BX Options History — April 2010

In April 2010, BX traded between $13.98 and $15.26. ATM implied volatility averaged 29.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.4% (HV 20d: 24.4%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-04-22: Highest Volume — 34,889 contracts
  • 2010-04-15: Largest IV spike — 38.9% change
  • 2010-04-15: Highest IV Rank — 12.6%
  • 2010-04-15: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.73$13.98$15.26$14.30$13.98
Max Pain$14.95$14.00$15.00$14.00$15.00
ATM IV29.7%25.3%35.8%28.3%34.3%
Expected Move9.2%7.8%10.3%8.1%9.8%
HV 20d24.4%21.1%29.1%29.1%27.8%
HV 60d30.4%26.3%32.2%31.9%27.5%
IV Rank5.2%0.0%12.6%2.3%11.6%
IV Percentile7.7%0.0%21.0%1.2%21.0%
Term Structure0.2%-2.2%6.3%6.3%1.4%
VWIV32.2%27.6%36.3%28.0%32.6%
Skew 25d5.0%3.5%6.6%3.7%5.0%
Skew 10d10.2%5.1%13.5%5.1%9.7%
Call IV 25d30.9%25.7%35.2%27.8%32.6%
Put IV 25d35.9%30.5%39.8%31.4%37.6%
Bid-Ask Spread %5.633.979.635.006.90
Gamma HHI0.360.200.580.360.21
Net GEX1.7M852.7K3.1M1.2M852.7K
Net DEX-29.3M-57.2M617.3K-11.5M617.3K
Net VEX-554.0K-606.5K-497.5K-505.8K-548.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.121.460.620.55
Total Volume11,1492,74434,8892,7448,772
Total OI214,546.714195,338231,601195,338231,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$14.30$14.0028.3%8.1%29.1%2.3%28.0%3.7%6.3%1.2M-11.5M-505.8K0.625.00N/AN/A1,6971,047112,72882,610
2010-04-05$14.48$15.0029.4%9.7%25.5%3.5%32.0%6.4%-1.3%1.5M-16.3M-497.5K0.285.54N/AN/A2,723753113,10583,059
2010-04-06$14.64$15.0025.8%8.8%25.2%0.0%31.3%6.6%-0.8%1.8M-23.4M-505.4K0.244.80N/AN/A6,5231,581114,28283,334
2010-04-07$14.68$15.0027.0%9.0%24.7%1.3%31.6%6.0%-0.9%1.8M-24.6M-501.4K0.534.37N/AN/A3,7151,978114,09783,892
2010-04-08$14.62$15.0026.6%9.2%24.8%0.9%32.9%6.4%-1.3%1.6M-20.5M-506.7K0.295.36N/AN/A7,5592,206114,09783,892
2010-04-09$14.73$15.0025.3%9.5%24.9%0.0%33.3%6.3%-2.2%2.0M-29.1M-523.4K0.124.03N/AN/A8,153986117,67585,237
2010-04-12$15.03$15.0027.0%9.7%25.1%2.0%33.9%4.9%-2.0%2.6M-44.7M-545.7K0.225.92N/AN/A10,1452,188121,15385,584
2010-04-13$15.25$15.0026.8%9.9%24.8%1.8%34.3%4.2%-1.6%3.1M-55.6M-557.4K0.466.23N/AN/A9,6034,374124,95486,411
2010-04-14$15.26$15.0025.8%10.2%24.7%0.6%35.8%4.2%-0.7%3.1M-57.2M-568.8K0.165.34N/AN/A11,5601,894128,26888,258
2010-04-15$15.19$15.0035.8%10.3%24.4%12.6%35.6%3.7%-1.4%3.1M-54.3M-562.3K0.135.13N/AN/A15,7782,070129,72989,010
2010-04-16$14.74$15.0034.9%10.0%26.6%11.5%36.0%5.0%-1.6%1.8M-31.4M-556.9K0.674.60N/AN/A10,8977,264135,68289,574
2010-04-19$14.68$15.0035.2%10.1%22.5%11.9%36.3%4.6%0.2%1.2M-27.2M-560.8K1.463.97N/AN/A4,7586,950121,90284,180
2010-04-20$14.77$15.0031.7%9.1%22.3%7.7%31.9%4.7%0.7%1.3M-30.1M-575.2K0.485.32N/AN/A8,5244,130124,14287,689
2010-04-21$14.95$15.0031.0%8.9%21.7%6.8%31.0%4.5%-1.6%1.5M-35.1M-581.6K0.725.67N/AN/A9,7727,048127,83090,119
2010-04-22$14.84$15.0027.4%7.9%21.8%2.5%27.6%3.5%2.3%1.5M-29.2M-576.9K0.425.59N/AN/A24,50810,381131,17492,054
2010-04-23$14.90$15.0027.3%7.8%21.5%2.4%27.9%4.9%2.7%1.6M-35.1M-606.5K0.296.11N/AN/A3,079902137,10194,244
2010-04-26$14.99$15.0028.1%8.0%21.1%3.3%28.2%4.9%2.2%1.6M-38.1M-597.7K0.836.62N/AN/A3,9123,254135,59992,996
2010-04-27$14.51$15.0031.0%8.9%23.4%6.8%31.5%6.2%2.1%1.2M-20.7M-581.4K0.519.63N/AN/A3,8111,926134,18393,775
2010-04-28$14.21$15.0034.2%9.8%24.6%11.5%33.0%4.7%1.1%954.3K-8.9M-575.2K0.316.36N/AN/A7,5572,346134,79794,485
2010-04-29$14.55$15.0031.2%8.9%24.8%7.6%31.4%4.8%1.5%1.3M-23.5M-599.5K0.315.70N/AN/A5,9531,852135,61095,369
2010-04-30$13.98$15.0034.3%9.8%27.8%11.6%32.6%5.0%1.4%852.7K617.3K-548.3K0.556.90N/AN/A5,6453,127136,13895,463