BX Options History — September 2011

In September 2011, BX traded between $11.98 and $13.95. ATM implied volatility averaged 59.7%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 6.9% (HV 20d: 66.6%). Max pain ranged from $12.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-09-14: Highest Volume — 24,128 contracts
  • 2011-09-06: Largest IV spike — 32.0% change
  • 2011-09-12: Highest IV Rank — 75.0%
  • 2011-09-22: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.79$11.98$13.95$13.47$11.98
Max Pain$13.38$12.00$17.00$17.00$12.00
ATM IV59.7%49.2%71.6%49.2%67.3%
Expected Move17.2%14.1%20.0%14.1%19.3%
HV 20d66.6%53.1%88.7%87.9%54.5%
HV 60d64.8%61.9%67.2%62.0%66.9%
IV Rank55.9%39.1%75.0%39.1%68.2%
IV Percentile94.3%89.3%98.8%92.5%96.0%
Term Structure0.1%-5.1%4.6%3.5%0.7%
VWIV58.4%46.1%69.7%46.1%69.7%
Skew 25d16.3%12.9%19.3%13.2%17.2%
Skew 10d33.4%8.6%59.9%27.9%31.7%
Call IV 25d52.8%42.0%60.6%42.0%60.6%
Put IV 25d69.1%55.2%77.8%55.2%77.8%
Bid-Ask Spread %6.665.119.706.608.39
Gamma HHI0.220.150.340.240.23
Net GEX1.1M759.7K2.6M1.4M888.2K
Net DEX-16.1M-43.1M14.5M-22.1M-19.6M
Net VEX-594.4K-729.3K-506.7K-729.3K-570.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.060.820.340.47
Total Volume8,666.3331,34624,1281,3462,762
Total OI256,319.524207,038307,033301,099226,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$13.47$17.0049.2%14.1%87.9%39.1%46.1%13.2%3.5%1.4M-22.1M-729.3K0.346.60N/AN/A1,006340215,14685,953
2011-09-02$13.02$17.0051.0%14.6%88.7%42.0%51.7%12.9%2.7%1.2M-11.6M-694.0K0.066.76N/AN/A15,004862215,31386,002
2011-09-06$12.50$14.0067.4%17.9%78.2%68.3%60.3%15.7%-3.0%1.0M-943.6K-651.2K0.068.10N/AN/A21,9211,210216,38586,533
2011-09-07$13.10$14.0055.2%16.0%75.1%48.7%55.9%15.1%-0.7%1.1M669.1K-567.2K0.096.88N/AN/A4,243373194,24186,898
2011-09-08$12.62$13.0056.7%16.2%73.8%51.1%52.5%14.9%-1.2%896.5K10.9M-525.4K0.146.96N/AN/A2,216304194,64887,089
2011-09-09$12.21$13.0068.7%18.9%73.1%70.4%66.4%17.0%-4.3%785.5K14.5M-508.9K0.608.26N/AN/A2,0631,228195,44287,075
2011-09-12$12.31$13.0071.6%19.7%72.9%75.0%67.6%17.9%-5.1%813.1K13.8M-506.7K0.189.70N/AN/A9,9801,831195,49687,208
2011-09-13$12.75$13.0054.0%17.3%71.4%46.9%57.0%17.5%-1.1%1.2M2.8M-531.9K0.825.83N/AN/A2,3141,900199,58088,213
2011-09-14$13.21$13.0050.0%16.8%72.8%40.3%54.6%16.2%-0.2%1.4M-9.8M-555.7K0.117.42N/AN/A21,6802,448200,67988,113
2011-09-15$13.84$13.0052.9%15.2%74.8%45.1%51.8%15.7%1.7%1.6M-31.0M-628.6K0.066.02N/AN/A15,093954208,91289,308
2011-09-16$13.95$13.0049.4%14.2%59.8%39.4%47.1%15.6%4.6%2.6M-38.8M-679.2K0.286.61N/AN/A5,3141,489217,59489,439
2011-09-19$13.32$13.0056.9%16.3%59.8%51.5%54.7%15.9%0.7%1.1M-38.2M-635.6K0.085.56N/AN/A14,4861,096149,95458,892
2011-09-20$13.15$13.0056.2%16.1%60.0%50.4%52.2%15.9%0.8%1.2M-43.1M-688.2K0.735.48N/AN/A3,1682,321162,30459,185
2011-09-21$12.68$13.0057.6%16.5%61.0%52.6%59.7%15.5%0.6%907.8K-22.7M-561.9K0.536.19N/AN/A3,5791,880145,99461,044
2011-09-22$12.32$13.0069.7%20.0%59.7%72.0%68.2%16.9%-0.8%810.1K-18.7M-546.3K0.266.13N/AN/A5,6571,447147,05662,079
2011-09-23$12.07$13.0065.2%18.7%56.4%64.8%63.2%16.2%0.8%759.7K-14.7M-533.6K0.425.40N/AN/A2,357985148,08062,422
2011-09-26$12.71$13.0059.6%17.1%57.3%55.8%57.5%19.3%2.9%939.4K-26.1M-566.4K0.085.11N/AN/A15,2171,258149,07762,358
2011-09-27$12.76$13.0061.4%17.6%53.1%58.6%56.8%18.6%0.5%1.1M-33.8M-629.2K0.466.38N/AN/A3,6771,698160,40862,276
2011-09-28$12.24$12.0068.2%19.5%54.1%69.5%66.9%18.8%-0.7%943.6K-23.0M-582.9K0.415.87N/AN/A2,169899161,82262,478
2011-09-29$12.42$13.0065.0%18.6%53.5%64.5%66.2%16.5%-0.3%1.0M-26.0M-588.9K0.476.12N/AN/A2,4311,133162,78062,853
2011-09-30$11.98$12.0067.3%19.3%54.5%68.2%69.7%17.2%0.7%888.2K-19.6M-570.8K0.478.39N/AN/A1,880882163,19363,188