BX Options History — July 2011

In July 2011, BX traded between $15.39 and $17.71. ATM implied volatility averaged 34.0%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.7% (HV 20d: 32.3%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2011-07-26: Highest Volume — 35,040 contracts
  • 2011-07-25: Largest IV spike — 26.6% change
  • 2011-07-12: Highest IV Rank — 76.0%
  • 2011-07-18: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.73$15.39$17.71$17.37$16.61
Max Pain$15.55$15.00$16.00$16.00$16.00
ATM IV34.0%25.5%41.6%25.5%39.4%
Expected Move9.8%7.3%11.6%7.3%11.3%
HV 20d32.3%27.0%41.0%28.2%41.0%
HV 60d28.5%26.6%30.8%27.6%30.8%
IV Rank41.2%2.6%76.0%2.6%65.6%
IV Percentile47.7%0.4%94.0%0.4%89.7%
Term Structure0.2%-2.5%3.9%3.9%0.3%
VWIV34.8%23.3%44.4%23.3%44.4%
Skew 25d7.1%5.6%8.3%5.6%6.9%
Skew 10d13.3%-4.2%25.1%14.2%-4.2%
Call IV 25d31.5%22.3%38.5%22.3%38.5%
Put IV 25d38.6%27.9%45.3%27.9%45.3%
Bid-Ask Spread %6.224.608.205.696.07
Gamma HHI0.200.170.250.180.23
Net GEX2.1M991.0K3.5M1.8M2.8M
Net DEX-73.6M-134.6M-30.3M-69.1M-96.6M
Net VEX-827.1K-1.2M-580.3K-625.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.043.810.361.52
Total Volume11,442.62,56735,0404,5664,036
Total OI242,008199,921296,701199,921296,701

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$17.37$16.0025.5%7.3%28.2%2.6%23.3%5.6%3.9%1.8M-69.1M-625.7K0.365.69N/AN/A3,3641,202133,85066,071
2011-07-05$16.93$15.0029.2%8.7%28.9%16.8%31.2%8.0%-0.8%1.5M-53.1M-580.3K0.455.10N/AN/A2,167975134,29666,041
2011-07-06$16.95$15.0029.1%8.9%28.9%18.9%34.5%8.3%-0.8%1.6M-53.9M-580.6K0.045.93N/AN/A17,053644134,57366,558
2011-07-07$17.20$15.0028.0%9.0%29.2%14.1%29.6%7.7%-1.0%2.1M-76.3M-704.2K0.098.00N/AN/A21,6531,957150,25666,507
2011-07-08$17.01$15.0029.8%9.3%27.5%22.0%34.8%7.7%0.2%2.3M-77.3M-850.8K0.117.05N/AN/A7,849865169,48867,774
2011-07-11$16.53$15.0036.2%9.9%29.3%50.4%38.9%7.5%-0.6%1.9M-60.1M-810.9K0.256.06N/AN/A2,703676168,34268,216
2011-07-12$16.24$15.0041.6%10.6%30.0%76.0%37.1%7.5%-0.7%1.6M-54.2M-800.4K0.186.20N/AN/A2,172395169,33468,638
2011-07-13$16.23$15.0038.4%10.6%28.4%61.3%36.7%7.1%-0.3%1.6M-54.2M-803.4K3.816.04N/AN/A9173,495170,16868,858
2011-07-14$16.08$16.0036.4%10.4%27.2%52.2%35.5%7.2%0.6%1.2M-46.6M-784.7K0.205.42N/AN/A5,4241,101170,47469,896
2011-07-15$15.90$16.0034.5%9.9%27.0%43.9%34.4%7.0%1.1%991.0K-40.0M-773.4K0.454.60N/AN/A2,7711,239175,12270,266
2011-07-18$15.39$16.0040.4%11.6%29.0%70.2%39.0%7.3%-2.5%1.1M-30.3M-703.2K0.066.00N/AN/A26,0421,595164,81465,066
2011-07-19$15.79$15.0033.1%9.5%30.7%37.5%33.4%7.8%1.4%1.1M-32.3M-659.1K0.275.07N/AN/A3,106847156,18765,515
2011-07-20$16.26$15.0037.6%10.8%32.5%57.5%37.4%6.7%-1.9%1.4M-48.4M-721.3K0.218.20N/AN/A18,9443,983157,67665,924
2011-07-21$17.00$16.0030.5%8.7%36.1%25.5%31.4%6.7%1.1%2.3M-80.5M-771.4K0.105.76N/AN/A23,3502,335171,58768,552
2011-07-22$17.63$16.0027.9%8.0%37.8%13.7%31.3%6.4%3.9%3.0M-114.3M-929.3K0.226.35N/AN/A14,0013,079185,84169,110
2011-07-25$17.35$16.0035.3%10.1%37.9%47.4%35.4%6.7%0.3%3.0M-105.7M-958.6K0.126.51N/AN/A5,783681191,77170,913
2011-07-26$17.71$16.0032.2%9.2%38.2%33.2%33.5%6.5%1.7%3.3M-125.7M-980.4K0.045.98N/AN/A33,7171,323193,52070,972
2011-07-27$17.38$16.0037.6%10.8%39.0%57.7%36.5%7.0%-1.2%3.5M-134.6M-1.2M0.397.86N/AN/A2,9421,141223,90371,686
2011-07-28$17.12$16.0037.4%10.7%39.5%56.9%37.3%7.2%-0.1%3.2M-118.6M-1.2M1.226.52N/AN/A1,4951,830223,44672,248
2011-07-29$16.61$16.0039.4%11.3%41.0%65.6%44.4%6.9%0.3%2.8M-96.6M-1.1M1.526.07N/AN/A1,6022,434223,20073,501