BX Options History — October 2010

In October 2010, BX traded between $12.40 and $13.75. ATM implied volatility averaged 35.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.7% (HV 20d: 33.2%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-10-21: Highest Volume — 28,453 contracts
  • 2010-10-14: Largest IV spike — 23.3% change
  • 2010-10-26: Highest IV Rank — 32.7%
  • 2010-10-04: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.25$12.40$13.75$12.44$13.48
Max Pain$11.90$10.00$13.00$10.00$13.00
ATM IV35.8%28.6%40.9%40.9%34.4%
Expected Move10.9%9.8%12.4%11.7%9.9%
HV 20d33.2%23.8%37.7%37.4%23.8%
HV 60d37.4%34.6%40.1%40.1%34.9%
IV Rank22.1%6.9%32.7%32.7%19.1%
IV Percentile32.8%5.6%59.5%53.2%25.8%
Term Structure0.6%-3.6%4.3%4.3%-0.1%
VWIV38.3%33.6%42.8%42.8%33.6%
Skew 25d5.7%3.1%8.0%6.0%3.6%
Skew 10d12.9%-3.0%23.8%8.8%0.3%
Call IV 25d35.8%32.2%39.2%37.3%32.2%
Put IV 25d41.5%35.8%46.2%43.3%35.8%
Bid-Ask Spread %6.484.628.607.804.62
Gamma HHI0.290.240.330.240.27
Net GEX2.1M1.8M2.3M2.1M2.2M
Net DEX-96.6M-127.6M-74.8M-82.2M-76.9M
Net VEX-813.6K-853.4K-774.8K-790.1K-777.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.152.662.650.57
Total Volume6,823.2381,64328,4536,4352,930
Total OI283,695.238271,639301,805271,639281,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$12.44$10.0040.9%11.7%37.4%32.7%42.8%6.0%4.3%2.1M-82.2M-790.1K2.657.80N/AN/A1,7654,670204,07667,563
2010-10-04$12.40$11.0038.9%12.4%37.7%28.6%41.6%8.0%0.0%2.0M-79.7M-774.8K2.665.90N/AN/A2,2576,006204,50771,089
2010-10-05$12.67$11.0033.3%11.1%36.7%16.9%39.6%7.8%1.2%1.8M-90.3M-794.9K0.276.27N/AN/A4,5351,206205,62676,253
2010-10-06$12.66$11.0031.7%11.3%35.8%13.5%40.6%6.8%1.1%1.9M-88.1M-790.2K0.387.01N/AN/A11,1914,296206,92776,919
2010-10-07$12.92$12.0030.9%11.0%35.4%11.7%39.3%7.3%1.8%1.9M-99.4M-819.8K0.526.14N/AN/A3,1901,664209,63379,954
2010-10-08$13.12$12.0028.6%10.8%34.9%6.9%37.2%6.2%2.3%2.0M-108.7M-824.0K0.568.60N/AN/A4,3912,449211,31780,519
2010-10-11$13.52$12.0034.1%10.7%35.0%18.4%37.9%6.9%1.9%2.1M-121.4M-832.2K0.207.92N/AN/A7,4511,495212,52781,666
2010-10-12$13.33$12.0034.0%11.4%35.8%18.2%38.9%6.2%1.5%2.1M-117.9M-834.5K0.357.72N/AN/A6,6692,321214,40582,252
2010-10-13$13.63$12.0031.1%10.5%35.9%12.2%38.0%6.9%1.1%2.2M-127.6M-853.4K0.155.87N/AN/A5,236785216,87583,495
2010-10-14$13.50$12.0038.4%11.0%36.4%27.5%39.5%5.2%1.8%2.1M-124.9M-840.5K0.214.95N/AN/A4,147889217,84883,957
2010-10-15$13.38$12.0039.1%11.2%37.1%29.0%39.4%5.7%1.4%2.1M-114.6M-831.8K0.436.81N/AN/A2,9601,273215,06183,869
2010-10-18$13.46$12.0037.6%10.8%37.1%25.8%37.3%5.8%1.3%2.1M-94.5M-824.4K1.646.65N/AN/A8351,367199,07872,563
2010-10-19$13.39$12.0038.7%11.1%37.0%28.3%37.9%6.9%0.7%2.2M-91.9M-823.6K0.365.43N/AN/A3,1371,131199,52173,098
2010-10-20$13.38$12.0038.5%11.0%36.4%27.7%37.6%6.8%0.8%2.2M-91.6M-823.8K0.245.98N/AN/A1,325318199,65073,575
2010-10-21$13.75$12.0034.3%9.8%32.5%19.0%35.7%4.6%0.8%2.3M-105.1M-828.0K1.898.36N/AN/A9,86218,591199,88773,638
2010-10-22$13.55$12.0035.9%10.3%27.1%22.3%37.0%4.3%-0.9%2.0M-87.5M-828.3K0.245.78N/AN/A4,4201,040200,18282,953
2010-10-25$13.55$12.0037.5%10.8%27.1%25.7%38.7%4.3%-2.5%2.2M-87.8M-807.9K1.345.65N/AN/A1,5742,113201,29675,832
2010-10-26$13.39$12.0040.9%11.7%26.9%32.7%40.6%3.5%-3.6%2.2M-82.7M-800.2K1.645.55N/AN/A1,7642,888201,57575,742
2010-10-27$13.47$13.0039.1%11.2%25.2%29.0%37.1%3.4%-2.6%2.1M-81.8M-798.3K0.427.12N/AN/A2,7281,154201,71478,086
2010-10-28$13.26$13.0034.3%9.8%24.8%18.9%33.8%3.1%0.9%2.2M-74.8M-788.2K0.745.96N/AN/A3,0342,231202,46378,836
2010-10-29$13.48$13.0034.4%9.9%23.8%19.1%33.6%3.6%-0.1%2.2M-76.9M-777.6K0.574.62N/AN/A1,8711,059201,61479,959