BX Options History — September 2010

In September 2010, BX traded between $10.00 and $12.69. ATM implied volatility averaged 36.6%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.0% (HV 20d: 34.6%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-09-24: Highest Volume — 44,650 contracts
  • 2010-09-09: Largest IV spike — 21.7% change
  • 2010-09-09: Highest IV Rank — 36.2%
  • 2010-09-07: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.93$10.00$12.69$10.44$12.69
Max Pain$9.38$9.00$11.00$11.00$10.00
ATM IV36.6%31.8%42.5%36.4%34.4%
Expected Move10.9%9.9%12.7%10.4%9.9%
HV 20d34.6%28.2%38.9%38.1%37.4%
HV 60d41.2%39.6%41.9%41.7%41.6%
IV Rank23.9%13.7%36.2%23.4%19.1%
IV Percentile31.7%13.5%55.6%29.4%22.2%
Term Structure3.2%0.1%7.7%6.6%4.7%
VWIV38.8%34.6%44.4%35.3%39.0%
Skew 25d5.7%-6.4%14.2%-0.4%14.2%
Skew 10d8.0%-15.2%29.6%-9.4%29.6%
Call IV 25d35.7%27.7%41.9%35.3%27.7%
Put IV 25d41.4%30.6%47.9%35.0%41.9%
Bid-Ask Spread %6.964.949.496.748.54
Gamma HHI0.340.240.580.330.25
Net GEX1.4M732.1K2.7M809.3K2.1M
Net DEX-13.7M-89.2M18.2M14.4M-89.2M
Net VEX-496.5K-790.9K-348.1K-360.6K-790.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.027.980.260.14
Total Volume10,078.90599444,6503,3047,921
Total OI245,848.143204,315270,062230,878270,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$10.44$11.0036.4%10.4%38.1%23.4%35.3%-0.4%6.6%809.3K14.4M-360.6K0.266.74N/AN/A2,617687151,97378,905
2010-09-02$10.23$11.0035.6%10.2%38.5%21.6%37.1%-6.4%7.7%732.1K18.2M-348.1K0.485.73N/AN/A673321153,08579,050
2010-09-03$10.35$9.0031.8%12.2%38.8%13.7%41.2%5.5%0.9%833.7K13.9M-361.5K0.048.73N/AN/A29,1241,261153,15178,185
2010-09-07$10.19$9.0035.2%12.7%38.9%20.9%43.1%5.3%0.1%980.3K7.9M-430.0K0.496.11N/AN/A1,410687177,91778,057
2010-09-08$10.05$9.0034.9%12.6%37.6%20.3%43.9%8.2%0.8%832.9K11.3M-421.5K0.785.64N/AN/A1,226962178,77278,498
2010-09-09$10.00$9.0042.5%12.2%35.4%36.2%44.4%4.6%1.0%760.2K13.3M-414.8K0.205.30N/AN/A1,694346179,47779,234
2010-09-10$10.29$9.0042.4%12.1%33.6%35.8%42.0%4.7%0.8%976.7K7.9M-424.0K0.586.42N/AN/A2,9001,686179,90979,050
2010-09-13$10.60$9.0036.5%10.5%33.4%23.7%38.2%6.7%2.2%1.5M1.3M-441.2K0.244.94N/AN/A3,099734181,25579,719
2010-09-14$10.56$9.0036.5%10.5%32.2%23.6%39.4%6.4%2.2%1.5M2.7M-431.0K0.296.18N/AN/A2,964856181,45679,649
2010-09-15$10.77$9.0035.9%10.3%31.9%22.3%36.4%5.6%3.4%2.1M-1.8M-433.6K0.076.17N/AN/A5,429394181,20179,952
2010-09-16$10.77$9.0036.5%10.5%31.7%23.5%37.2%3.4%2.8%2.1M-3.1M-456.0K0.356.58N/AN/A2,500870183,27079,865
2010-09-17$10.85$9.0034.7%10.0%29.8%19.8%35.8%5.6%4.3%2.7M-1.6M-450.5K7.986.98N/AN/A2,10616,803183,34479,852
2010-09-20$11.03$9.0034.5%9.9%29.9%19.3%34.6%5.8%3.6%777.3K-12.6M-465.5K0.127.97N/AN/A12,1861,508138,46765,848
2010-09-21$11.31$9.0036.8%10.5%28.3%24.2%36.6%7.6%4.0%1.0M-22.3M-494.6K0.218.42N/AN/A7,8371,681146,72066,544
2010-09-22$11.18$9.0036.5%10.5%28.2%23.6%36.3%4.3%4.2%1.2M-20.4M-493.8K0.287.53N/AN/A2,144609150,30167,286
2010-09-23$10.77$9.0038.3%11.0%31.6%27.3%35.8%4.5%3.3%1.1M-11.9M-478.4K0.607.99N/AN/A1,230740150,49367,654
2010-09-24$11.50$9.0039.6%11.3%38.5%30.0%38.5%11.7%2.8%1.2M-28.8M-517.0K0.026.60N/AN/A43,828822151,08668,063
2010-09-27$11.67$10.0035.1%10.1%38.6%20.5%39.0%5.7%3.4%1.7M-49.4M-699.0K0.379.49N/AN/A5,3832,015190,13768,339
2010-09-28$11.99$10.0035.5%10.2%37.2%21.4%39.3%7.7%5.3%1.7M-60.6M-734.1K0.297.59N/AN/A16,6234,781191,88868,600
2010-09-29$12.37$10.0039.9%11.4%38.0%30.6%42.3%9.2%2.0%1.9M-76.5M-781.0K0.136.57N/AN/A18,6312,369200,08066,417
2010-09-30$12.69$10.0034.4%9.9%37.4%19.1%39.0%14.2%4.7%2.1M-89.2M-790.9K0.148.54N/AN/A6,971950203,04367,019