BX Options History — May 2012

In May 2012, BX traded between $11.54 and $13.62. ATM implied volatility averaged 36.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.2% (HV 20d: 30.4%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-05-08: Highest Volume — 67,707 contracts
  • 2012-05-30: Largest IV spike — 14.5% change
  • 2012-05-18: Highest IV Rank — 34.6%
  • 2012-05-18: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.42$11.54$13.62$13.62$12.04
Max Pain$13.00$12.00$15.00$15.00$12.00
ATM IV36.6%24.9%45.8%26.7%42.8%
Expected Move10.8%7.1%13.1%7.6%12.3%
HV 20d30.4%28.0%32.8%30.6%32.6%
HV 60d27.7%26.1%29.3%27.1%28.6%
IV Rank20.0%1.4%34.6%4.3%29.8%
IV Percentile42.5%1.2%65.5%4.0%61.1%
Term Structure1.9%-0.6%7.6%2.7%2.0%
VWIV37.9%24.8%47.2%26.6%42.9%
Skew 25d3.3%0.5%7.0%1.1%4.4%
Skew 10d6.2%-6.2%14.0%3.8%4.9%
Call IV 25d37.0%25.4%47.1%26.4%41.2%
Put IV 25d40.4%25.9%48.4%27.5%45.6%
Bid-Ask Spread %5.865.096.956.696.16
Gamma HHI0.230.170.280.170.21
Net GEX938.9K152.3K2.0M722.8K1.7M
Net DEX-10.4M-50.7M22.0M-25.0M-35.4M
Net VEX-695.7K-783.5K-608.9K-760.8K-712.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.024.050.100.05
Total Volume9,028.1361,01267,7072,5055,886
Total OI264,535.545247,709281,967259,683255,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$13.62$15.0026.7%7.6%30.6%4.3%26.6%1.1%2.7%722.8K-25.0M-760.8K0.106.69N/AN/A2,280225190,91768,766
2012-05-02$13.25$15.0024.9%7.1%31.4%1.4%24.8%0.5%5.8%574.8K-11.1M-722.1K4.055.55N/AN/A1,0234,142191,19268,797
2012-05-03$12.96$15.0025.6%7.4%31.5%2.7%25.6%2.2%7.6%256.2K3.3M-657.1K0.395.91N/AN/A7,0972,789190,75872,324
2012-05-04$12.93$13.0027.3%9.7%30.8%5.2%34.3%2.8%0.8%294.3K1.8M-694.7K0.835.49N/AN/A2,8272,354194,18874,234
2012-05-07$12.94$13.0027.9%9.7%30.1%6.2%34.4%2.8%0.6%268.0K825.2K-669.5K0.175.17N/AN/A1,484247195,85074,714
2012-05-08$12.90$13.0030.0%9.9%28.5%9.6%34.6%2.0%0.6%335.3K4.6M-658.0K0.025.09N/AN/A66,1651,542195,28074,772
2012-05-09$12.61$13.0032.1%10.2%28.9%12.9%36.1%1.4%0.0%393.8K6.8M-702.3K0.075.47N/AN/A5,359365206,38775,580
2012-05-10$12.70$13.0035.0%10.0%28.6%17.5%35.7%1.4%0.6%153.9K7.7M-666.7K0.365.67N/AN/A5,7002,058191,95375,626
2012-05-11$12.63$13.0034.7%10.0%28.3%17.0%34.3%2.9%0.8%152.3K5.1M-684.0K0.586.78N/AN/A2,0021,158195,18176,896
2012-05-14$12.19$13.0037.6%10.8%29.7%21.7%35.1%1.4%0.6%706.9K16.9M-624.7K1.815.16N/AN/A3,1115,636194,62975,783
2012-05-15$12.19$13.0039.3%11.3%29.8%24.2%39.2%3.8%-0.6%763.3K12.4M-640.3K0.955.63N/AN/A3,8523,653195,73075,699
2012-05-16$12.22$13.0039.3%11.3%28.0%24.4%39.1%4.5%0.9%759.7K10.9M-668.4K1.036.95N/AN/A1,8451,906198,63577,677
2012-05-17$11.54$13.0044.6%12.8%29.7%32.6%45.2%2.9%-0.6%947.0K22.0M-608.9K0.545.78N/AN/A7,1473,876199,81077,534
2012-05-18$11.54$13.0045.8%13.1%29.9%34.6%47.2%1.3%2.3%947.5K18.9M-629.4K0.105.50N/AN/A21,5832,092202,03978,184
2012-05-21$11.70$13.0040.2%11.5%29.0%25.6%41.9%3.0%3.8%1.4M-25.2M-690.5K0.165.76N/AN/A1,311215199,06048,649
2012-05-22$11.99$13.0042.3%12.1%31.1%29.0%41.8%5.4%2.8%1.5M-33.2M-721.5K0.045.58N/AN/A11,714444199,66648,651
2012-05-23$12.05$12.0042.4%12.1%31.1%29.1%45.7%7.0%2.4%1.7M-39.1M-745.0K1.976.12N/AN/A1,0602,086204,55448,849
2012-05-24$12.01$12.0043.0%12.3%31.1%30.2%42.9%6.4%2.2%1.7M-37.3M-741.6K0.606.00N/AN/A3,0591,823205,01549,908
2012-05-25$12.26$12.0041.6%11.9%31.7%28.0%40.1%5.9%2.9%1.8M-41.9M-773.9K0.186.50N/AN/A855157204,69551,290
2012-05-29$12.57$12.0038.4%11.0%32.6%22.8%42.5%5.9%2.5%2.0M-50.7M-783.5K1.795.29N/AN/A1,8533,309205,22351,298
2012-05-30$12.34$12.0043.9%12.6%32.8%31.6%43.4%4.8%1.2%1.7M-41.5M-749.4K0.166.73N/AN/A1,141188204,62653,306
2012-05-31$12.04$12.0042.8%12.3%32.6%29.8%42.9%4.4%2.0%1.7M-35.4M-712.4K0.056.16N/AN/A5,587299205,43150,426