BX Options History — March 2012

In March 2012, BX traded between $14.52 and $15.94. ATM implied volatility averaged 28.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.3% (HV 20d: 26.4%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-03-12: Highest Volume — 70,344 contracts
  • 2012-03-13: Largest IV spike — 28.1% change
  • 2012-03-06: Highest IV Rank — 19.8%
  • 2012-03-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.36$14.52$15.94$15.73$15.94
Max Pain$14.82$14.00$15.00$15.00$15.00
ATM IV28.8%23.9%37.2%28.7%25.1%
Expected Move8.3%7.0%9.5%8.2%7.2%
HV 20d26.4%22.8%31.7%25.2%22.8%
HV 60d29.3%25.7%34.0%32.3%25.8%
IV Rank7.2%0.0%19.8%6.1%1.9%
IV Percentile10.7%0.0%50.8%4.0%1.6%
Term Structure1.6%-0.1%3.8%0.4%3.8%
VWIV30.0%26.6%35.7%31.8%26.8%
Skew 25d7.6%4.8%11.5%4.8%6.2%
Skew 10d15.0%4.0%25.0%8.2%13.0%
Call IV 25d25.5%22.3%31.7%27.0%22.4%
Put IV 25d33.1%28.6%38.7%31.9%28.6%
Bid-Ask Spread %5.854.498.034.575.22
Gamma HHI0.220.170.290.210.17
Net GEX2.2M1.6M2.7M2.2M2.7M
Net DEX-75.5M-93.5M-48.4M-80.8M-93.5M
Net VEX-790.4K-826.8K-720.8K-790.1K-823.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.011.380.220.84
Total Volume7,704.54591770,3443,7511,922
Total OI192,896.909175,915203,037186,307195,627

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$15.73$15.0028.7%8.2%25.2%6.1%31.8%4.8%0.4%2.2M-80.8M-790.1K0.224.57N/AN/A3,075676144,12642,181
2012-03-02$15.29$15.0030.7%8.8%26.7%9.4%30.6%6.6%-0.1%2.0M-69.2M-776.5K0.314.70N/AN/A8,3732,609146,16442,706
2012-03-05$15.13$15.0031.6%8.9%26.4%10.9%33.2%7.3%0.8%2.0M-64.5M-762.9K0.915.96N/AN/A1,2561,138149,79344,277
2012-03-06$14.52$15.0037.2%9.5%29.2%19.8%35.7%7.0%-0.1%1.6M-48.4M-720.8K0.094.49N/AN/A13,7801,299149,79745,080
2012-03-07$14.90$15.0033.1%9.2%31.5%13.3%33.1%7.4%0.5%1.9M-58.7M-749.7K0.485.11N/AN/A2,093998151,41345,568
2012-03-08$15.10$15.0032.2%9.2%31.7%11.8%32.1%8.1%0.4%2.0M-65.7M-764.8K0.165.92N/AN/A3,604559152,04145,762
2012-03-09$15.12$15.0028.6%8.4%31.1%6.1%28.4%7.7%1.0%2.1M-66.2M-767.2K0.445.55N/AN/A2,5961,154154,73245,856
2012-03-12$15.18$15.0023.9%8.7%29.3%0.0%27.8%11.1%2.6%2.2M-69.5M-782.9K0.016.87N/AN/A69,811533155,99246,623
2012-03-13$15.35$15.0030.7%8.6%29.6%10.7%33.4%8.5%0.2%2.3M-75.0M-796.6K0.087.39N/AN/A7,603629152,42546,919
2012-03-14$15.29$14.0026.8%8.8%27.2%4.5%29.9%8.7%-0.1%2.3M-76.9M-793.8K0.685.93N/AN/A1,400955155,86246,537
2012-03-15$15.34$14.0029.9%8.6%27.2%9.5%30.8%11.5%0.7%2.4M-76.8M-798.1K0.526.66N/AN/A1,9951,043156,02847,009
2012-03-16$15.30$14.0029.1%8.4%25.3%8.2%29.2%8.5%0.9%2.3M-77.8M-786.4K0.508.03N/AN/A2,9731,488155,99946,688
2012-03-19$15.36$14.0031.2%8.9%25.4%11.5%30.2%8.7%0.4%2.2M-77.1M-780.9K1.387.16N/AN/A2,6223,625141,17334,742
2012-03-20$15.38$15.0030.1%8.6%24.2%9.8%28.6%7.4%1.8%2.2M-78.3M-803.5K0.567.10N/AN/A1,478834142,86937,113
2012-03-21$15.53$15.0024.5%7.0%24.5%0.9%26.6%7.9%2.7%2.2M-82.1M-808.8K0.735.35N/AN/A1,5961,167143,51337,684
2012-03-22$15.54$15.0025.0%7.2%24.5%1.6%28.5%8.1%3.6%2.3M-82.5M-802.4K0.375.63N/AN/A1,777651144,54638,207
2012-03-23$15.35$15.0028.2%8.1%23.2%6.8%29.3%6.7%2.9%2.2M-76.9M-796.2K0.875.54N/AN/A6,0055,248144,62338,541
2012-03-26$15.66$15.0026.1%7.5%24.2%3.3%30.8%6.4%1.7%2.3M-85.4M-818.2K0.155.31N/AN/A3,923584149,87443,687
2012-03-27$15.60$15.0026.8%7.7%24.1%4.4%27.5%6.6%3.2%2.3M-82.9M-819.9K0.214.85N/AN/A3,756772148,77743,569
2012-03-28$15.75$15.0026.9%7.7%24.3%4.6%27.9%6.2%3.7%2.5M-88.0M-826.8K0.365.70N/AN/A723260151,08643,528
2012-03-29$15.64$15.0026.3%7.5%24.3%3.7%27.6%6.5%3.4%2.5M-84.6M-818.7K1.235.67N/AN/A412505151,30943,686
2012-03-30$15.94$15.0025.1%7.2%22.8%1.9%26.8%6.2%3.8%2.7M-93.5M-823.8K0.845.22N/AN/A1,043879151,59144,036