BX Options History — May 2009

In May 2009, BX traded between $10.78 and $13.84. ATM implied volatility averaged 81.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 22.1% (HV 20d: 103.4%). Max pain ranged from $5.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-05-26: Highest Volume — 473,647 contracts
  • 2009-05-19: Largest IV spike — 28.6% change
  • 2009-05-05: Highest IV Rank — 28.5%
  • 2009-05-01: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.83$10.78$13.84$11.28$10.95
Max Pain$7.65$5.00$11.00$7.50$11.00
ATM IV81.3%59.3%102.9%98.6%66.3%
Expected Move21.4%17.0%28.3%28.3%19.0%
HV 20d103.4%94.0%114.4%100.2%95.8%
HV 60d115.2%100.8%120.8%120.6%100.8%
IV Rank19.4%10.2%28.5%26.7%13.1%
IV Percentile43.3%33.3%56.7%54.0%34.5%
Term Structure-0.4%-16.3%15.2%-16.3%5.9%
VWIV79.6%65.6%157.6%106.2%68.2%
Skew 25d19.0%2.8%29.9%19.2%9.8%
Skew 10d32.7%3.2%55.0%49.4%21.6%
Call IV 25d68.5%57.9%91.3%91.3%63.1%
Put IV 25d87.5%73.0%110.5%110.5%73.0%
Bid-Ask Spread %13.559.0016.9814.5311.99
Gamma HHI0.280.190.400.400.30
Net GEX492.7K428.0K581.4K479.2K428.0K
Net DEX-85.2M-136.8M-32.4M-94.5M-32.4M
Net VEX-299.2K-327.4K-264.2K-289.5K-299.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.001.230.310.66
Total Volume32,699.753,419473,64722,8983,782
Total OI191,705.5155,246222,103190,910157,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$11.28$7.5098.6%28.3%100.2%26.7%106.2%19.2%-16.3%479.2K-94.5M-289.5K0.3114.53N/AN/A17,4375,461135,30955,601
2009-05-04$11.90$5.00102.5%22.2%100.9%28.3%84.8%27.4%-8.1%513.9K-102.4M-304.1K0.9713.50N/AN/A3,8773,765136,32858,054
2009-05-05$12.16$5.00102.9%23.8%98.8%28.5%85.3%28.5%-12.3%494.2K-108.1M-301.2K1.0514.34N/AN/A5,6435,928137,43160,435
2009-05-06$13.16$5.0088.1%23.7%94.0%22.3%83.0%17.8%-8.9%428.2K-128.5M-315.7K0.4515.21N/AN/A22,2349,999139,13264,694
2009-05-07$12.49$7.5094.2%22.4%98.1%24.8%78.4%26.5%-4.0%511.0K-110.9M-318.1K1.2313.90N/AN/A3,0473,742143,24069,560
2009-05-08$13.84$7.5080.3%21.3%101.5%19.0%68.3%29.1%6.3%581.4K-136.8M-327.4K0.4914.81N/AN/A5,3452,602144,02570,121
2009-05-11$12.64$7.5094.9%23.0%110.1%25.1%76.1%29.8%7.3%509.8K-113.9M-319.4K1.0415.48N/AN/A2,9153,032145,30971,052
2009-05-12$12.67$7.5087.5%17.9%109.0%22.0%68.2%22.0%-2.1%552.1K-115.0M-312.6K0.3312.19N/AN/A5,2201,707146,44070,532
2009-05-13$11.63$7.50100.8%23.7%114.3%27.6%70.5%29.9%3.1%447.5K-96.2M-298.2K0.5312.75N/AN/A10,0745,297147,77471,010
2009-05-14$11.59$7.5080.2%23.0%114.4%18.9%85.2%24.3%-7.3%494.3K-94.0M-292.1K1.0814.76N/AN/A5,2125,617150,31270,691
2009-05-15$11.52$7.5080.7%23.1%113.7%19.2%72.3%15.7%-4.6%432.5K-89.8M-296.4K0.2114.25N/AN/A7,2251,513150,37771,726
2009-05-18$12.16$7.5059.3%17.0%99.1%10.2%65.6%24.3%15.2%542.7K-86.6M-296.2K0.5713.59N/AN/A5,4963,156124,46850,668
2009-05-19$11.57$7.5076.3%21.9%102.4%17.3%71.5%2.8%-15.1%497.8K-74.1M-280.2K1.0616.98N/AN/A3,3273,531124,04251,508
2009-05-20$11.20$7.5064.7%18.6%104.1%12.4%67.2%18.4%8.3%500.1K-67.2M-267.0K0.269.00N/AN/A4,4651,177122,69951,919
2009-05-21$10.78$7.5067.3%19.3%105.0%13.5%72.7%12.7%4.6%509.0K-57.4M-264.2K0.5612.99N/AN/A3,4481,919124,47752,400
2009-05-22$11.20$7.5068.3%19.6%104.4%13.9%68.5%14.4%10.2%508.7K-60.1M-298.6K0.1114.14N/AN/A5,234578124,03452,504
2009-05-26$11.45$7.5074.2%21.3%101.0%16.4%157.6%6.1%-1.2%534.7K-65.1M-286.8K0.0011.46N/AN/A471,8231,824124,36352,812
2009-05-27$11.13$11.0070.6%20.2%102.2%14.9%72.1%10.9%4.8%444.4K-35.1M-311.7K0.8014.14N/AN/A2,1751,749101,87253,374
2009-05-28$11.21$11.0068.1%19.5%99.9%13.9%69.2%9.8%7.0%443.7K-36.0M-305.9K0.7210.98N/AN/A1,9931,426102,24854,254
2009-05-29$10.95$11.0066.3%19.0%95.8%13.1%68.2%9.8%5.9%428.0K-32.4M-299.6K0.6611.99N/AN/A2,2841,498102,62954,686