BX Options History — December 2012

In December 2012, BX traded between $14.64 and $15.59. ATM implied volatility averaged 26.4%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.6% (HV 20d: 22.8%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-12-21: Highest Volume — 7,542 contracts
  • 2012-12-13: Largest IV spike — 22.9% change
  • 2012-12-26: Highest IV Rank — 41.8%
  • 2012-12-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.07$14.64$15.59$14.64$15.59
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV26.4%22.3%28.4%27.0%25.8%
Expected Move7.8%7.0%8.1%7.7%7.4%
HV 20d22.8%14.0%30.1%30.0%15.9%
HV 60d28.2%26.5%31.8%31.8%26.5%
IV Rank33.1%19.2%41.8%30.8%34.0%
IV Percentile21.8%3.6%34.9%21.4%16.7%
Term Structure4.6%2.1%6.1%2.2%3.8%
VWIV28.0%24.5%29.8%27.4%28.4%
Skew 25d4.5%2.8%6.4%3.5%6.4%
Skew 10d13.8%7.4%19.5%7.9%19.5%
Call IV 25d25.6%23.5%27.1%26.3%24.0%
Put IV 25d30.1%26.2%32.0%29.8%30.4%
Bid-Ask Spread %3.472.124.663.712.58
Gamma HHI0.340.290.380.330.29
Net GEX8.3M7.2M9.7M7.2M8.1M
Net DEX-177.2M-211.4M-146.3M-146.3M-211.4M
Net VEX-1.1M-1.1M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.151.940.220.86
Total Volume3,672.551,2837,5422,7753,819
Total OI383,138.95362,004396,077383,730365,212

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$14.64$14.0027.0%7.7%30.0%30.8%27.4%3.5%2.2%7.2M-146.3M-1.1M0.223.71N/AN/A2,282493317,05766,673
2012-12-04$14.69$14.0026.7%7.7%30.0%30.1%28.5%3.2%2.1%7.2M-146.8M-1.1M1.944.26N/AN/A437846316,29466,957
2012-12-05$14.77$14.0025.5%7.3%30.1%27.1%29.8%4.5%2.9%7.4M-151.7M-1.1M1.134.66N/AN/A728826316,31067,517
2012-12-06$14.93$14.0024.5%7.0%29.2%24.6%24.5%2.8%3.4%8.0M-167.6M-1.1M0.174.01N/AN/A2,981504316,46067,507
2012-12-07$15.07$14.0022.3%7.6%28.8%19.2%26.6%4.6%5.9%8.3M-176.4M-1.1M1.323.22N/AN/A1,4851,953316,19167,652
2012-12-10$14.89$14.0023.5%7.7%29.2%22.0%28.4%4.3%6.0%8.2M-160.9M-1.1M1.083.29N/AN/A1,0581,139316,57568,662
2012-12-11$15.01$14.0023.0%7.7%29.2%21.0%28.4%5.0%6.1%8.4M-169.1M-1.1M0.252.86N/AN/A3,685936316,96769,369
2012-12-12$15.02$14.0023.1%7.9%28.9%21.9%27.9%4.6%5.3%8.5M-172.1M-1.1M0.353.81N/AN/A4,4631,553319,63869,887
2012-12-13$14.75$14.0028.4%8.1%27.9%35.4%28.2%5.0%5.6%7.9M-152.5M-1.1M0.223.65N/AN/A5,1351,112320,65070,825
2012-12-14$14.69$14.0027.9%8.0%24.6%38.0%28.1%5.4%5.6%7.9M-148.1M-1.1M0.943.07N/AN/A699657324,12871,076
2012-12-17$15.05$14.0027.8%8.0%25.6%37.8%27.9%4.8%5.6%9.2M-181.7M-1.1M0.313.93N/AN/A1,638514324,36571,468
2012-12-18$15.19$14.0027.7%7.9%19.0%38.5%27.1%5.5%5.7%9.7M-194.0M-1.1M0.293.51N/AN/A2,017578324,19371,668
2012-12-19$15.28$14.0028.3%8.1%17.3%41.5%29.3%5.8%5.3%9.0M-205.7M-1.1M0.153.57N/AN/A4,732716324,20571,872
2012-12-20$15.32$14.0027.6%7.9%17.2%39.4%28.8%5.2%4.8%9.3M-206.0M-1.1M0.273.37N/AN/A4,6971,259323,17971,366
2012-12-21$15.32$14.0027.8%8.0%16.9%39.9%28.3%3.5%5.4%8.3M-207.9M-1.1M0.382.85N/AN/A5,4822,060323,23372,230
2012-12-24$15.24$14.0027.5%7.9%14.2%39.2%27.1%3.8%4.8%8.2M-181.4M-1.1M0.432.12N/AN/A1,784770301,75760,247
2012-12-26$15.29$14.0028.4%8.1%14.1%41.8%28.1%4.5%3.8%8.1M-184.7M-1.1M0.393.54N/AN/A3,3991,309302,83360,709
2012-12-27$15.33$14.0028.0%8.0%14.0%40.5%28.6%3.8%4.2%8.2M-192.7M-1.1M0.873.47N/AN/A1,4901,292303,78860,312
2012-12-28$15.25$14.0027.8%8.0%14.2%39.9%27.8%3.9%3.9%8.2M-186.8M-1.1M1.323.89N/AN/A1,2591,664303,46560,282
2012-12-31$15.59$14.0025.8%7.4%15.9%34.0%28.4%6.4%3.8%8.1M-211.4M-1.1M0.862.58N/AN/A2,0561,763303,82261,390