9%-2.2%32-188-20.00118.83N/AN/A3030
2015-09-24$12.21$0.0025.4%7.3%14.3%3.2%0.0%9.0%-0.9%22-96-10.00119.92N/AN/A3030
2015-09-25$12.29$0.0026.1%7.5%14.2%3.6%0.0%9.8%-0.7%25-111-10.00123.77N/AN/A3030
2015-09-28$12.20$0.0025.7%7.4%14.5%3.4%0.0%11.7%-0.1%19-79-10.00119.25N/AN/A3030
2015-09-29$12.16$0.0027.5%7.9%11.2%4.4%0.0%9.7%-7.6%13-50-10.00121.36N/AN/A3030
2015-09-30$12.37$0.0027.6%7.9%12.2%4.4%0.0%10.1%-5.0%28-139-10.00124.39N/AN/A3030