BX Options History — August 2010

In August 2010, BX traded between $10.02 and $11.70. ATM implied volatility averaged 40.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.0% (HV 20d: 42.5%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-08-10: Highest Volume — 12,825 contracts
  • 2010-08-17: Largest IV drop — 12.9% change
  • 2010-08-16: Highest IV Rank — 45.5%
  • 2010-08-16: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.74$10.02$11.70$11.70$10.09
Max Pain$11.73$10.00$13.00$10.00$12.00
ATM IV40.5%35.2%46.9%35.9%39.7%
Expected Move11.7%10.1%13.5%10.3%11.4%
HV 20d42.5%35.3%47.2%47.1%35.5%
HV 60d43.6%41.2%47.8%47.8%41.2%
IV Rank31.2%17.0%45.5%18.3%30.3%
IV Percentile42.6%22.6%64.3%26.6%39.3%
Term Structure2.4%-0.0%5.3%2.5%4.9%
VWIV41.9%37.3%46.7%43.1%40.3%
Skew 25d5.2%-10.7%8.1%6.9%4.4%
Skew 10d7.2%-17.7%18.3%13.1%3.4%
Call IV 25d39.8%35.2%44.4%35.7%39.9%
Put IV 25d45.0%31.0%50.9%42.6%44.2%
Bid-Ask Spread %6.414.568.566.694.56
Gamma HHI0.290.190.410.240.26
Net GEX955.5K374.1K1.4M1.4M603.6K
Net DEX10.1M-13.5M22.1M-13.5M22.1M
Net VEX-405.6K-474.3K-349.2K-474.3K-354.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.091.010.250.62
Total Volume4,475.6821,53112,8255,2701,905
Total OI244,418.273227,967256,945247,644233,211

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$11.70$10.0035.9%10.3%47.1%18.3%43.1%6.9%2.5%1.4M-13.5M-474.3K0.256.69N/AN/A4,2121,058159,18088,464
2010-08-03$11.50$10.0039.9%11.4%47.2%25.2%42.3%6.4%0.7%1.4M-8.1M-465.5K0.336.50N/AN/A2,364787160,64488,635
2010-08-04$11.56$10.0035.2%10.1%46.1%17.0%37.3%5.7%3.0%1.4M-9.4M-463.0K0.095.21N/AN/A1,651149160,32889,253
2010-08-05$11.51$10.0035.3%10.1%42.0%17.2%40.5%6.1%0.9%1.4M-7.6M-455.8K0.186.95N/AN/A5,099942161,31989,311
2010-08-06$11.33$13.0037.3%11.6%41.5%25.3%42.8%7.1%1.4%1.3M-1.4M-451.8K0.217.36N/AN/A3,081652160,90188,995
2010-08-09$11.36$13.0039.0%11.6%40.7%28.8%38.8%7.7%1.7%1.4M-1.2M-436.9K0.156.01N/AN/A2,675391161,02988,972
2010-08-10$10.99$12.0037.1%11.5%42.3%24.7%40.1%6.6%1.7%1.3M8.0M-413.7K0.158.56N/AN/A11,1841,641162,02789,103
2010-08-11$10.57$12.0040.8%11.7%43.7%32.6%41.8%8.1%2.7%964.6K18.3M-396.5K0.547.91N/AN/A1,833998159,46489,444
2010-08-12$11.01$12.0041.0%11.7%45.1%32.9%40.4%7.9%2.6%1.3M6.8M-424.7K0.936.20N/AN/A2,5992,406159,15688,533
2010-08-13$10.63$12.0042.7%12.2%45.0%36.5%45.2%7.2%2.7%995.6K14.5M-403.0K1.017.13N/AN/A2,8402,871159,93287,842
2010-08-16$10.38$12.0046.9%13.5%45.8%45.5%44.9%5.5%0.9%737.0K20.5M-385.5K0.907.62N/AN/A1,1881,073160,04389,998
2010-08-17$10.63$12.0040.9%11.7%46.0%32.7%44.5%5.7%1.9%1.0M15.6M-393.9K0.567.67N/AN/A1,9451,098160,75589,114
2010-08-18$10.56$12.0040.5%11.6%46.1%32.0%42.9%6.3%1.7%962.4K16.8M-382.6K0.647.23N/AN/A5,4793,484161,53788,924
2010-08-19$10.26$12.0045.6%13.1%44.7%42.7%43.8%4.5%2.5%451.3K20.2M-382.2K0.276.80N/AN/A1,965537165,37491,571
2010-08-20$10.18$12.0043.4%12.4%40.9%38.0%43.2%3.0%3.3%374.1K20.3M-379.9K0.716.46N/AN/A2,7851,979165,48990,241
2010-08-23$10.57$12.0041.4%11.9%40.7%33.9%41.4%4.9%1.1%632.4K12.5M-400.9K0.295.77N/AN/A3,5721,044147,51280,455
2010-08-24$10.43$12.0046.8%13.4%40.3%45.1%46.7%7.9%-0.0%619.5K16.5M-376.4K0.235.98N/AN/A7,5051,732148,86780,686
2010-08-25$10.37$12.0041.6%11.9%39.9%34.2%42.1%4.0%2.5%745.7K14.0M-381.6K0.155.50N/AN/A5,879895152,82781,454
2010-08-26$10.28$12.0039.7%11.4%39.8%30.3%41.0%-10.7%5.3%670.6K18.1M-377.0K0.575.49N/AN/A1,137649150,39781,479
2010-08-27$10.29$12.0039.5%11.3%39.7%29.9%38.1%5.1%4.8%714.6K17.8M-375.0K0.444.89N/AN/A1,060471150,85781,248
2010-08-30$10.02$12.0041.3%11.9%35.3%33.7%41.5%3.5%4.3%596.4K21.4M-349.2K0.404.59N/AN/A1,182468151,14781,484
2010-08-31$10.09$12.0039.7%11.4%35.5%30.3%40.3%4.4%4.9%603.6K22.1M-354.0K0.624.56N/AN/A1,178727151,54981,662