BX Options History — November 2011

In November 2011, BX traded between $12.44 and $14.64. ATM implied volatility averaged 52.6%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 7.5% (HV 20d: 60.2%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2011-11-25: Highest Volume — 17,653 contracts
  • 2011-11-09: Largest IV spike — 36.4% change
  • 2011-11-17: Highest IV Rank — 55.7%
  • 2011-11-17: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.62$12.44$14.64$13.80$13.73
Max Pain$13.86$13.00$14.00$13.00$14.00
ATM IV52.6%43.4%59.5%54.8%45.0%
Expected Move15.1%12.9%17.1%15.7%12.9%
HV 20d60.2%51.5%69.9%69.9%57.9%
HV 60d63.5%60.0%68.6%68.6%61.8%
IV Rank44.6%29.8%55.7%48.0%32.4%
IV Percentile81.5%69.4%88.9%85.7%69.4%
Term Structure1.8%-2.3%7.5%-1.3%1.2%
VWIV52.4%46.5%59.6%58.2%46.5%
Skew 25d12.2%8.6%14.8%14.7%10.3%
Skew 10d23.9%15.0%31.2%21.4%20.1%
Call IV 25d47.2%41.7%52.5%50.0%42.4%
Put IV 25d59.4%52.7%65.7%64.8%52.7%
Bid-Ask Spread %6.164.548.336.476.65
Gamma HHI0.410.360.480.360.47
Net GEX1.8M1.3M2.3M1.7M1.9M
Net DEX-66.2M-98.2M-33.4M-65.7M-58.5M
Net VEX-766.8K-851.4K-636.4K-768.8K-687.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.011.291.230.25
Total Volume5,3361,12517,6535,2278,279
Total OI269,623.905258,912284,490258,912263,019

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$13.80$13.0054.8%15.7%69.9%48.0%58.2%14.7%-1.3%1.7M-65.7M-768.8K1.236.47N/AN/A2,3482,879193,16465,748
2011-11-02$14.11$13.0053.1%15.2%68.9%45.3%51.3%11.3%-1.4%1.9M-73.9M-778.8K0.227.48N/AN/A2,182489193,46666,988
2011-11-03$14.20$13.0050.7%14.5%64.7%41.6%48.1%11.2%-0.3%1.9M-76.4M-779.3K0.255.45N/AN/A1,365342193,73766,145
2011-11-04$14.17$14.0049.7%14.5%62.2%40.0%54.9%13.9%0.9%1.9M-73.9M-774.9K0.755.85N/AN/A940708194,02266,280
2011-11-07$14.32$14.0050.4%14.3%58.0%41.1%53.2%13.3%0.7%2.1M-77.6M-781.3K0.406.96N/AN/A802323193,73266,670
2011-11-08$14.64$14.0043.4%12.9%58.4%29.8%47.9%12.6%3.2%2.2M-87.9M-796.2K0.197.05N/AN/A8,3981,614193,11866,643
2011-11-09$13.39$14.0059.3%16.5%64.4%55.3%57.0%14.8%-2.0%1.6M-55.5M-744.5K0.486.26N/AN/A3,9421,910199,16167,313
2011-11-10$13.59$14.0051.5%14.8%61.6%42.7%53.3%13.9%2.8%1.7M-62.9M-768.1K0.808.33N/AN/A665532199,43367,933
2011-11-11$14.39$14.0051.6%14.8%64.8%42.9%47.9%12.4%2.6%2.2M-89.8M-813.7K0.107.40N/AN/A10,9201,063199,58067,353
2011-11-14$14.43$14.0052.4%15.0%62.1%44.2%51.1%12.5%2.1%2.3M-98.2M-848.7K0.256.96N/AN/A6,8761,690207,40367,680
2011-11-15$14.05$14.0054.6%15.7%59.7%47.8%53.0%12.8%0.9%2.1M-89.8M-851.4K0.365.92N/AN/A2,239806213,13368,052
2011-11-16$13.98$14.0054.1%15.5%57.5%47.0%54.3%12.4%2.0%2.1M-85.2M-841.7K1.295.87N/AN/A2,0652,659213,74768,097
2011-11-17$13.31$14.0059.5%17.1%60.1%55.7%59.6%13.2%-2.3%1.6M-63.2M-793.8K0.756.16N/AN/A2,2091,652213,92469,495
2011-11-18$13.33$14.0056.0%16.1%58.0%50.0%52.4%12.7%0.1%1.5M-64.9M-801.2K0.915.25N/AN/A1,100998214,53569,955
2011-11-21$13.00$14.0052.6%15.1%58.1%44.5%51.6%13.2%7.5%1.4M-51.8M-746.9K0.084.95N/AN/A7,531614205,09366,006
2011-11-22$12.93$14.0051.1%14.7%57.8%42.1%51.1%11.2%7.2%1.5M-51.2M-747.0K0.264.59N/AN/A2,601666209,26165,934
2011-11-23$12.61$14.0053.4%15.3%58.1%45.8%52.9%10.9%5.3%1.3M-43.1M-727.7K0.225.78N/AN/A2,178477209,12365,700
2011-11-25$12.44$14.0057.5%16.5%51.5%52.4%51.4%10.5%1.2%1.3M-37.4M-691.1K0.014.54N/AN/A17,511142209,09865,799
2011-11-28$12.98$14.0052.2%15.0%54.7%43.9%51.3%9.6%4.3%1.5M-49.6M-723.7K0.215.85N/AN/A3,469719208,45465,873
2011-11-29$12.72$14.0052.5%15.1%54.6%44.5%53.5%8.6%4.0%1.3M-33.4M-636.4K0.175.49N/AN/A3,544609195,99166,244
2011-11-30$13.73$14.0045.0%12.9%57.9%32.4%46.5%10.3%1.2%1.9M-58.5M-687.0K0.256.65N/AN/A6,6321,647196,46366,556