BX Options History — January 2012

In January 2012, BX traded between $14.46 and $16.09. ATM implied volatility averaged 34.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.0% (HV 20d: 32.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-01-03: Highest Volume — 7,390 contracts
  • 2012-01-12: Largest IV spike — 26.3% change
  • 2012-01-13: Highest IV Rank — 25.9%
  • 2012-01-13: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.41$14.46$16.09$14.64$15.81
Max Pain$14.05$14.00$15.00$14.00$14.00
ATM IV34.1%29.3%40.9%35.2%32.0%
Expected Move10.0%8.4%11.7%10.1%9.2%
HV 20d32.1%24.6%43.3%42.3%25.0%
HV 60d49.2%43.5%55.6%55.6%43.5%
IV Rank14.8%7.2%25.9%16.6%11.5%
IV Percentile28.7%4.8%59.1%38.1%19.8%
Term Structure1.5%-0.4%5.3%4.2%0.1%
VWIV36.7%30.5%43.9%39.0%33.8%
Skew 25d8.8%6.5%11.4%8.8%6.9%
Skew 10d19.5%11.9%28.2%17.5%12.3%
Call IV 25d31.6%26.6%34.8%34.2%30.6%
Put IV 25d40.4%34.4%45.4%43.0%37.5%
Bid-Ask Spread %6.704.7010.174.706.75
Gamma HHI0.460.270.620.600.29
Net GEX2.9M1.7M4.5M2.9M1.9M
Net DEX-92.9M-139.3M-66.9M-75.1M-75.6M
Net VEX-632.3K-656.1K-606.4K-651.7K-616.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.151.160.240.29
Total Volume3,674.956977,3907,3901,876
Total OI214,742.05142,761256,615246,269151,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$14.64$14.0035.2%10.1%42.3%16.6%39.0%8.8%4.2%2.9M-75.1M-651.7K0.244.70N/AN/A5,9641,426179,59866,671
2012-01-04$14.46$14.0039.7%11.4%42.5%23.9%38.9%8.5%4.4%2.8M-67.1M-638.6K1.034.87N/AN/A343354178,76566,748
2012-01-05$14.59$14.0033.7%9.7%42.6%14.2%35.3%6.6%5.3%3.1M-72.9M-639.5K0.155.04N/AN/A2,085314178,89466,953
2012-01-06$14.90$14.0032.5%10.6%43.3%12.3%36.5%10.5%1.4%3.5M-85.2M-642.4K0.438.04N/AN/A1,767762179,34767,025
2012-01-09$15.06$14.0034.8%11.3%35.2%16.0%36.6%11.4%0.7%3.6M-93.5M-640.3K0.408.08N/AN/A4,2661,696180,34766,921
2012-01-10$15.44$14.0035.5%11.3%35.2%17.0%38.2%10.0%0.5%3.6M-111.5M-654.1K0.826.39N/AN/A3,9443,220181,96767,435
2012-01-11$15.59$15.0031.6%10.7%34.4%10.9%43.9%10.7%-0.4%3.6M-118.2M-656.1K0.176.90N/AN/A4,789798183,69068,034
2012-01-12$15.31$14.0040.0%11.5%33.8%24.2%37.6%10.1%0.2%4.1M-109.0M-654.4K0.437.80N/AN/A635273185,35668,264
2012-01-13$15.31$14.0040.9%11.7%33.3%25.9%40.4%9.8%0.4%4.2M-110.5M-649.1K0.956.45N/AN/A885837185,36168,443
2012-01-17$15.37$14.0040.2%11.5%31.9%24.7%40.1%10.1%0.6%4.3M-113.2M-632.9K0.416.17N/AN/A2,5181,020185,23968,944
2012-01-18$15.45$14.0039.1%11.2%29.8%22.9%36.5%10.2%1.2%4.5M-120.9M-629.7K0.326.73N/AN/A2,803903186,46569,297
2012-01-19$15.69$14.0032.3%9.3%27.3%12.0%36.4%9.4%2.1%3.4M-134.2M-632.1K0.296.19N/AN/A3,6491,047186,70369,340
2012-01-20$15.92$14.0031.7%9.1%26.4%11.0%38.3%8.5%2.0%1.8M-139.3M-624.1K0.836.81N/AN/A3,0152,495186,51570,100
2012-01-23$15.83$14.0029.3%8.4%26.5%7.2%30.5%8.2%1.9%1.7M-71.9M-606.4K0.825.85N/AN/A1,9561,601106,76835,993
2012-01-24$16.09$14.0030.6%8.8%26.5%9.3%32.5%7.1%1.8%1.7M-78.4M-622.6K0.426.46N/AN/A2,003845107,81737,033
2012-01-25$15.76$14.0031.3%9.0%28.0%10.4%38.5%8.2%0.3%1.7M-71.7M-617.2K1.1610.17N/AN/A1,2671,472108,92537,412
2012-01-26$15.60$14.0029.7%8.5%27.7%7.7%33.4%7.0%1.1%1.7M-67.5M-611.4K0.427.47N/AN/A1,070446109,34738,590
2012-01-27$15.57$14.0029.8%8.5%24.6%7.9%34.6%6.8%-0.1%1.7M-66.9M-609.1K0.266.88N/AN/A4,1881,076109,38538,861
2012-01-30$15.86$14.0031.2%8.9%24.9%10.1%32.9%6.5%1.5%1.9M-75.5M-617.2K0.236.17N/AN/A3,167724111,38639,070
2012-01-31$15.81$14.0032.0%9.2%25.0%11.5%33.8%6.9%0.1%1.9M-75.6M-616.8K0.296.75N/AN/A1,451425112,47239,360