BX Options History — March 2013

In March 2013, BX traded between $18.70 and $20.89. ATM implied volatility averaged 26.9%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.3% (HV 20d: 27.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-03-19: Highest Volume — 42,407 contracts
  • 2013-03-14: Largest IV spike — 16.5% change
  • 2013-03-25: Highest IV Rank — 46.9%
  • 2013-03-25: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.79$18.70$20.89$18.78$19.78
Max Pain$18.95$18.00$19.00$18.00$19.00
ATM IV26.9%21.8%30.1%27.8%28.9%
Expected Move8.1%7.3%8.6%8.0%8.3%
HV 20d27.2%22.9%32.5%32.5%23.6%
HV 60d28.9%28.1%29.9%28.1%29.8%
IV Rank37.2%21.9%46.9%40.0%43.3%
IV Percentile37.5%2.0%61.5%43.3%56.0%
Term Structure0.4%-0.6%1.9%1.9%0.1%
VWIV28.6%26.1%31.4%28.3%29.2%
Skew 25d3.3%2.2%5.1%3.5%3.1%
Skew 10d7.0%5.0%9.9%9.9%6.4%
Call IV 25d27.0%24.8%28.9%27.4%28.1%
Put IV 25d30.3%27.1%33.2%30.9%31.2%
Bid-Ask Spread %3.752.824.922.824.51
Gamma HHI0.200.160.260.200.17
Net GEX4.6M3.9M6.3M3.9M4.6M
Net DEX-227.0M-298.0M-170.3M-174.1M-220.3M
Net VEX-1.8M-2.0M-1.6M-1.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.092.240.440.92
Total Volume12,539.82,30742,4072,30711,524
Total OI394,525.1359,478426,938367,654426,938

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$18.78$18.0027.8%8.0%32.5%40.0%28.3%3.5%1.9%3.9M-174.1M-1.6M0.442.82N/AN/A1,605702280,35687,298
2013-03-04$18.70$19.0027.6%8.5%30.3%39.4%30.2%4.3%-0.6%4.0M-170.3M-1.6M0.284.92N/AN/A3,292922281,27287,402
2013-03-05$19.01$19.0026.8%8.3%30.6%36.9%29.1%3.5%-0.1%4.5M-187.3M-1.7M0.734.04N/AN/A11,8538,611282,97886,913
2013-03-06$18.93$19.0027.2%7.8%30.5%38.3%27.5%3.4%0.5%4.2M-185.7M-1.6M0.434.43N/AN/A4,8172,074287,50191,294
2013-03-07$19.05$19.0024.9%7.9%30.0%31.2%28.6%3.4%0.4%4.4M-195.1M-1.6M1.663.86N/AN/A2,5884,297290,17592,141
2013-03-08$19.63$19.0021.8%7.5%28.4%21.9%28.3%3.4%0.9%4.8M-225.7M-1.7M0.412.90N/AN/A6,0972,509291,07095,602
2013-03-11$19.99$19.0023.5%7.9%28.8%27.2%28.8%3.5%-0.4%5.1M-246.5M-1.8M0.333.62N/AN/A9,1543,009291,49596,914
2013-03-12$20.00$19.0023.0%7.8%28.8%25.6%27.6%3.0%0.1%5.2M-248.4M-1.7M0.254.20N/AN/A13,2893,268292,34797,683
2013-03-13$20.44$19.0022.3%8.0%28.4%23.6%27.7%3.4%-0.1%5.1M-271.6M-1.7M0.473.32N/AN/A12,1675,714294,94198,787
2013-03-14$20.63$19.0026.0%7.5%27.0%34.7%27.3%3.3%0.4%5.2M-282.5M-1.8M0.233.56N/AN/A7,4401,712297,32099,977
2013-03-15$20.89$19.0025.5%7.3%26.7%33.2%26.1%2.4%0.2%6.3M-298.0M-1.8M0.523.90N/AN/A9,9015,107298,081100,698
2013-03-18$20.39$19.0028.6%8.2%25.8%42.5%28.7%3.4%0.0%4.3M-237.2M-1.8M0.804.08N/AN/A11,6979,375279,14080,338
2013-03-19$20.08$19.0029.4%8.4%26.4%44.8%29.7%3.5%0.5%3.9M-222.0M-1.9M0.094.34N/AN/A38,9913,416284,54287,486
2013-03-20$20.30$19.0028.7%8.2%24.8%42.8%28.0%2.2%1.1%4.7M-246.3M-2.0M0.223.01N/AN/A7,1531,563320,53889,163
2013-03-21$19.90$19.0028.6%8.2%26.0%42.5%28.6%2.7%1.2%4.5M-228.3M-2.0M0.523.77N/AN/A4,5612,373324,50990,158
2013-03-22$19.71$19.0029.9%8.6%25.2%46.2%31.4%5.1%-0.1%4.2M-215.9M-2.0M2.243.56N/AN/A4,3319,715324,56191,824
2013-03-25$19.63$19.0030.1%8.6%23.3%46.9%30.3%4.1%-0.2%4.4M-215.0M-2.0M0.113.75N/AN/A14,5931,590326,68892,420
2013-03-26$20.00$19.0028.7%8.2%23.6%42.8%28.8%3.2%0.8%4.8M-234.4M-2.0M0.503.58N/AN/A3,6721,842331,09392,875
2013-03-27$20.05$19.0028.1%8.1%22.9%40.9%28.3%2.5%1.4%4.9M-236.3M-2.0M0.542.86N/AN/A2,7661,506332,70293,282
2013-03-28$19.78$19.0028.9%8.3%23.6%43.3%29.2%3.1%0.1%4.6M-220.3M-2.0M0.924.51N/AN/A6,0175,507333,02293,916