BX Options History — January 2010

In January 2010, BX traded between $12.13 and $14.09. ATM implied volatility averaged 34.1%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.0% (HV 20d: 27.1%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-01-14: Highest Volume — 22,045 contracts
  • 2010-01-13: Largest IV spike — 21.6% change
  • 2010-01-13: Highest IV Rank — 6.1%
  • 2010-01-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.40$12.13$14.09$13.71$12.13
Max Pain$13.47$13.00$14.00$13.00$14.00
ATM IV34.1%29.1%40.5%35.4%37.9%
Expected Move10.3%8.4%11.8%11.8%10.9%
HV 20d27.1%23.5%33.8%27.7%33.8%
HV 60d44.9%35.4%51.6%51.6%35.7%
IV Rank2.2%0.0%6.1%0.9%5.0%
IV Percentile3.0%0.0%8.7%0.4%8.7%
Term Structure6.9%4.0%9.3%7.1%6.9%
VWIV36.1%29.9%41.1%41.1%37.1%
Skew 25d1.7%-3.2%4.7%4.7%3.3%
Skew 10d4.1%-4.4%16.4%7.4%7.7%
Call IV 25d35.9%28.4%39.5%39.5%38.1%
Put IV 25d37.5%31.3%44.2%44.2%41.4%
Bid-Ask Spread %18.229.5425.1323.7716.82
Gamma HHI0.180.110.400.160.11
Net GEX907.9K7.7K2.3M501.3K60.8K
Net DEX-10.7M-32.4M18.1M-15.8M18.1M
Net VEX-349.7K-380.8K-301.6K-351.1K-301.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.184.430.460.24
Total Volume10,259.0534,14722,04515,7814,437
Total OI216,541.947170,459259,265222,541196,430

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$13.71$13.0035.4%11.8%27.7%0.9%41.1%4.7%7.1%501.3K-15.8M-351.1K0.4623.77N/AN/A10,7994,982131,12591,416
2010-01-05$13.79$13.0035.6%11.4%27.5%1.1%39.6%2.4%6.4%764.5K-19.9M-356.5K0.7918.67N/AN/A7,4395,849137,95291,792
2010-01-06$14.04$13.0032.3%11.3%28.2%0.0%38.3%3.2%5.4%1.1M-31.2M-370.3K0.2618.22N/AN/A11,4232,979142,38490,100
2010-01-07$14.09$13.0032.3%10.9%26.7%0.0%38.0%2.3%8.0%1.3M-32.4M-378.5K0.2217.18N/AN/A7,3081,618149,23891,761
2010-01-08$14.05$13.0029.9%10.8%26.7%0.0%37.4%2.5%5.9%1.5M-31.6M-379.3K0.2916.62N/AN/A8,7172,501152,61392,260
2010-01-11$14.05$13.0032.2%10.8%23.5%1.4%37.5%2.1%8.7%1.7M-31.7M-380.8K0.3624.40N/AN/A4,1831,520156,59291,921
2010-01-12$13.69$13.0033.3%10.7%25.0%2.0%37.0%0.7%4.9%1.6M-20.8M-366.1K0.3525.05N/AN/A4,5251,605158,82692,475
2010-01-13$13.66$13.0040.5%10.2%25.0%6.1%35.5%0.9%5.0%1.5M-17.9M-350.8K0.3017.25N/AN/A7,5402,287160,84293,150
2010-01-14$13.75$13.0034.2%9.8%23.9%2.5%35.0%0.5%8.3%2.0M-17.3M-352.1K4.4325.13N/AN/A4,05817,987161,57394,529
2010-01-15$13.79$13.0033.4%9.6%23.8%2.0%33.7%2.5%9.3%2.3M-20.7M-374.0K0.8121.30N/AN/A5,2884,276163,16896,097
2010-01-19$13.56$14.0029.9%8.6%24.2%0.0%30.2%3.9%7.1%596.3K-8.2M-341.1K0.3513.41N/AN/A9,1133,218106,34664,113
2010-01-20$13.69$14.0029.1%8.4%24.3%0.0%29.9%4.0%9.0%739.3K-10.9M-360.9K0.509.54N/AN/A2,9941,487111,08665,970
2010-01-21$13.42$14.0030.3%8.7%23.9%0.7%30.7%-0.3%8.6%641.3K-7.0M-351.2K0.5112.47N/AN/A8,9894,555111,95366,441
2010-01-22$12.74$14.0035.6%10.2%29.5%3.7%35.6%2.3%6.1%422.4K3.8M-341.5K0.8313.17N/AN/A10,3638,552117,41068,963
2010-01-25$12.64$14.0037.1%10.6%29.6%4.6%37.4%-0.3%4.0%123.7K10.1M-318.1K1.0013.74N/AN/A4,4264,410116,72672,265
2010-01-26$12.45$14.0035.9%10.3%29.9%3.9%38.8%-0.9%6.4%7.7K14.3M-302.9K0.2717.88N/AN/A3,527965117,20872,826
2010-01-27$12.73$14.0036.0%10.3%31.2%3.9%36.1%0.9%6.0%189.6K8.3M-329.3K0.5120.14N/AN/A4,5282,327118,63573,227
2010-01-28$12.62$14.0037.0%10.6%31.3%4.6%37.2%-3.2%7.5%250.1K6.8M-339.0K0.1821.33N/AN/A3,529618120,46974,415
2010-01-29$12.13$14.0037.9%10.9%33.8%5.0%37.1%3.3%6.9%60.8K18.1M-301.6K0.2416.82N/AN/A3,588849121,79074,640