BX Options History — July 2010

In July 2010, BX traded between $9.20 and $11.70. ATM implied volatility averaged 42.4%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 2.2% (HV 20d: 44.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-07-22: Highest Volume — 37,126 contracts
  • 2010-07-07: Largest IV drop — 19.9% change
  • 2010-07-06: Highest IV Rank — 43.6%
  • 2010-07-06: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$9.20$11.70$9.47$11.15
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV42.4%35.5%50.6%49.4%37.8%
Expected Move12.2%10.2%14.2%14.2%10.8%
HV 20d44.6%36.1%49.9%38.3%45.7%
HV 60d47.0%43.2%49.9%43.2%47.9%
IV Rank29.5%17.6%43.6%41.5%21.5%
IV Percentile42.9%24.2%62.7%59.9%31.3%
Term Structure1.0%-2.7%2.8%1.4%2.3%
VWIV42.7%36.7%48.9%44.5%44.5%
Skew 25d9.1%7.2%10.7%9.3%7.2%
Skew 10d18.4%13.5%22.8%20.6%14.2%
Call IV 25d39.3%31.1%45.0%44.4%36.1%
Put IV 25d48.4%41.1%54.6%53.7%43.3%
Bid-Ask Spread %6.895.359.626.529.62
Gamma HHI0.270.180.360.200.28
Net GEX652.4K118.8K1.3M139.0K1.2M
Net DEX21.2M-7.3M41.4M39.3M861.8K
Net VEX-315.2K-465.3K-216.3K-242.5K-446.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.121.841.620.45
Total Volume7,603.7621,77937,1264,7451,779
Total OI218,348.476200,101247,600200,633247,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$9.47$10.0049.4%14.2%38.3%41.5%44.5%9.3%1.4%139.0K39.3M-242.5K1.626.52N/AN/A1,8122,933116,93183,702
2010-07-02$9.34$10.0048.3%13.9%36.7%39.6%44.1%10.7%2.8%144.7K39.6M-234.1K0.168.49N/AN/A2,162355117,05783,044
2010-07-06$9.20$10.0050.6%14.2%36.1%43.6%47.2%9.5%0.1%118.8K41.4M-216.3K0.327.82N/AN/A3,040959118,25183,149
2010-07-07$9.56$10.0040.6%12.1%38.8%26.3%42.9%8.1%0.9%182.3K39.6M-230.1K1.846.69N/AN/A4,2507,799118,45183,740
2010-07-08$10.17$10.0040.3%12.2%44.9%25.8%42.0%9.4%2.3%350.7K31.7M-271.0K0.186.25N/AN/A6,2571,106120,75688,587
2010-07-09$10.50$10.0040.7%12.2%43.5%26.6%39.6%9.0%2.5%541.4K25.5M-289.2K0.287.27N/AN/A7,6192,156123,13488,939
2010-07-12$10.31$10.0047.3%12.7%43.7%37.9%41.6%8.8%1.2%604.1K27.2M-277.7K0.136.23N/AN/A3,135418126,87789,831
2010-07-13$10.54$10.0041.5%11.2%44.0%28.0%41.1%8.9%2.2%747.0K22.6M-289.1K0.157.48N/AN/A4,400672128,58190,078
2010-07-14$10.28$10.0041.5%13.3%44.0%27.9%46.7%9.5%0.4%635.4K26.0M-278.7K1.057.22N/AN/A3,5283,704129,89190,056
2010-07-15$10.56$10.0039.2%11.2%45.2%23.9%42.6%8.4%2.4%760.1K21.6M-280.7K0.328.21N/AN/A3,6911,187130,75789,047
2010-07-16$10.19$10.0044.4%12.7%46.8%32.8%48.9%9.0%1.3%736.7K25.7M-270.2K1.595.35N/AN/A2,5444,047132,12888,286
2010-07-19$10.10$10.0045.1%12.9%46.8%34.1%45.2%8.8%-1.2%361.6K31.2M-255.8K0.446.19N/AN/A4,2831,868118,15482,371
2010-07-20$10.31$10.0044.3%12.7%47.5%32.7%42.3%10.3%-0.6%442.7K30.2M-256.1K0.236.83N/AN/A2,571597119,62782,744
2010-07-21$10.31$10.0046.5%13.3%46.4%36.5%43.1%10.7%-2.7%479.2K28.0M-257.7K0.356.93N/AN/A3,6441,285120,67982,765
2010-07-22$10.74$10.0037.5%10.8%48.4%21.0%39.3%7.6%1.9%612.4K24.5M-271.9K0.225.46N/AN/A30,3116,815121,77983,597
2010-07-23$11.25$10.0035.5%10.2%49.4%17.6%36.7%10.0%2.2%930.4K6.5M-412.7K0.316.93N/AN/A7,1932,219144,71688,656
2010-07-26$11.70$10.0036.2%10.4%49.7%18.8%39.8%9.8%0.7%1.1M-7.3M-453.5K0.126.19N/AN/A13,1691,638147,14688,775
2010-07-27$11.44$10.0042.7%12.2%49.9%29.9%39.5%8.8%-0.5%1.1M-5.2M-465.3K0.125.35N/AN/A6,911841154,63888,437
2010-07-28$11.23$10.0042.5%12.2%45.5%29.6%43.5%8.9%0.2%1.2M-616.5K-458.9K0.446.23N/AN/A2,6361,159157,28188,289
2010-07-29$11.30$10.0039.5%11.3%45.5%24.5%41.2%8.2%1.6%1.3M-3.0M-461.1K0.367.41N/AN/A2,201785158,43988,352
2010-07-30$11.15$10.0037.8%10.8%45.7%21.5%44.5%7.2%2.3%1.2M861.8K-446.8K0.459.62N/AN/A1,228551158,99588,605