BX Options History — April 2012

In April 2012, BX traded between $13.15 and $15.86. ATM implied volatility averaged 30.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.8% (HV 20d: 24.8%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-04-19: Highest Volume — 63,264 contracts
  • 2012-04-04: Largest IV spike — 13.6% change
  • 2012-04-10: Highest IV Rank — 19.9%
  • 2012-04-10: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.40$13.15$15.86$15.86$13.56
Max Pain$15.15$15.00$16.00$15.00$15.00
ATM IV30.6%24.7%36.5%24.7%28.8%
Expected Move8.7%7.1%9.7%7.1%8.3%
HV 20d24.8%16.4%31.7%22.5%30.3%
HV 60d27.2%25.5%29.2%25.8%27.2%
IV Rank10.6%1.2%19.9%1.2%7.7%
IV Percentile21.6%0.8%51.2%0.8%10.3%
Term Structure1.5%-1.5%4.3%4.0%2.5%
VWIV31.4%24.8%41.7%24.8%28.7%
Skew 25d5.7%-3.1%8.7%5.4%1.5%
Skew 10d10.0%-8.1%22.1%10.8%2.5%
Call IV 25d27.9%22.7%31.7%22.7%28.9%
Put IV 25d33.6%23.9%39.9%28.1%30.3%
Bid-Ask Spread %5.774.628.396.435.86
Gamma HHI0.160.120.200.170.16
Net GEX1.5M466.0K2.8M2.8M466.0K
Net DEX-42.3M-91.2M-5.9M-91.2M-18.4M
Net VEX-749.7K-818.5K-677.1K-811.6K-748.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.042.530.720.10
Total Volume9,181.7595863,26413,9423,123
Total OI225,406.15196,097258,476196,097258,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$15.86$15.0024.7%7.1%22.5%1.2%24.8%5.4%4.0%2.8M-91.2M-811.6K0.726.43N/AN/A8,1035,839152,14143,956
2012-04-03$15.65$15.0026.6%7.6%16.8%4.1%29.4%5.2%2.2%2.5M-83.1M-818.5K1.006.21N/AN/A1,5991,598158,21648,818
2012-04-04$15.34$15.0030.1%8.6%16.7%9.8%28.5%-3.1%1.1%2.2M-71.5M-812.8K0.645.88N/AN/A1,8011,157158,82549,714
2012-04-05$15.50$15.0030.5%8.8%16.4%10.4%29.3%3.8%1.3%2.3M-75.1M-815.0K1.405.71N/AN/A400558159,38450,076
2012-04-09$15.06$16.0033.7%9.2%19.6%15.4%32.8%6.7%-1.1%1.8M-59.1M-776.1K0.355.13N/AN/A1,812632159,60249,921
2012-04-10$14.57$16.0036.5%9.7%22.7%19.9%34.8%8.2%-0.1%1.5M-45.9M-750.2K0.475.08N/AN/A2,1641,007159,72150,247
2012-04-11$14.63$16.0035.3%9.4%22.3%18.0%41.7%8.6%0.1%1.4M-46.3M-738.3K0.105.03N/AN/A3,466340159,24250,594
2012-04-12$14.79$15.0032.8%9.4%22.8%14.0%32.8%8.6%0.0%1.4M-52.2M-754.8K0.076.18N/AN/A3,595260162,11550,860
2012-04-13$14.53$15.0032.7%9.4%23.4%13.8%41.4%8.7%0.4%1.3M-43.9M-732.4K0.125.44N/AN/A2,142253163,84650,982
2012-04-16$14.59$15.0031.8%9.1%23.5%12.4%32.7%7.8%1.5%1.3M-47.0M-726.1K1.505.78N/AN/A2,8464,266165,11750,988
2012-04-17$14.52$15.0031.7%9.1%23.4%12.3%32.8%8.1%1.1%1.1M-41.7M-705.4K1.096.48N/AN/A2,3412,544165,96954,497
2012-04-18$14.84$15.0032.5%9.3%25.0%13.5%35.5%7.8%-1.5%1.3M-53.8M-727.7K0.048.39N/AN/A15,007641167,09654,533
2012-04-19$14.14$15.0031.7%9.1%29.5%12.2%29.9%6.7%0.7%1.5M-29.5M-677.1K0.076.49N/AN/A58,9664,298178,99154,654
2012-04-20$13.95$15.0029.3%8.4%29.6%8.5%32.4%5.2%1.3%2.5M-27.4M-807.7K1.425.55N/AN/A3,3754,777202,90255,086
2012-04-23$13.43$15.0030.9%8.9%31.7%11.0%30.4%4.2%2.1%1.2M-20.0M-738.4K2.535.38N/AN/A4,03410,188181,62151,109
2012-04-24$13.37$15.0029.8%8.5%30.1%9.2%27.1%4.6%2.9%805.0K-12.6M-724.1K0.185.17N/AN/A7,0671,305182,66658,658
2012-04-25$13.20$15.0028.2%8.1%30.1%6.8%27.8%4.7%4.3%818.2K-10.3M-727.9K0.475.28N/AN/A3,0551,445184,76459,793
2012-04-26$13.15$15.0028.0%8.0%29.5%6.3%30.4%6.2%3.7%798.0K-5.9M-681.5K2.325.29N/AN/A3,8849,029185,87261,133
2012-04-27$13.34$15.0026.8%7.7%30.6%4.6%25.7%4.4%3.7%608.6K-10.6M-720.8K0.744.62N/AN/A2,7112,007187,55168,387
2012-04-30$13.56$15.0028.8%8.3%30.3%7.7%28.7%1.5%2.5%466.0K-18.4M-748.7K0.105.86N/AN/A2,836287188,45470,022