BX Options History — November 2010

In November 2010, BX traded between $12.80 and $14.18. ATM implied volatility averaged 34.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 7.6% (HV 20d: 26.7%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-11-09: Highest Volume — 120,356 contracts
  • 2010-11-16: Largest IV spike — 10.8% change
  • 2010-11-16: Highest IV Rank — 37.1%
  • 2010-11-16: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.50$12.80$14.18$13.45$12.80
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV34.3%31.6%37.6%35.0%37.1%
Expected Move9.9%9.1%10.8%10.0%10.6%
HV 20d26.7%23.1%29.6%23.8%28.5%
HV 60d32.2%30.7%35.5%34.7%30.9%
IV Rank25.5%13.3%37.1%20.4%35.6%
IV Percentile28.8%13.5%49.6%28.2%49.6%
Term Structure1.6%-0.3%3.8%-0.0%1.8%
VWIV35.6%32.7%39.8%36.2%37.5%
Skew 25d4.3%1.5%7.3%3.7%1.5%
Skew 10d4.4%-9.6%24.3%0.5%-1.8%
Call IV 25d33.3%29.0%37.5%33.2%37.5%
Put IV 25d37.5%34.2%41.0%37.0%38.9%
Bid-Ask Spread %5.044.176.715.134.81
Gamma HHI0.330.270.390.270.33
Net GEX2.1M1.4M2.6M2.2M2.0M
Net DEX-72.0M-111.1M-45.1M-75.9M-45.1M
Net VEX-764.7K-835.3K-680.8K-769.1K-680.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.010.980.110.25
Total Volume9,385.762639120,3566,6961,448
Total OI277,508.381256,507296,680282,824257,554

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$13.45$13.0035.0%10.0%23.8%20.4%36.2%3.7%-0.0%2.2M-75.9M-769.1K0.115.13N/AN/A6,042654202,54780,277
2010-11-02$13.99$13.0033.3%9.5%26.3%16.8%34.7%3.0%-0.3%2.4M-103.6M-826.6K0.176.71N/AN/A6,1681,072210,06180,304
2010-11-03$14.18$13.0033.0%9.5%26.3%16.2%33.7%3.6%0.0%2.4M-111.1M-825.8K0.985.66N/AN/A6,7716,654210,37080,826
2010-11-04$14.15$13.0031.6%9.1%25.9%13.3%36.4%3.2%1.5%2.4M-108.8M-829.5K0.585.33N/AN/A6,2163,578210,57384,227
2010-11-05$14.15$13.0032.0%9.5%25.6%14.1%34.5%5.4%0.6%2.5M-110.1M-835.3K0.235.15N/AN/A2,581601212,07684,604
2010-11-08$14.08$13.0033.0%9.6%23.8%23.2%39.8%5.2%0.4%2.5M-105.3M-826.7K0.085.22N/AN/A2,665225211,87284,471
2010-11-09$13.90$13.0034.0%9.6%23.7%26.1%32.7%5.6%0.6%2.6M-95.1M-816.3K0.015.49N/AN/A119,387969211,65084,494
2010-11-10$13.70$13.0033.0%9.6%23.1%23.2%35.4%6.4%1.4%2.2M-68.2M-798.9K0.375.09N/AN/A3,9601,467195,47484,753
2010-11-11$14.05$13.0033.3%9.6%24.4%24.3%35.1%7.3%1.2%2.4M-89.4M-825.6K0.324.56N/AN/A806255196,81183,771
2010-11-12$13.67$13.0034.2%9.8%26.3%27.0%36.3%4.9%1.1%2.2M-70.5M-788.5K0.555.19N/AN/A1,506831196,92382,938
2010-11-15$13.66$13.0033.9%9.7%26.3%26.0%34.5%5.0%0.8%2.3M-72.9M-780.7K0.114.82N/AN/A3,672414196,61882,890
2010-11-16$13.17$13.0037.6%10.8%29.4%37.1%39.2%4.8%1.3%1.7M-49.1M-751.8K0.874.66N/AN/A1,5911,384196,15682,523
2010-11-17$13.01$13.0036.7%10.5%29.6%34.4%37.1%4.3%2.1%1.6M-45.6M-721.9K0.604.30N/AN/A984586196,17482,048
2010-11-18$13.05$13.0035.3%10.1%27.7%30.2%35.9%4.1%3.2%1.4M-49.4M-729.4K0.394.17N/AN/A1,195462196,58181,966
2010-11-19$13.25$13.0034.0%9.8%28.0%26.3%33.9%3.7%3.4%1.7M-55.1M-740.6K0.914.57N/AN/A1,5451,407196,98481,974
2010-11-22$13.25$13.0034.0%9.8%28.0%26.4%34.7%1.7%3.8%2.1M-59.5M-714.2K0.474.52N/AN/A1,641766187,22269,285
2010-11-23$12.93$13.0034.9%10.0%29.0%28.9%35.4%4.5%2.5%2.0M-47.2M-701.7K0.514.70N/AN/A2,2331,146187,48569,715
2010-11-24$13.02$13.0033.8%9.7%29.0%25.5%33.7%4.4%3.3%2.1M-49.1M-702.3K0.715.38N/AN/A1,282905187,41170,332
2010-11-26$12.97$13.0034.5%9.9%28.6%27.9%34.4%3.7%2.6%2.0M-49.8M-699.4K0.684.54N/AN/A381258187,66570,126
2010-11-29$13.03$13.0035.9%10.3%27.9%32.1%35.8%3.5%1.8%2.0M-52.0M-694.3K0.145.79N/AN/A1,222171187,71470,231
2010-11-30$12.80$13.0037.1%10.6%28.5%35.6%37.5%1.5%1.8%2.0M-45.1M-680.8K0.254.81N/AN/A1,158290188,25169,303