BX Options History — June 2012

In June 2012, BX traded between $11.81 and $13.07. ATM implied volatility averaged 38.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 5.9% (HV 20d: 32.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2012-06-29: Highest Volume — 23,188 contracts
  • 2012-06-15: Largest IV drop — 12.8% change
  • 2012-06-04: Highest IV Rank — 37.6%
  • 2012-06-04: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$11.81$13.07$11.88$13.07
Max Pain$11.67$11.00$12.00$12.00$12.00
ATM IV38.2%28.3%47.7%46.4%28.3%
Expected Move11.1%8.1%13.5%13.3%8.1%
HV 20d32.2%28.0%36.1%32.1%30.2%
HV 60d30.0%27.8%32.0%28.0%32.0%
IV Rank22.5%6.8%37.6%35.5%6.8%
IV Percentile45.9%10.7%67.1%66.3%10.7%
Term Structure1.3%-1.2%3.1%0.3%1.9%
VWIV38.0%28.3%51.5%46.0%28.3%
Skew 25d8.3%5.4%11.4%5.7%6.4%
Skew 10d10.9%-4.2%30.7%-0.8%6.2%
Call IV 25d33.8%25.7%44.7%44.7%25.8%
Put IV 25d42.2%31.9%52.5%50.5%32.2%
Bid-Ask Spread %6.845.438.226.496.47
Gamma HHI0.240.190.300.190.30
Net GEX2.1M1.6M3.1M1.9M3.1M
Net DEX-39.4M-61.9M-28.1M-35.1M-61.9M
Net VEX-690.5K-737.2K-610.2K-711.9K-737.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.021.210.230.04
Total Volume4,463.3811,13123,1882,85223,188
Total OI250,732.476227,141266,199262,271246,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$11.88$12.0046.4%13.3%32.1%35.5%46.0%5.7%0.3%1.9M-35.1M-711.9K0.236.49N/AN/A2,314538211,76850,503
2012-06-04$11.81$11.0047.7%13.5%32.1%37.6%51.5%9.3%-0.3%1.6M-29.5M-697.3K1.217.40N/AN/A511620207,00750,568
2012-06-05$12.08$11.0044.5%13.0%33.5%32.5%44.4%9.9%0.1%1.8M-34.7M-705.9K0.196.73N/AN/A1,993375207,18350,353
2012-06-06$12.50$11.0041.7%12.2%36.1%28.2%35.6%11.4%1.7%2.1M-46.7M-735.2K0.186.63N/AN/A3,723672207,80850,506
2012-06-07$12.28$11.0040.0%12.1%35.7%25.4%42.7%10.0%1.6%2.1M-41.1M-716.4K0.976.85N/AN/A1,4791,428210,52950,742
2012-06-08$12.22$11.0037.8%11.7%35.6%22.0%43.3%9.3%1.5%2.0M-36.7M-704.3K0.236.41N/AN/A2,371541211,11851,601
2012-06-11$12.00$11.0041.4%11.9%36.0%27.7%40.4%9.0%1.5%2.0M-31.1M-673.6K0.547.71N/AN/A1,214660211,21450,839
2012-06-12$12.39$11.0038.8%12.2%35.8%23.4%38.8%10.5%0.9%2.2M-43.9M-704.2K0.398.22N/AN/A3,0131,189211,13350,803
2012-06-13$12.32$12.0040.1%12.5%35.9%25.5%40.7%10.6%1.4%2.2M-45.3M-714.7K0.196.22N/AN/A1,525294213,36251,303
2012-06-14$12.29$12.0042.0%12.0%35.9%28.6%41.8%9.4%2.0%2.2M-43.4M-702.1K0.717.03N/AN/A1,4961,058214,04651,356
2012-06-15$12.54$12.0036.6%10.5%29.4%20.1%37.0%10.4%3.1%1.9M-50.8M-724.7K0.245.43N/AN/A3,009711214,34751,852
2012-06-18$12.30$12.0036.3%10.4%30.5%19.6%36.0%8.4%1.6%1.8M-36.2M-688.6K0.076.47N/AN/A12,428926184,90742,234
2012-06-19$12.44$12.0035.6%10.2%30.4%18.5%32.1%5.7%1.8%2.2M-41.9M-692.8K0.197.88N/AN/A3,946750193,72142,623
2012-06-20$12.30$12.0034.9%10.0%29.7%17.4%34.7%5.7%2.3%2.2M-38.2M-674.5K0.187.70N/AN/A1,075194195,33643,219
2012-06-21$12.10$12.0035.9%10.3%30.3%19.0%36.9%6.8%1.4%2.0M-32.1M-653.4K0.616.44N/AN/A1,310800195,68143,335
2012-06-22$12.00$12.0033.9%9.7%30.4%15.8%32.7%5.4%2.1%2.0M-28.6M-636.3K0.276.84N/AN/A1,571429194,92643,800
2012-06-25$12.02$12.0035.1%10.1%29.5%17.7%33.7%6.8%1.8%2.0M-28.1M-610.2K0.336.55N/AN/A1,129378195,20543,940
2012-06-26$12.38$12.0036.4%10.4%30.0%19.7%34.6%9.2%0.0%2.3M-39.0M-664.4K0.575.75N/AN/A1,274727195,32043,788
2012-06-27$12.50$12.0035.4%10.2%29.5%18.2%33.4%9.2%1.4%2.4M-41.6M-680.7K0.217.17N/AN/A1,027217196,29044,319
2012-06-28$12.57$12.0032.4%9.3%28.0%13.4%33.4%6.2%-1.2%2.5M-40.7M-672.7K0.027.18N/AN/A11,366262195,92244,482
2012-06-29$13.07$12.0028.3%8.1%30.2%6.8%28.3%6.4%1.9%3.1M-61.9M-737.2K0.046.47N/AN/A22,232956201,89044,503