BX Options History — February 2013

In February 2013, BX traded between $17.99 and $19.31. ATM implied volatility averaged 27.2%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 10.3% (HV 20d: 37.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-02-06: Highest Volume — 1,601,312 contracts
  • 2013-02-25: Largest IV spike — 18.6% change
  • 2013-02-25: Highest IV Rank — 54.4%
  • 2013-02-25: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.66$17.99$19.31$19.10$18.90
Max Pain$17.58$16.00$18.00$16.00$18.00
ATM IV27.2%24.1%32.6%26.7%27.3%
Expected Move7.6%6.9%9.3%7.0%7.8%
HV 20d37.6%31.9%42.0%31.9%38.3%
HV 60d27.9%26.9%28.9%28.1%28.1%
IV Rank38.2%28.9%54.4%36.6%38.6%
IV Percentile35.2%11.9%73.4%29.0%38.1%
Term Structure1.1%-0.9%2.9%1.2%1.9%
VWIV27.6%24.2%32.1%29.1%28.9%
Skew 25d3.4%1.1%13.3%3.0%3.3%
Skew 10d8.1%2.3%41.0%4.7%11.7%
Call IV 25d26.0%23.1%31.9%23.1%26.7%
Put IV 25d29.4%26.1%39.5%26.1%30.0%
Bid-Ask Spread %3.422.354.712.833.42
Gamma HHI0.220.190.260.200.20
Net GEX3.4M2.1M4.4M4.4M4.1M
Net DEX-159.8M-223.6M-116.7M-223.6M-178.3M
Net VEX-1.1M-1.6M-807.7K-842.2K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.190.270.28
Total Volume104,488.5262,6361,601,31215,6312,636
Total OI279,201.211223,925367,529250,959367,529

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$19.10$16.0026.7%7.0%31.9%36.6%29.1%3.0%1.2%4.4M-223.6M-842.2K0.272.83N/AN/A12,3033,328183,76367,196
2013-02-04$18.84$16.0028.9%7.6%32.6%43.3%28.4%2.1%0.5%4.2M-202.9M-875.6K1.194.36N/AN/A6,7007,956183,37368,600
2013-02-05$18.94$16.0027.4%7.5%32.3%38.7%27.7%1.1%0.4%4.3M-210.0M-857.0K0.203.79N/AN/A12,2832,434185,55672,017
2013-02-06$18.64$16.0029.9%7.2%33.1%46.3%24.2%13.3%-0.1%3.7M-201.2M-821.1K0.002.97N/AN/A1,598,7532,559184,46573,341
2013-02-07$17.99$18.0025.9%7.4%36.1%34.4%26.4%2.4%1.1%2.1M-116.7M-838.1K0.332.35N/AN/A16,0305,320151,09974,751
2013-02-08$18.02$18.0024.9%7.1%36.1%31.3%24.6%2.8%2.3%2.4M-121.5M-842.6K0.442.65N/AN/A3,8601,695154,63375,010
2013-02-11$18.11$18.0025.1%7.2%36.0%31.7%26.0%2.6%1.7%2.4M-119.6M-814.6K0.113.19N/AN/A7,457822152,29076,024
2013-02-12$18.60$18.0024.1%6.9%36.9%28.9%24.9%3.3%1.4%3.6M-140.4M-827.8K0.234.71N/AN/A6,3231,485152,64976,419
2013-02-13$18.25$18.0026.6%7.6%37.8%36.5%26.9%3.0%0.7%2.3M-121.1M-807.7K0.863.26N/AN/A12,50010,707151,11276,787
2013-02-14$18.58$18.0024.4%7.0%38.2%29.9%26.5%2.1%1.8%3.6M-139.8M-838.5K0.793.90N/AN/A4,4783,534159,02081,752
2013-02-15$19.31$18.0025.7%7.4%39.9%33.6%26.7%2.7%1.1%3.7M-176.7M-844.5K0.293.45N/AN/A21,2706,085159,03183,463
2013-02-19$19.15$18.0024.8%7.1%38.9%31.0%25.4%2.6%2.9%3.0M-156.7M-822.9K0.034.71N/AN/A134,8094,347149,15874,767
2013-02-20$18.73$18.0026.7%7.6%39.7%36.6%28.4%2.9%1.6%3.8M-165.6M-1.5M0.242.76N/AN/A14,6273,467264,35078,022
2013-02-21$18.59$18.0028.8%8.3%39.9%43.0%30.3%3.2%-0.4%3.6M-149.5M-1.4M0.733.15N/AN/A8,6376,345259,49779,587
2013-02-22$19.03$18.0027.5%7.9%40.5%39.0%28.2%3.2%1.0%3.9M-159.0M-1.4M0.862.96N/AN/A7,1216,150253,66480,804
2013-02-25$18.56$18.0032.6%9.3%41.7%54.4%32.1%4.2%-0.9%3.4M-143.2M-1.5M0.454.19N/AN/A20,0378,977258,71283,261
2013-02-26$18.43$18.0031.8%9.1%41.6%52.1%31.5%3.6%0.6%3.5M-146.0M-1.5M0.413.67N/AN/A3,9341,618268,79786,737
2013-02-27$18.80$18.0028.0%8.0%42.0%40.5%28.2%3.8%1.4%3.8M-164.1M-1.6M0.132.62N/AN/A13,0111,684270,93686,651
2013-02-28$18.90$18.0027.3%7.8%38.3%38.6%28.9%3.3%1.9%4.1M-178.3M-1.6M0.283.42N/AN/A2,052584280,32287,207