BX Options History — November 2009

In November 2009, BX traded between $13.42 and $15.66. ATM implied volatility averaged 56.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 10.6% (HV 20d: 66.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2009-11-24: Highest Volume — 666,969 contracts
  • 2009-11-06: Largest IV drop — 26.6% change
  • 2009-11-05: Highest IV Rank — 20.0%
  • 2009-11-05: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.69$13.42$15.66$13.78$13.84
Max Pain$14.40$14.00$15.00$15.00$15.00
ATM IV56.0%46.9%72.9%72.8%52.0%
Expected Move16.5%13.7%20.9%20.9%14.9%
HV 20d66.6%48.5%76.0%75.3%48.5%
HV 60d54.7%53.8%56.5%55.1%55.5%
IV Rank9.5%3.9%20.0%19.9%7.1%
IV Percentile19.3%2.0%47.2%46.0%14.7%
Term Structure0.5%-5.3%5.1%-5.3%3.0%
VWIV59.2%47.9%74.7%72.8%52.8%
Skew 25d4.2%-0.1%9.1%9.1%2.8%
Skew 10d7.1%-3.8%15.6%15.6%-3.8%
Call IV 25d56.4%46.6%71.7%70.6%52.1%
Put IV 25d60.6%49.5%79.7%79.7%54.9%
Bid-Ask Spread %12.898.3319.8715.0711.02
Gamma HHI0.170.110.380.130.12
Net GEX1.8M858.5K3.8M1.2M1.0M
Net DEX-58.0M-92.0M-2.4M-41.6M-9.6M
Net VEX-417.9K-451.6K-387.6K-424.7K-388.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.031.230.411.23
Total Volume41,974.553,035666,9694,5778,209
Total OI252,898.1238,749275,348238,749248,522

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$13.78$15.0072.8%20.9%75.3%19.9%72.8%9.1%-5.3%1.2M-41.6M-424.7K0.4115.07N/AN/A3,2381,339153,81784,932
2009-11-03$13.90$15.0070.6%20.2%72.1%18.6%72.1%4.1%-2.4%1.2M-44.1M-426.5K0.6017.32N/AN/A1,9021,133154,46285,503
2009-11-04$13.77$15.0071.8%20.6%72.0%19.3%71.7%4.3%-4.1%1.2M-42.9M-419.4K1.0917.96N/AN/A2,6432,888154,98185,957
2009-11-05$13.87$15.0072.9%20.9%71.7%20.0%73.4%3.9%-4.0%1.2M-44.1M-419.5K1.1219.87N/AN/A6,1956,924155,53288,424
2009-11-06$14.84$14.0053.5%17.0%76.0%8.0%59.4%5.6%0.2%1.7M-66.5M-439.5K0.5116.17N/AN/A8,4364,277157,66291,928
2009-11-09$15.60$14.0049.1%16.6%72.5%5.3%59.6%4.9%-0.5%2.0M-92.0M-446.8K0.1611.51N/AN/A14,6422,340159,44893,899
2009-11-10$15.32$14.0051.1%16.2%72.7%6.5%58.2%3.6%1.9%1.9M-80.6M-451.6K0.3616.66N/AN/A5,8602,113160,18593,594
2009-11-11$15.66$14.0046.9%15.8%67.8%3.9%55.4%5.4%1.4%2.1M-91.1M-433.6K0.4115.58N/AN/A4,0421,654160,20894,843
2009-11-12$15.23$14.0054.9%15.7%68.0%8.8%55.7%3.0%1.7%2.0M-77.1M-430.4K0.4113.25N/AN/A6,1792,542161,50595,449
2009-11-13$15.22$14.0053.6%15.4%67.4%8.1%53.9%2.7%2.4%1.9M-75.1M-410.5K0.2914.05N/AN/A4,7891,375160,02596,763
2009-11-16$15.22$14.0053.3%15.3%67.0%7.9%55.5%1.6%1.6%2.1M-75.8M-409.7K0.0812.02N/AN/A9,074767162,64697,781
2009-11-17$15.29$14.0052.7%15.1%67.0%7.5%53.4%5.2%2.3%2.2M-76.3M-402.2K0.338.76N/AN/A2,447802164,65497,847
2009-11-18$15.55$14.0052.3%15.0%67.0%7.2%53.7%4.9%1.3%2.4M-87.9M-404.1K0.1414.08N/AN/A16,6392,378165,11898,206
2009-11-19$15.28$14.0054.5%15.6%66.3%8.6%55.5%5.4%2.2%2.1M-77.7M-433.4K0.588.72N/AN/A5,9233,435170,90899,181
2009-11-20$14.98$14.0051.0%14.6%66.4%6.5%52.4%3.9%1.9%3.8M-65.0M-424.2K0.489.00N/AN/A6,3193,005174,113101,235
2009-11-23$15.06$15.0047.7%13.7%64.3%4.4%47.9%2.9%5.1%1.7M-62.9M-407.2K0.159.00N/AN/A10,7841,595155,61089,743
2009-11-24$14.03$14.0053.0%15.2%67.0%7.7%74.7%5.6%1.8%1.4M-37.6M-396.7K0.039.13N/AN/A650,40016,569162,02790,443
2009-11-25$13.87$15.0051.6%14.8%53.8%6.8%51.9%5.4%0.4%1.1M-9.6M-401.2K0.378.33N/AN/A7,3572,694146,21098,472
2009-11-27$13.42$15.0054.4%15.6%48.7%8.5%54.4%-0.1%0.3%858.5K-2.4M-387.6K0.5710.23N/AN/A4,2002,383147,69298,437
2009-11-30$13.84$15.0052.0%14.9%48.5%7.1%52.8%2.8%3.0%1.0M-9.6M-388.6K1.2311.02N/AN/A3,6794,530149,16899,354