BX Options History — October 2011

In October 2011, BX traded between $11.31 and $15.10. ATM implied volatility averaged 54.1%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 13.1% (HV 20d: 67.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2011-10-10: Highest Volume — 22,237 contracts
  • 2011-10-17: Largest IV spike — 16.4% change
  • 2011-10-03: Highest IV Rank — 87.9%
  • 2011-10-03: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.59$11.31$15.10$11.31$14.71
Max Pain$12.62$12.00$13.00$12.00$13.00
ATM IV54.1%41.2%79.6%79.6%47.0%
Expected Move15.5%11.8%22.8%22.8%13.5%
HV 20d67.1%56.7%72.1%56.7%66.2%
HV 60d72.8%67.7%75.6%67.7%71.9%
IV Rank46.9%26.2%87.9%87.9%35.6%
IV Percentile84.8%74.6%99.2%99.2%78.2%
Term Structure0.3%-4.7%2.8%-4.7%-0.5%
VWIV54.9%40.6%79.3%79.3%50.8%
Skew 25d14.8%10.4%21.7%21.7%10.4%
Skew 10d30.7%18.5%52.0%19.8%21.4%
Call IV 25d48.0%37.4%68.5%68.5%43.8%
Put IV 25d62.8%48.0%90.3%90.3%54.2%
Bid-Ask Spread %7.175.2711.026.6311.02
Gamma HHI0.280.220.430.230.35
Net GEX1.8M700.9K4.4M700.9K2.2M
Net DEX-62.3M-102.9M-9.5M-9.5M-93.2M
Net VEX-709.8K-833.8K-519.8K-519.8K-816.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.121.100.520.37
Total Volume7,104.9051,55522,23720,3663,653
Total OI248,746.952225,978268,110227,079258,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$11.31$12.0079.6%22.8%56.7%87.9%79.3%21.7%-4.7%700.9K-9.5M-519.8K0.526.63N/AN/A13,3866,980163,61963,460
2011-10-04$11.91$12.0066.7%19.1%58.9%67.2%75.3%18.3%2.4%869.9K-18.6M-558.2K0.197.07N/AN/A6,2731,194162,99362,985
2011-10-05$12.43$12.0064.9%18.6%58.4%64.2%66.1%17.8%1.0%1.1M-29.9M-582.5K1.107.89N/AN/A1,3771,518167,47762,802
2011-10-06$13.33$12.0063.5%18.2%62.3%62.1%63.3%18.6%-3.9%1.4M-49.8M-638.7K0.266.75N/AN/A3,528928167,50163,450
2011-10-07$12.75$12.0060.0%16.9%63.3%56.5%57.1%17.2%-0.1%1.3M-35.3M-592.0K0.177.04N/AN/A2,490429168,99663,897
2011-10-10$13.62$12.0053.4%15.7%67.2%45.9%54.2%16.8%-0.3%1.6M-54.4M-637.9K0.158.38N/AN/A19,2742,963169,22563,836
2011-10-11$13.64$12.0053.2%15.3%66.3%45.5%61.9%16.0%0.1%1.8M-64.1M-724.4K0.358.23N/AN/A2,172764183,52866,088
2011-10-12$14.33$12.0054.7%15.1%67.3%47.9%49.9%15.9%0.4%2.0M-84.2M-757.4K0.125.93N/AN/A13,5491,601182,97066,396
2011-10-13$13.55$13.0052.2%15.0%68.6%43.9%54.9%15.4%0.9%1.8M-67.3M-761.7K0.476.72N/AN/A2,6401,241192,45166,958
2011-10-14$13.65$13.0050.4%14.5%68.6%41.1%55.9%14.4%1.8%1.9M-69.1M-754.9K0.206.38N/AN/A2,358468191,69567,481
2011-10-17$13.02$13.0058.7%16.8%68.7%54.3%60.0%15.6%-1.2%1.6M-52.1M-707.4K0.835.27N/AN/A852703191,91667,515
2011-10-18$13.81$13.0051.7%14.8%71.7%43.1%52.9%13.5%0.7%2.0M-72.6M-749.5K0.237.94N/AN/A2,175492191,79467,941
2011-10-19$13.24$13.0057.6%16.5%72.1%52.6%59.6%14.1%-1.0%1.7M-56.6M-708.3K0.446.15N/AN/A2,8741,260191,64168,099
2011-10-20$13.45$13.0054.2%15.5%71.3%47.1%53.2%13.9%-0.2%1.8M-60.7M-724.2K0.466.87N/AN/A8,2973,847192,65368,657
2011-10-21$14.03$13.0049.7%14.3%71.9%39.9%47.9%13.4%1.1%4.4M-81.1M-766.0K0.146.95N/AN/A7,0871,023196,30771,803
2011-10-24$14.26$13.0045.5%13.0%70.1%33.1%42.3%11.6%1.8%1.8M-72.8M-770.9K0.316.35N/AN/A1,954601182,84065,987
2011-10-25$14.00$13.0045.3%13.0%70.6%32.9%44.3%12.2%2.1%1.7M-65.2M-746.5K0.516.83N/AN/A1,584805183,54966,272
2011-10-26$14.13$13.0044.4%12.7%68.5%31.3%42.4%12.0%2.4%1.8M-70.6M-752.9K0.257.26N/AN/A1,724430184,55166,498
2011-10-27$15.10$13.0041.6%11.9%71.6%26.9%40.6%10.6%1.3%2.2M-99.0M-802.0K0.206.61N/AN/A17,7443,490185,05966,753
2011-10-28$15.06$13.0041.2%11.8%69.7%26.2%41.9%10.4%2.8%2.2M-102.9M-833.8K0.558.37N/AN/A2,2371,238192,74964,570
2011-10-31$14.71$13.0047.0%13.5%66.2%35.6%50.8%10.4%-0.5%2.2M-93.2M-816.0K0.3711.02N/AN/A2,673980193,25765,467