BX Options History — May 2011

In May 2011, BX traded between $16.55 and $18.65. ATM implied volatility averaged 32.8%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.5% (HV 20d: 28.3%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-05-11: Highest Volume — 13,379 contracts
  • 2011-05-04: Largest IV spike — 9.1% change
  • 2011-05-17: Highest IV Rank — 31.5%
  • 2011-05-17: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$16.55$18.65$18.65$17.24
Max Pain$17.19$17.00$18.00$18.00$17.00
ATM IV32.8%28.6%36.3%31.3%29.1%
Expected Move9.4%8.2%10.4%9.0%8.3%
HV 20d28.3%24.3%31.9%29.9%26.2%
HV 60d31.8%30.8%32.6%31.4%30.8%
IV Rank20.7%8.1%31.5%15.8%9.8%
IV Percentile25.3%4.0%53.6%14.7%5.6%
Term Structure1.3%-0.5%3.3%1.3%2.9%
VWIV33.4%27.7%36.4%33.4%27.7%
Skew 25d4.7%3.3%6.0%4.7%5.4%
Skew 10d8.6%-4.4%17.7%8.7%8.6%
Call IV 25d31.7%25.7%35.6%30.8%25.7%
Put IV 25d36.3%31.1%39.0%35.5%31.1%
Bid-Ask Spread %5.554.736.686.076.68
Gamma HHI0.150.140.210.150.15
Net GEX2.1M1.0M3.1M2.9M1.4M
Net DEX-71.2M-120.5M-38.9M-120.3M-61.1M
Net VEX-754.2K-840.5K-680.3K-835.1K-680.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.061.520.530.21
Total Volume4,821.8571,64613,3794,3593,413
Total OI223,847.048207,148233,495223,283212,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$18.65$18.0031.3%9.0%29.9%15.8%33.4%4.7%1.3%2.9M-120.3M-835.1K0.536.07N/AN/A2,8461,513148,74074,543
2011-05-03$18.65$18.0030.7%8.8%27.5%14.2%30.8%5.6%1.8%2.9M-120.5M-840.5K0.195.34N/AN/A6,5701,251149,07475,675
2011-05-04$18.25$18.0033.6%9.6%28.3%22.9%33.5%4.6%0.3%2.9M-104.1M-821.5K1.425.22N/AN/A3,0194,294151,81676,343
2011-05-05$17.75$18.0033.4%9.6%29.7%22.5%34.0%4.0%0.7%2.4M-83.8M-810.9K0.185.73N/AN/A2,792505151,06975,833
2011-05-06$17.81$17.0031.9%9.5%29.4%17.8%32.4%5.7%2.0%2.5M-84.5M-809.3K0.185.47N/AN/A2,547466151,71575,935
2011-05-09$18.07$17.0033.3%9.7%29.8%22.2%34.8%5.1%1.4%2.9M-95.5M-814.5K1.525.76N/AN/A654992152,73376,232
2011-05-10$18.32$17.0032.7%9.7%28.6%20.4%34.0%5.2%1.0%3.1M-108.7M-792.7K0.534.73N/AN/A1,886992152,87076,914
2011-05-11$17.79$17.0031.5%9.4%30.5%16.5%34.3%4.7%1.9%2.6M-83.2M-791.0K0.065.84N/AN/A12,591788152,82277,600
2011-05-12$17.56$17.0033.6%9.6%30.5%23.0%34.7%4.8%1.2%2.3M-73.1M-781.0K0.226.11N/AN/A4,342963151,42277,895
2011-05-13$17.40$17.0035.3%10.1%30.5%28.4%35.0%3.9%0.3%2.2M-67.1M-765.9K0.105.41N/AN/A4,453467151,67977,909
2011-05-16$16.82$17.0035.6%10.2%31.9%29.2%35.6%4.4%0.2%1.4M-45.3M-725.9K0.345.20N/AN/A3,7261,253152,41378,030
2011-05-17$16.87$17.0036.3%10.4%30.8%31.5%36.4%3.3%-0.5%1.5M-46.6M-729.3K0.955.18N/AN/A4,3124,087153,64478,182
2011-05-18$17.14$17.0035.1%10.1%31.3%27.7%34.9%3.8%0.7%1.9M-58.1M-740.3K0.865.80N/AN/A3,5313,045155,25578,240
2011-05-19$17.23$17.0034.7%9.9%26.4%26.3%34.7%3.8%0.5%1.8M-57.3M-741.2K0.686.30N/AN/A1,9861,349153,64078,434
2011-05-20$16.95$17.0033.2%9.5%25.5%22.1%33.8%4.7%2.1%2.7M-45.1M-711.5K0.795.02N/AN/A2,3061,822153,90378,625
2011-05-23$16.55$17.0033.3%9.6%26.1%22.4%33.6%6.0%1.3%1.0M-38.9M-681.9K0.125.77N/AN/A5,904716133,31373,835
2011-05-24$16.60$17.0032.5%9.3%24.3%21.1%33.0%5.5%1.8%1.1M-40.9M-689.6K0.235.35N/AN/A2,270528134,40174,102
2011-05-25$16.87$17.0031.6%9.1%25.6%18.3%32.9%4.4%1.9%1.2M-51.6M-697.7K0.415.13N/AN/A1,766730135,69074,352
2011-05-26$16.92$17.0030.7%8.8%25.5%15.0%31.8%4.3%1.9%1.2M-52.4M-696.4K0.495.26N/AN/A1,636796136,13974,771
2011-05-27$17.05$17.0028.6%8.2%25.9%8.1%29.2%4.9%3.3%1.3M-57.0M-682.4K0.775.23N/AN/A1,219933136,81375,194
2011-05-31$17.24$17.0029.1%8.3%26.2%9.8%27.7%5.4%2.9%1.4M-61.1M-680.3K0.216.68N/AN/A2,831582137,19975,794