BX Options History — August 2012

In August 2012, BX traded between $13.40 and $13.93. ATM implied volatility averaged 23.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.9% (HV 20d: 18.5%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-08-10: Highest Volume — 131,719 contracts
  • 2012-08-13: Largest IV spike — 70.1% change
  • 2012-08-13: Highest IV Rank — 29.3%
  • 2012-08-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$13.40$13.93$13.75$13.49
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV23.4%14.5%35.3%26.4%26.1%
Expected Move6.8%6.3%7.6%7.6%7.5%
HV 20d18.5%15.3%21.7%20.3%17.0%
HV 60d25.3%21.8%28.5%28.5%21.8%
IV Rank10.3%0.0%29.3%3.8%17.8%
IV Percentile5.2%0.0%44.8%4.8%11.9%
Term Structure4.1%-0.3%6.5%-0.3%3.4%
VWIV24.7%22.2%29.8%27.5%23.7%
Skew 25d5.7%1.2%10.7%5.5%1.2%
Skew 10d9.4%-7.2%21.1%4.9%-7.2%
Call IV 25d21.2%17.7%24.3%22.6%23.6%
Put IV 25d26.9%24.1%29.5%28.1%24.8%
Bid-Ask Spread %5.913.8412.099.195.54
Gamma HHI0.270.260.300.260.27
Net GEX5.4M4.7M6.7M5.6M4.8M
Net DEX-111.9M-136.3M-89.8M-129.0M-91.1M
Net VEX-1.0M-1.1M-981.8K-1.1M-987.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.006.760.250.06
Total Volume9,184.304852131,7192,5965,879
Total OI317,542.087301,733335,666323,892310,879

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$13.75$13.0026.4%7.6%20.3%3.8%27.5%5.5%-0.3%5.6M-129.0M-1.1M0.259.19N/AN/A2,082514277,63046,262
2012-08-02$13.70$13.0025.0%7.2%19.7%1.7%25.5%4.8%0.9%5.6M-125.2M-1.1M1.166.33N/AN/A9211,071277,42246,735
2012-08-03$13.90$13.0023.3%6.7%19.7%0.0%24.6%6.9%0.5%5.8M-135.4M-1.1M0.445.94N/AN/A1,035455276,46647,436
2012-08-06$13.76$13.0024.3%7.0%19.8%1.6%28.2%6.0%5.1%5.8M-130.3M-1.1M0.676.58N/AN/A876585276,66447,554
2012-08-07$13.70$13.0016.9%6.8%19.3%0.0%29.8%5.2%5.4%5.8M-129.2M-1.0M0.115.45N/AN/A1,184130276,67548,010
2012-08-08$13.73$13.0022.6%6.7%18.9%8.0%25.3%4.7%5.5%6.1M-122.6M-1.0M0.304.57N/AN/A657195277,08448,044
2012-08-09$13.93$13.0020.7%6.4%18.5%5.4%23.4%5.4%6.2%6.1M-136.3M-1.0M6.764.87N/AN/A3822,583277,24648,052
2012-08-10$13.74$13.0020.7%6.3%18.9%6.1%23.2%3.4%5.8%6.7M-124.3M-1.0M0.0012.09N/AN/A131,092627277,27250,161
2012-08-13$13.40$13.0035.3%7.3%21.3%29.3%23.0%5.6%5.0%5.9M-97.1M-981.8K2.244.79N/AN/A3,5277,905270,95450,238
2012-08-14$13.57$13.0027.4%6.4%21.6%16.7%22.8%8.2%6.5%5.5M-105.4M-1.0M0.438.40N/AN/A4,7202,045271,21456,887
2012-08-15$13.60$13.0014.5%6.3%21.6%0.0%24.5%7.8%6.5%5.5M-109.4M-1.0M1.165.70N/AN/A554641271,99257,727
2012-08-16$13.72$13.0024.0%6.9%21.7%14.6%24.3%10.7%4.7%5.5M-118.7M-1.0M0.133.84N/AN/A14,7241,884271,61857,710
2012-08-17$13.65$13.0024.1%6.9%21.6%14.8%26.6%5.1%4.8%5.2M-118.3M-1.0M5.184.19N/AN/A6263,242277,19258,474
2012-08-20$13.66$13.0022.2%6.4%17.8%11.8%25.0%8.3%4.6%4.8M-98.2M-999.6K2.174.38N/AN/A5381,170253,14348,590
2012-08-21$13.66$13.0021.8%6.3%15.9%11.2%22.2%7.9%4.9%4.9M-97.3M-1.0M0.654.46N/AN/A1,9451,268253,41049,161
2012-08-22$13.60$13.0022.1%6.3%15.7%11.6%22.3%8.2%5.0%4.7M-95.5M-1.0M0.124.22N/AN/A2,312280253,95849,862
2012-08-23$13.53$13.0022.6%6.5%15.3%12.4%24.5%6.8%3.9%4.7M-90.8M-1.0M1.414.18N/AN/A1,2471,762255,08849,835
2012-08-24$13.53$13.0022.9%6.6%15.3%12.9%24.2%3.8%3.7%4.7M-89.8M-996.7K0.265.47N/AN/A1,678435254,92851,019
2012-08-27$13.72$13.0023.4%6.7%16.2%13.7%24.0%4.6%3.7%4.9M-102.9M-1.0M0.266.26N/AN/A687181256,27251,324
2012-08-28$13.87$13.0023.3%6.7%16.5%13.5%23.8%3.9%3.4%5.0M-112.0M-1.0M0.666.49N/AN/A860566256,42951,222
2012-08-29$13.88$13.0024.1%6.9%16.3%14.8%25.0%3.9%2.5%5.1M-111.3M-1.0M1.125.73N/AN/A490549256,50651,456
2012-08-30$13.74$13.0024.7%7.1%16.7%15.7%25.3%3.3%2.2%4.9M-103.3M-1.0M0.047.16N/AN/A4,942193256,44051,227
2012-08-31$13.49$13.0026.1%7.5%17.0%17.8%23.7%1.2%3.4%4.8M-91.1M-987.9K0.065.54N/AN/A5,542337259,52551,354