BX Options History — January 2011

In January 2011, BX traded between $14.76 and $16.12. ATM implied volatility averaged 32.2%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.0% (HV 20d: 30.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-01-03: Highest Volume — 18,500 contracts
  • 2011-01-13: Largest IV spike — 24.4% change
  • 2011-01-20: Highest IV Rank — 35.5%
  • 2011-01-20: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.40$14.76$16.12$14.79$15.73
Max Pain$13.55$12.50$15.00$12.50$15.00
ATM IV32.2%26.2%37.0%27.2%35.1%
Expected Move9.6%7.8%10.6%7.8%10.1%
HV 20d30.2%26.3%34.4%28.1%34.1%
HV 60d30.5%29.2%31.8%30.2%31.7%
IV Rank20.8%2.6%35.5%5.9%29.6%
IV Percentile28.0%1.2%56.0%4.4%44.0%
Term Structure0.5%-2.8%4.6%4.6%-2.8%
VWIV34.4%27.8%38.0%27.8%36.4%
Skew 25d5.0%3.3%7.7%4.2%5.9%
Skew 10d13.4%0.4%29.0%18.4%16.0%
Call IV 25d32.4%27.9%36.1%27.9%33.8%
Put IV 25d37.4%32.1%41.3%32.1%39.7%
Bid-Ask Spread %7.624.0411.955.405.92
Gamma HHI0.480.390.610.570.45
Net GEX2.6M1.5M4.4M2.3M1.7M
Net DEX-125.2M-164.0M-102.4M-111.0M-109.4M
Net VEX-710.3K-757.9K-674.7K-742.2K-702.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.073.320.490.16
Total Volume6,217.61,83218,50018,5003,868
Total OI239,963.15178,523266,263249,123194,159

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$14.79$12.5027.2%7.8%28.1%5.9%27.8%4.2%4.6%2.3M-111.0M-742.2K0.495.40N/AN/A12,4396,061179,65769,466
2011-01-04$14.97$12.5028.2%8.1%28.3%8.8%28.7%4.4%3.5%2.7M-120.7M-757.9K0.204.83N/AN/A2,116431185,65374,876
2011-01-05$14.96$12.5029.6%8.5%28.3%13.0%30.3%3.6%3.4%2.7M-119.8M-754.0K0.475.74N/AN/A1,243589185,92474,971
2011-01-06$14.98$12.5028.9%8.3%28.1%10.9%28.9%3.3%4.1%2.6M-120.2M-750.6K0.394.04N/AN/A5,8032,245186,35075,325
2011-01-07$14.91$13.0027.7%9.4%28.1%7.2%34.8%5.3%2.7%2.8M-118.1M-757.8K0.078.84N/AN/A10,470770189,64376,620
2011-01-10$14.76$13.0029.4%9.7%28.3%12.4%35.2%4.5%1.0%2.7M-105.1M-703.8K0.287.58N/AN/A1,473413183,80876,892
2011-01-11$14.95$13.0026.2%9.9%27.6%2.6%33.0%6.3%0.3%2.9M-114.7M-708.7K0.4110.67N/AN/A2,453997184,24877,173
2011-01-12$15.28$13.0027.0%9.8%28.3%5.3%34.0%4.7%1.0%3.0M-131.1M-712.7K0.5610.11N/AN/A3,0671,714185,04477,416
2011-01-13$15.70$13.0033.6%9.6%29.2%25.2%35.1%6.0%-1.4%2.9M-150.7M-705.1K0.289.35N/AN/A5,0381,407185,89976,740
2011-01-14$15.96$13.0034.0%9.8%26.3%26.4%35.7%7.7%-0.9%2.7M-161.5M-705.6K0.2310.79N/AN/A4,026913185,72176,447
2011-01-18$15.31$13.0036.5%10.5%31.8%34.0%37.3%3.6%0.1%3.1M-136.6M-699.5K0.488.02N/AN/A2,4041,146186,23176,619
2011-01-19$15.12$13.0036.7%10.5%32.5%34.5%36.3%3.4%-0.0%3.5M-127.5M-680.5K0.2311.95N/AN/A2,733619185,87077,053
2011-01-20$15.33$14.0037.0%10.6%30.4%35.5%37.3%6.5%-0.4%3.2M-136.9M-688.0K0.4111.29N/AN/A3,8121,544186,21777,342
2011-01-21$15.96$14.0034.1%9.8%32.8%26.7%36.5%6.5%-1.3%4.4M-164.0M-674.7K0.206.29N/AN/A5,9641,200186,00477,790
2011-01-24$15.94$14.0035.2%10.1%32.5%30.0%36.5%3.6%-0.8%2.4M-124.7M-681.1K3.325.39N/AN/A3,74812,434134,21544,308
2011-01-25$15.76$15.0036.0%10.3%32.0%32.2%38.0%5.2%-1.1%1.8M-111.6M-699.5K0.926.99N/AN/A2,3252,132135,75155,800
2011-01-26$15.81$15.0033.1%9.5%31.4%23.6%33.4%5.5%0.2%1.9M-114.6M-698.0K0.136.99N/AN/A6,605861136,47455,907
2011-01-27$16.12$15.0033.0%9.5%31.6%23.2%34.4%5.4%0.2%1.8M-123.2M-693.0K0.366.08N/AN/A1,522544134,73057,150
2011-01-28$15.58$15.0035.1%10.1%34.4%29.6%37.2%4.6%-1.8%1.5M-102.4M-691.1K0.176.17N/AN/A6,1521,071132,62357,147
2011-01-31$15.73$15.0035.1%10.1%34.1%29.6%36.4%5.9%-2.8%1.7M-109.4M-702.2K0.165.92N/AN/A3,323545136,43057,729