BX Options History — May 2010

In May 2010, BX traded between $10.50 and $14.43. ATM implied volatility averaged 47.6%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 1.1% (HV 20d: 48.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-05-06: Highest Volume — 27,762 contracts
  • 2010-05-14: Largest IV spike — 24.2% change
  • 2010-05-20: Highest IV Rank — 57.1%
  • 2010-05-20: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.09$10.50$14.43$14.43$10.65
Max Pain$14.75$14.00$15.00$15.00$14.00
ATM IV47.6%32.8%58.5%32.8%45.6%
Expected Move13.7%9.4%16.8%9.4%13.1%
HV 20d48.7%29.8%56.6%29.8%56.0%
HV 60d35.6%27.0%40.4%27.0%40.4%
IV Rank35.2%9.7%57.1%9.7%35.0%
IV Percentile49.4%17.1%79.4%17.1%43.7%
Term Structure1.0%-1.2%3.7%1.9%3.2%
VWIV48.3%31.5%56.5%31.5%48.5%
Skew 25d9.0%3.0%14.8%4.6%7.3%
Skew 10d19.1%6.7%30.8%6.7%13.1%
Call IV 25d45.3%29.9%53.0%29.9%46.1%
Put IV 25d54.3%34.5%67.8%34.5%53.4%
Bid-Ask Spread %7.095.1013.676.907.29
Gamma HHI0.170.140.240.240.16
Net GEX146.8K-432.0K1.2M1.2M-103.4K
Net DEX32.8M-14.6M51.2M-14.6M43.6M
Net VEX-433.6K-578.0K-316.7K-578.0K-316.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.242.720.280.51
Total Volume9,983.83,74627,7626,0974,629
Total OI237,288.3211,369259,132232,753218,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$14.43$15.0032.8%9.4%29.8%9.7%31.5%4.6%1.9%1.2M-14.6M-578.0K0.286.90N/AN/A4,7681,329135,94396,810
2010-05-04$13.88$15.0036.5%10.5%32.5%14.5%37.6%3.0%1.7%686.2K5.1M-545.1K0.3910.06N/AN/A9,2593,608136,17897,237
2010-05-05$13.30$15.0041.4%11.9%35.4%20.8%44.7%5.7%0.3%409.5K18.9M-524.7K0.767.37N/AN/A5,2934,020139,97998,900
2010-05-06$12.61$15.0049.7%14.3%39.3%32.4%53.6%6.8%-0.1%146.3K32.2M-492.1K1.3813.67N/AN/A11,66816,094137,663100,157
2010-05-07$12.17$15.0053.5%15.4%40.1%37.3%52.4%10.2%-1.2%88.2K39.0M-471.0K0.758.06N/AN/A6,3584,774140,714101,960
2010-05-10$13.18$15.0044.0%12.9%50.2%24.9%45.3%9.5%2.2%434.4K21.9M-515.4K0.678.46N/AN/A6,9594,679142,732102,882
2010-05-11$13.02$15.0044.1%12.8%49.6%24.9%48.2%9.3%2.7%380.8K26.1M-499.3K1.055.99N/AN/A1,8261,920143,711102,248
2010-05-12$12.99$15.0040.1%12.2%49.6%19.7%40.4%8.3%3.3%387.0K26.1M-492.2K0.246.63N/AN/A4,5051,103144,094103,138
2010-05-13$13.00$15.0040.9%11.7%49.7%20.7%41.8%7.5%3.7%405.2K25.8M-485.5K0.686.18N/AN/A2,6821,816144,800102,025
2010-05-14$12.25$15.0050.8%14.6%52.4%43.9%49.5%11.5%0.4%149.1K34.7M-449.3K1.036.02N/AN/A5,9346,141145,98299,243
2010-05-17$12.08$15.0052.4%15.0%52.4%46.6%51.3%10.8%-1.0%81.2K37.6M-424.8K0.635.67N/AN/A3,5322,228147,76298,564
2010-05-18$11.63$15.0051.4%14.7%53.0%45.0%54.9%11.8%-0.5%-58.8K44.4M-389.0K0.555.10N/AN/A3,9392,178147,84598,458
2010-05-19$11.55$15.0048.8%14.0%52.3%40.4%53.4%8.3%1.6%-86.0K44.9M-386.4K1.525.67N/AN/A9,43014,378148,16498,175
2010-05-20$11.00$15.0058.5%16.8%53.7%57.1%56.5%14.8%-1.2%-106.9K48.6M-370.4K2.726.79N/AN/A3,80410,356150,487104,555
2010-05-21$11.07$15.0055.4%15.9%53.8%51.7%53.7%12.7%0.5%-432.0K51.2M-373.4K1.466.32N/AN/A3,9835,807150,967108,165
2010-05-24$10.50$14.0058.2%16.7%54.9%56.6%52.0%12.4%-0.8%-111.9K43.9M-327.0K1.416.42N/AN/A3,8145,382117,38093,989
2010-05-25$10.63$14.0049.9%14.3%55.6%42.4%50.3%8.9%1.0%-187.1K45.0M-339.3K0.527.03N/AN/A7,6313,935118,47597,538
2010-05-26$10.80$14.0051.2%14.7%56.6%44.7%52.2%7.8%0.1%-158.8K41.5M-345.5K0.306.46N/AN/A3,7561,119119,01395,990
2010-05-27$11.02$14.0046.0%13.2%56.3%35.7%47.6%8.2%1.7%-173.4K41.1M-346.9K0.335.64N/AN/A3,7761,263120,47795,321
2010-05-28$10.65$14.0045.6%13.1%56.0%35.0%48.5%7.3%3.2%-103.4K43.6M-316.7K0.517.29N/AN/A3,0641,565123,06894,977