BX Options History — July 2012

In July 2012, BX traded between $12.62 and $13.96. ATM implied volatility averaged 28.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.4% (HV 20d: 25.2%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2012-07-24: Highest Volume — 53,238 contracts
  • 2012-07-24: Largest IV spike — 12.5% change
  • 2012-07-11: Highest IV Rank — 13.9%
  • 2012-07-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.62$13.96$13.33$13.85
Max Pain$12.38$12.00$13.00$12.00$13.00
ATM IV28.6%24.6%32.7%29.6%26.8%
Expected Move8.2%7.1%9.1%8.5%7.7%
HV 20d25.2%20.0%30.4%30.4%20.0%
HV 60d29.9%28.3%32.2%32.2%28.4%
IV Rank7.4%1.0%13.9%8.9%4.5%
IV Percentile12.5%0.8%31.3%15.1%6.7%
Term Structure0.8%-0.8%2.6%1.7%-0.6%
VWIV29.2%25.8%36.5%28.0%26.6%
Skew 25d5.2%2.9%8.5%5.9%2.9%
Skew 10d5.4%-4.7%20.6%14.2%-2.3%
Call IV 25d26.6%21.4%29.5%26.4%26.0%
Put IV 25d31.8%27.3%36.1%32.3%28.9%
Bid-Ask Spread %7.386.079.686.937.21
Gamma HHI0.300.260.410.310.26
Net GEX4.6M3.8M6.4M3.8M5.2M
Net DEX-96.8M-163.9M-62.1M-85.4M-132.6M
Net VEX-926.4K-1.2M-802.8K-849.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.011.600.380.84
Total Volume8,926.85739253,2385,485889
Total OI294,091.143266,359341,576266,359318,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$13.33$12.0029.6%8.5%30.4%8.9%28.0%5.9%1.7%3.8M-85.4M-849.8K0.386.93N/AN/A3,9751,510221,71144,648
2012-07-03$13.39$12.0029.7%8.5%29.7%9.0%29.3%6.5%0.8%4.0M-90.0M-866.5K1.567.07N/AN/A6851,072224,19444,232
2012-07-05$13.22$12.0030.4%8.7%28.3%10.2%31.7%5.3%1.0%4.0M-82.5M-838.2K0.206.33N/AN/A1,667336224,55944,450
2012-07-06$13.10$12.0028.9%8.8%27.6%7.8%30.8%7.2%-0.2%3.9M-75.5M-825.4K1.536.75N/AN/A361551224,39744,639
2012-07-09$12.98$12.0031.1%9.1%27.8%11.3%28.7%6.4%-0.1%3.8M-69.9M-802.8K0.016.07N/AN/A27,723249224,35844,713
2012-07-10$12.83$12.0031.0%9.0%27.3%11.1%29.6%4.5%-0.3%4.3M-78.1M-890.9K0.377.02N/AN/A1,626594251,18444,836
2012-07-11$12.75$12.0032.7%9.0%25.2%13.9%36.5%6.7%-0.8%4.2M-68.8M-836.4K1.607.99N/AN/A541867246,20345,055
2012-07-12$12.62$12.0031.1%8.9%25.5%11.2%32.2%6.7%0.0%4.0M-62.1M-812.6K0.498.28N/AN/A876430246,18945,588
2012-07-13$12.86$12.0030.1%8.6%26.2%9.8%29.6%5.8%0.7%4.4M-71.8M-845.5K0.526.80N/AN/A1,632856246,20145,764
2012-07-16$12.82$12.0030.5%8.8%25.4%10.4%30.4%4.7%0.7%4.4M-71.4M-828.3K0.107.75N/AN/A35834246,39145,692
2012-07-17$12.83$12.0029.4%8.4%24.2%8.6%31.5%5.8%1.5%4.5M-71.9M-822.4K0.398.59N/AN/A567221246,47045,718
2012-07-18$12.90$12.0028.6%8.2%24.0%7.3%28.9%3.7%1.2%4.7M-73.3M-828.5K0.089.61N/AN/A4,476348246,38545,796
2012-07-19$12.99$12.0027.4%7.8%23.5%5.4%27.5%5.6%1.5%6.1M-78.8M-835.8K0.577.43N/AN/A2,9431,682246,88445,304
2012-07-20$13.15$13.0027.1%7.8%22.6%5.0%27.0%5.4%1.7%5.1M-90.1M-844.9K0.237.25N/AN/A3,219747246,46246,218
2012-07-23$13.61$13.0024.6%7.1%24.5%1.0%28.7%8.5%2.6%4.2M-102.2M-903.3K0.126.81N/AN/A30,1323,552232,70343,547
2012-07-24$13.91$13.0027.7%7.9%25.0%5.9%27.6%2.9%1.1%4.4M-136.6M-1.1M0.049.68N/AN/A51,0032,235260,99843,250
2012-07-25$13.81$13.0027.1%7.8%24.1%4.9%27.6%4.1%1.3%5.1M-141.3M-1.2M0.067.83N/AN/A4,702284279,28944,244
2012-07-26$13.95$13.0026.4%7.6%24.1%3.9%27.6%4.1%2.2%5.1M-144.4M-1.2M0.336.46N/AN/A2,115705274,34844,384
2012-07-27$13.94$13.0025.3%7.3%24.2%2.2%27.9%3.3%1.2%5.3M-142.7M-1.1M0.046.81N/AN/A26,0501,059274,60544,524
2012-07-30$13.96$13.0025.1%7.2%20.6%1.9%25.8%3.0%0.3%6.4M-163.9M-1.1M1.396.28N/AN/A1,9202,672297,21644,360
2012-07-31$13.85$13.0026.8%7.7%20.0%4.5%26.6%2.9%-0.6%5.2M-132.6M-1.1M0.847.21N/AN/A482407272,01546,190