BX Options History — November 2012

In November 2012, BX traded between $13.52 and $15.59. ATM implied volatility averaged 30.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.0% (HV 20d: 31.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-11-12: Highest Volume — 10,870 contracts
  • 2012-11-20: Largest IV drop — 15.0% change
  • 2012-11-05: Highest IV Rank — 45.1%
  • 2012-11-15: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.62$13.52$15.59$15.59$14.69
Max Pain$14.10$14.00$15.00$15.00$14.00
ATM IV30.3%25.3%34.8%30.6%25.7%
Expected Move8.6%7.3%9.9%8.8%7.4%
HV 20d31.3%29.1%33.9%30.1%30.4%
HV 60d30.3%28.4%32.4%28.4%31.8%
IV Rank35.7%26.6%45.1%35.7%27.6%
IV Percentile40.1%13.1%65.5%40.5%13.9%
Term Structure1.9%-2.1%3.7%-0.5%3.5%
VWIV30.4%26.3%34.8%30.5%26.6%
Skew 25d4.7%3.0%6.6%6.6%3.4%
Skew 10d10.3%5.0%16.4%16.4%7.3%
Call IV 25d28.3%24.8%32.9%26.2%24.8%
Put IV 25d33.0%28.2%38.3%32.9%28.2%
Bid-Ask Spread %4.062.897.747.744.98
Gamma HHI0.280.240.320.240.32
Net GEX6.2M4.4M7.1M6.7M6.9M
Net DEX-147.8M-216.7M-76.6M-216.7M-147.5M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.062.110.460.06
Total Volume4,271.76294710,8701,3806,453
Total OI373,199.667366,443378,856368,191378,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$15.59$15.0030.6%8.8%30.1%35.7%30.5%6.6%-0.5%6.7M-216.7M-1.3M0.467.74N/AN/A943437311,70156,490
2012-11-02$15.34$15.0032.8%9.4%31.1%40.6%32.6%3.0%-2.1%6.6M-201.1M-1.3M0.684.45N/AN/A563384312,36356,743
2012-11-05$15.19$14.0034.8%9.1%31.5%45.1%30.5%4.9%1.1%6.4M-188.2M-1.3M0.254.15N/AN/A1,559395312,40656,918
2012-11-06$15.16$14.0034.1%9.1%31.5%43.5%31.6%4.6%0.9%6.5M-186.9M-1.3M0.374.44N/AN/A1,529563313,31056,988
2012-11-07$14.81$14.0034.0%9.1%31.8%43.2%32.9%5.4%1.2%6.2M-162.8M-1.2M1.133.65N/AN/A1,5981,802314,22957,367
2012-11-08$14.61$14.0032.9%9.0%31.5%40.9%32.5%5.3%1.3%6.0M-148.9M-1.2M1.013.50N/AN/A1,0211,032314,58958,408
2012-11-09$14.54$14.0033.2%9.0%31.5%41.6%32.5%5.3%1.4%5.9M-144.2M-1.2M0.284.18N/AN/A2,230625315,30159,028
2012-11-12$14.50$14.0033.8%9.7%31.1%42.8%30.8%5.5%1.0%5.9M-140.2M-1.2M0.073.45N/AN/A10,142728316,36159,186
2012-11-13$14.36$14.0031.3%9.7%29.1%37.2%32.9%5.5%1.0%5.6M-130.0M-1.1M0.413.13N/AN/A1,727701314,74959,558
2012-11-14$13.98$14.0030.4%9.6%29.9%35.4%33.4%5.8%1.3%4.7M-102.4M-1.1M0.643.03N/AN/A6,0273,871312,09159,794
2012-11-15$13.52$14.0034.4%9.9%30.7%44.2%34.8%5.4%1.2%4.4M-76.6M-1.0M0.924.14N/AN/A4,3644,026313,79061,903
2012-11-16$13.63$14.0033.0%9.5%30.6%41.1%33.5%5.3%3.0%4.6M-86.0M-1.0M0.933.83N/AN/A2,8092,607316,01962,032
2012-11-19$14.35$14.0031.3%9.0%32.3%37.3%29.4%4.7%2.4%5.9M-130.4M-1.1M0.433.78N/AN/A4,6761,997308,63457,809
2012-11-20$14.70$14.0026.6%7.6%33.9%26.9%28.2%4.7%3.1%6.7M-152.7M-1.2M1.163.46N/AN/A3,9304,577310,89658,947
2012-11-21$14.80$14.0026.2%7.5%33.8%27.3%26.3%3.5%3.7%7.0M-158.7M-1.2M0.366.05N/AN/A3,3561,223311,31661,924
2012-11-23$14.95$14.0026.5%7.6%31.9%28.0%26.6%4.3%3.3%7.1M-167.8M-1.2M0.153.45N/AN/A1,767265310,59462,624
2012-11-26$14.59$14.0027.7%7.9%32.3%30.8%29.3%4.4%3.1%6.6M-141.3M-1.1M1.422.89N/AN/A1,6522,352310,70062,542
2012-11-27$14.54$14.0026.4%7.6%30.9%27.7%29.6%3.9%3.1%6.6M-137.2M-1.1M2.113.59N/AN/A5991,264311,35364,696
2012-11-28$14.62$14.0026.1%7.5%31.0%26.9%27.9%3.9%3.2%6.7M-140.7M-1.1M1.074.13N/AN/A9861,053311,59465,348
2012-11-29$14.62$14.0025.3%7.3%31.0%26.6%26.5%3.8%3.5%6.8M-143.2M-1.1M0.503.22N/AN/A1,249625311,89966,137
2012-11-30$14.69$14.0025.7%7.4%30.4%27.6%26.6%3.4%3.5%6.9M-147.5M-1.1M0.064.98N/AN/A6,067386312,34666,510