BX Options History — April 2011

In April 2011, BX traded between $18.00 and $19.49. ATM implied volatility averaged 33.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.4% (HV 20d: 32.8%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-04-26: Highest Volume — 39,348 contracts
  • 2011-04-11: Largest IV spike — 14.2% change
  • 2011-04-11: Highest IV Rank — 37.4%
  • 2011-04-18: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.70$18.00$19.49$18.18$18.94
Max Pain$17.50$16.00$18.00$16.00$18.00
ATM IV33.2%29.5%38.2%31.0%30.3%
Expected Move9.7%8.5%10.9%8.9%8.7%
HV 20d32.8%29.7%36.5%36.5%29.7%
HV 60d33.3%32.2%34.2%33.6%32.2%
IV Rank22.5%10.5%37.4%17.4%12.9%
IV Percentile28.7%6.7%64.7%15.9%9.1%
Term Structure-0.1%-2.5%2.6%2.6%1.5%
VWIV34.7%30.4%38.5%31.5%33.2%
Skew 25d6.2%3.9%8.2%4.2%5.0%
Skew 10d13.4%8.2%23.9%10.8%10.0%
Call IV 25d31.6%27.3%36.4%29.4%29.0%
Put IV 25d37.8%31.6%42.4%33.6%34.0%
Bid-Ask Spread %6.234.2611.115.986.01
Gamma HHI0.180.160.210.170.16
Net GEX2.8M2.3M3.0M2.6M3.0M
Net DEX-137.1M-155.8M-107.4M-124.6M-134.5M
Net VEX-723.4K-840.9K-673.2K-726.3K-826.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.070.900.280.09
Total Volume7,457.82,07839,3482,0785,614
Total OI194,347.3178,409222,678187,237222,678

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$18.18$16.0031.0%8.9%36.5%17.4%31.5%4.2%2.6%2.6M-124.6M-726.3K0.285.98N/AN/A1,621457132,45154,786
2011-04-04$18.78$17.0031.2%9.7%36.0%17.9%36.3%7.8%-0.2%2.7M-144.5M-708.3K0.0911.11N/AN/A10,307956133,12655,038
2011-04-05$18.94$17.0031.9%9.9%36.1%19.9%33.7%8.2%0.0%2.9M-155.0M-734.0K0.205.73N/AN/A5,9231,212137,40755,148
2011-04-06$19.00$17.0031.9%10.0%35.8%19.8%36.9%8.2%-0.8%2.9M-155.8M-735.9K0.076.09N/AN/A6,759474138,62655,804
2011-04-07$18.71$18.0032.3%10.1%35.4%21.1%37.9%7.8%-0.7%3.0M-147.2M-735.3K0.415.80N/AN/A1,536632139,78256,046
2011-04-08$18.49$17.0033.3%10.8%35.2%22.9%36.6%7.6%-1.7%3.0M-142.3M-689.0K0.326.73N/AN/A4,1871,344138,56856,216
2011-04-11$18.00$17.0038.0%10.6%36.0%37.4%36.1%7.9%-0.6%2.8M-123.4M-706.7K0.774.26N/AN/A3,5682,735139,36057,085
2011-04-12$18.10$17.0037.0%10.6%34.6%34.3%33.5%7.0%-1.1%2.8M-123.3M-701.6K0.644.83N/AN/A1,8211,164138,00358,240
2011-04-13$18.28$17.0035.1%10.5%32.3%27.7%36.5%7.4%-0.5%2.9M-128.8M-701.5K0.126.96N/AN/A6,680804136,12458,229
2011-04-14$18.36$17.0037.0%10.6%32.1%33.7%36.4%6.8%0.1%3.0M-133.8M-688.0K0.516.13N/AN/A2,9381,510138,09258,381
2011-04-15$18.58$18.0036.0%10.3%32.0%30.3%37.5%6.1%-1.9%2.4M-139.5M-713.3K0.165.13N/AN/A5,372835138,74458,947
2011-04-18$18.06$18.0038.2%10.9%29.9%37.2%38.5%5.7%-2.5%2.3M-107.4M-707.7K0.756.05N/AN/A2,5861,930126,18852,221
2011-04-19$18.20$18.0035.2%10.1%30.0%28.0%35.3%5.7%-1.7%2.3M-109.8M-705.2K0.365.79N/AN/A3,1591,138126,55753,378
2011-04-20$19.00$18.0033.4%9.6%31.0%22.4%36.0%5.8%-0.3%2.5M-136.0M-680.1K0.157.52N/AN/A7,7811,197126,60153,565
2011-04-21$19.31$18.0029.5%8.5%30.7%10.5%30.8%4.3%1.5%2.8M-147.7M-681.4K0.907.00N/AN/A5,5394,972128,49553,842
2011-04-25$19.06$18.0030.3%8.7%31.0%12.7%31.5%3.9%1.0%2.8M-140.7M-673.2K0.176.06N/AN/A4,005664129,62855,931
2011-04-26$19.46$18.0031.1%8.9%31.7%15.5%31.9%5.3%0.9%2.9M-153.1M-681.9K0.886.48N/AN/A20,97318,375130,61756,328
2011-04-27$19.49$18.0031.0%8.9%29.7%15.1%33.7%5.4%0.2%3.0M-154.6M-832.6K0.385.91N/AN/A2,057786145,58672,352
2011-04-28$19.15$18.0030.4%8.7%29.8%13.2%30.4%4.6%1.3%3.0M-140.8M-840.9K0.605.04N/AN/A3,4652,080146,22872,548
2011-04-29$18.94$18.0030.3%8.7%29.7%12.9%33.2%5.0%1.5%3.0M-134.5M-826.0K0.096.01N/AN/A5,131483148,40174,277