BX Options History — January 2013

In January 2013, BX traded between $16.16 and $18.50. ATM implied volatility averaged 25.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.6% (HV 20d: 20.6%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-01-07: Highest Volume — 36,038 contracts
  • 2013-01-30: Largest IV spike — 14.6% change
  • 2013-01-30: Highest IV Rank — 48.5%
  • 2013-01-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.28$16.16$18.50$16.19$18.50
Max Pain$15.95$14.00$17.00$14.00$17.00
ATM IV25.2%22.1%30.6%24.1%26.9%
Expected Move7.3%6.7%8.8%6.9%7.7%
HV 20d20.6%17.3%30.9%19.9%30.9%
HV 60d25.9%23.4%27.7%27.5%27.6%
IV Rank32.2%22.8%48.5%28.9%37.2%
IV Percentile18.7%3.2%59.1%9.5%31.7%
Term Structure1.0%-2.0%4.4%4.0%-1.7%
VWIV26.1%23.2%28.7%26.9%26.0%
Skew 25d3.3%-0.9%10.8%2.7%10.8%
Skew 10d9.5%-2.1%45.1%5.5%45.1%
Call IV 25d24.4%22.5%29.4%24.0%24.1%
Put IV 25d27.7%24.3%34.9%26.7%34.9%
Bid-Ask Spread %6.792.8859.732.886.56
Gamma HHI0.240.200.290.260.20
Net GEX5.4M3.4M7.7M7.7M4.2M
Net DEX-247.3M-335.4M-162.8M-260.0M-209.3M
Net VEX-956.3K-1.1M-850.3K-1.1M-900.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.081.790.540.52
Total Volume13,282.6672,25436,03815,64829,765
Total OI313,297.381234,104371,057366,272249,431

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$16.19$14.0024.1%6.9%19.9%28.9%26.9%2.7%4.0%7.7M-260.0M-1.1M0.542.88N/AN/A10,1715,477304,15762,115
2013-01-03$16.16$14.0025.5%7.3%20.1%33.2%25.8%3.2%4.4%7.6M-257.9M-1.1M0.273.13N/AN/A21,2555,682305,70965,348
2013-01-04$16.46$15.0024.3%8.1%20.6%29.4%27.2%4.4%2.0%7.3M-272.1M-1.0M0.584.80N/AN/A2,7511,590300,02162,262
2013-01-07$16.76$15.0022.1%7.3%21.0%22.8%25.8%3.7%1.6%6.9M-288.1M-1.0M0.184.93N/AN/A30,4255,613296,47363,225
2013-01-08$16.68$15.0024.9%7.4%21.3%31.4%28.1%4.5%0.8%5.9M-265.5M-969.5K1.794.31N/AN/A3,5156,287279,78766,414
2013-01-09$16.70$16.0024.9%7.2%20.4%31.1%25.7%3.7%1.4%5.7M-260.3M-956.6K0.263.53N/AN/A7,1121,829276,65273,119
2013-01-10$16.88$16.0025.0%7.2%20.5%31.6%25.8%4.4%1.0%5.7M-275.1M-969.2K0.213.44N/AN/A3,427716279,94473,213
2013-01-11$16.86$16.0024.4%7.0%20.6%29.7%24.5%4.4%1.6%5.9M-275.1M-969.4K0.363.78N/AN/A1,652602281,29173,413
2013-01-14$16.90$16.0025.0%7.2%18.6%31.6%26.5%4.3%1.0%5.9M-276.1M-962.0K0.403.88N/AN/A2,389955281,48773,755
2013-01-15$16.87$16.0025.1%7.2%18.4%32.0%26.3%2.5%1.1%5.1M-273.4M-959.4K0.283.75N/AN/A2,560712281,94874,253
2013-01-16$16.93$16.0025.4%7.3%17.3%32.8%26.2%3.2%0.8%5.7M-280.5M-950.8K0.224.24N/AN/A3,846865283,34074,283
2013-01-17$17.15$16.0025.3%7.2%17.4%32.4%25.5%2.8%1.2%6.2M-289.3M-976.8K0.214.55N/AN/A4,542949282,88273,908
2013-01-18$17.73$16.0023.6%6.8%19.9%27.5%25.1%2.6%0.5%6.0M-335.4M-962.1K0.583.75N/AN/A12,8887,483284,35774,266
2013-01-22$17.98$16.0023.7%6.8%20.0%27.6%24.1%3.0%0.5%5.1M-217.5M-927.8K0.084.30N/AN/A22,7961,805194,90851,779
2013-01-23$18.03$16.0023.6%6.8%19.8%27.3%24.0%2.5%0.8%4.3M-202.3M-894.3K1.694.39N/AN/A4,5277,670183,04152,299
2013-01-24$18.22$17.0023.3%6.7%19.2%26.4%23.2%1.8%1.0%4.0M-207.8M-917.3K0.123.99N/AN/A14,3681,691183,77456,435
2013-01-25$18.22$17.0026.6%7.6%19.4%36.5%26.8%1.6%0.0%3.5M-197.8M-900.5K1.313.99N/AN/A4,4555,840176,92757,177
2013-01-28$18.04$17.0028.6%8.2%20.4%42.4%28.7%-0.9%-0.0%3.4M-188.5M-895.2K0.524.92N/AN/A8,4104,359179,08360,679
2013-01-29$18.23$17.0026.7%7.7%19.8%36.7%27.0%-0.5%1.6%3.9M-199.4M-899.9K0.293.72N/AN/A3,6241,056184,32158,473
2013-01-30$17.44$17.0030.6%8.8%26.7%48.5%28.4%4.7%-2.0%4.1M-162.8M-850.3K0.3259.73N/AN/A17,5885,689184,62358,673
2013-01-31$18.50$17.0026.9%7.7%30.9%37.2%26.0%10.8%-1.7%4.2M-209.3M-900.7K0.526.56N/AN/A19,52610,239189,34860,083