BX Options History — December 2011

In December 2011, BX traded between $13.62 and $14.85. ATM implied volatility averaged 45.5%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 7.9% (HV 20d: 53.4%). 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 19 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-12-29: Highest Volume — 21,910 contracts
  • 2011-12-08: Largest IV spike — 16.6% change
  • 2011-12-08: Highest IV Rank — 48.6%
  • 2011-12-14: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.23$13.62$14.85$14.22$14.01
Max Pain$13.90$13.00$14.00$13.00$14.00
ATM IV45.5%35.4%55.1%48.4%38.8%
Expected Move12.8%10.2%14.6%13.9%11.1%
HV 20d53.4%41.5%60.2%58.7%41.5%
HV 60d60.2%56.7%61.8%61.4%56.7%
IV Rank33.2%17.0%48.6%37.8%22.4%
IV Percentile66.1%42.1%84.1%70.6%56.7%
Term Structure3.3%-1.5%6.1%-0.0%6.1%
VWIV45.0%35.5%51.9%51.7%36.2%
Skew 25d9.9%8.4%12.2%9.6%8.4%
Skew 10d17.2%0.7%37.8%17.2%16.8%
Call IV 25d40.9%33.8%47.7%43.5%36.2%
Put IV 25d50.8%43.2%57.8%53.2%44.6%
Bid-Ask Spread %5.743.848.675.823.84
Gamma HHI0.500.400.590.450.54
Net GEX2.1M1.6M2.5M2.1M2.1M
Net DEX-71.5M-100.0M-48.5M-77.6M-53.2M
Net VEX-673.1K-746.7K-602.8K-717.3K-630.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.163.700.943.70
Total Volume4,938.4761,50321,9104,8572,382
Total OI259,080.286235,790280,338265,261246,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$14.22$13.0048.4%13.9%58.7%37.8%51.7%9.6%-0.0%2.1M-77.6M-717.3K0.945.82N/AN/A2,5102,347197,95567,306
2011-12-02$14.77$13.0045.8%13.1%60.2%33.6%48.7%8.4%-1.5%2.3M-96.9M-746.7K1.155.79N/AN/A3,3783,879198,34568,607
2011-12-05$14.81$14.0049.1%13.0%60.2%38.9%45.8%10.8%3.6%2.4M-99.5M-744.9K0.266.39N/AN/A5,1071,312199,38769,885
2011-12-06$14.82$14.0046.1%12.6%60.1%34.0%47.4%10.4%4.2%2.4M-98.4M-732.6K0.166.72N/AN/A3,121484200,03169,680
2011-12-07$14.85$14.0047.3%12.9%59.6%36.0%46.1%11.1%3.6%2.4M-100.0M-739.2K0.688.49N/AN/A4,8543,317200,28469,952
2011-12-08$13.88$14.0055.1%14.5%55.7%48.6%51.9%11.1%2.8%1.8M-62.9M-706.8K0.528.67N/AN/A2,6781,389205,00875,330
2011-12-09$14.24$14.0048.6%13.8%56.1%38.1%44.1%10.9%3.7%2.1M-75.1M-707.0K0.595.91N/AN/A1,266748203,00373,251
2011-12-12$14.01$14.0053.8%13.7%52.5%46.5%49.5%10.5%3.8%2.0M-66.2M-684.2K0.515.66N/AN/A1,895962203,29173,429
2011-12-13$13.68$14.0048.8%13.8%53.1%38.4%50.5%12.2%2.8%1.8M-54.7M-661.8K0.256.27N/AN/A1,865471204,19873,726
2011-12-14$13.98$14.0049.7%14.6%53.0%39.8%49.6%10.0%1.3%2.0M-64.9M-676.3K0.195.59N/AN/A4,069754204,30873,817
2011-12-15$14.40$14.0048.8%14.0%54.0%38.4%49.5%10.0%2.8%2.1M-80.3M-691.1K1.015.60N/AN/A1,7441,769202,96873,975
2011-12-16$14.01$14.0047.8%13.7%51.8%36.8%46.9%9.0%3.1%2.3M-64.5M-658.4K0.625.01N/AN/A3,3982,111202,72873,837
2011-12-19$13.62$14.0046.3%13.3%52.9%34.5%45.1%9.7%2.4%1.6M-48.5M-622.4K0.245.07N/AN/A3,040742178,43860,070
2011-12-20$14.00$14.0043.3%12.4%52.8%29.6%41.9%10.6%3.9%1.8M-58.0M-637.2K0.684.55N/AN/A4,9283,329178,03360,703
2011-12-21$14.21$14.0042.5%12.2%52.8%28.4%42.8%10.3%4.0%2.0M-65.7M-654.7K0.235.88N/AN/A2,333547181,89063,270
2011-12-22$14.46$14.0039.5%11.3%51.8%23.5%40.0%9.4%5.0%2.4M-75.1M-646.8K0.994.90N/AN/A1,6111,602177,72258,068
2011-12-23$14.53$14.0035.4%10.2%51.2%17.0%35.5%9.3%5.0%2.5M-76.0M-651.1K0.236.00N/AN/A2,043475178,34759,373
2011-12-27$14.33$14.0040.2%11.5%50.1%24.6%44.1%9.1%3.8%2.4M-68.8M-619.5K1.134.81N/AN/A862973178,88358,411
2011-12-28$13.89$14.0041.4%11.9%50.9%26.6%40.1%8.9%3.8%2.1M-56.4M-603.5K0.605.42N/AN/A939564179,34158,885
2011-12-29$14.03$14.0039.7%11.4%43.4%23.8%36.8%9.1%5.1%2.2M-58.2M-602.8K1.004.16N/AN/A10,97410,936179,05859,223
2011-12-30$14.01$14.0038.8%11.1%41.5%22.4%36.2%8.4%6.1%2.1M-53.2M-630.0K3.703.84N/AN/A5071,875179,51567,155