BX Options History — May 2013

In May 2013, BX traded between $20.35 and $23.45. ATM implied volatility averaged 29.8%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.3% (HV 20d: 30.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-05-06: Highest Volume — 37,565 contracts
  • 2013-05-22: Largest IV spike — 16.1% change
  • 2013-05-31: Highest IV Rank — 57.6%
  • 2013-05-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.35$20.35$23.45$20.35$21.89
Max Pain$20.64$20.00$22.00$21.00$22.00
ATM IV29.8%25.2%33.6%30.7%33.6%
Expected Move8.5%7.2%9.6%8.8%9.6%
HV 20d30.1%25.0%35.7%27.9%35.7%
HV 60d28.0%26.2%29.7%27.6%29.7%
IV Rank46.0%32.3%57.6%48.7%57.6%
IV Percentile57.0%21.8%84.1%64.7%84.1%
Term Structure1.2%-0.9%2.2%-0.8%0.2%
VWIV30.1%26.3%34.6%30.3%34.6%
Skew 25d2.9%1.0%4.3%2.1%3.3%
Skew 10d6.2%1.3%8.7%4.9%5.5%
Call IV 25d28.7%25.1%32.5%29.8%32.5%
Put IV 25d31.6%26.6%35.8%31.9%35.8%
Bid-Ask Spread %3.332.554.333.723.36
Gamma HHI0.170.130.190.130.16
Net GEX7.4M5.6M8.2M5.6M7.0M
Net DEX-353.9M-429.7M-223.7M-223.7M-326.3M
Net VEX-2.4M-2.7M-1.9M-1.9M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.121.370.181.07
Total Volume14,650.7735,67937,5656,34510,556
Total OI483,003.409451,270522,108451,270522,108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$20.35$21.0030.7%8.8%27.9%48.7%30.3%2.1%-0.8%5.6M-223.7M-1.9M0.183.72N/AN/A5,386959334,757116,513
2013-05-02$20.78$20.0029.9%8.6%28.2%46.4%30.0%1.0%-0.9%6.6M-255.5M-2.0M0.513.44N/AN/A6,2423,212337,273116,708
2013-05-03$21.75$20.0025.2%7.2%32.0%32.3%26.3%1.5%1.8%7.6M-319.2M-2.1M0.203.39N/AN/A21,8664,264338,084118,148
2013-05-06$22.49$20.0028.7%8.2%31.3%42.6%28.9%3.4%1.1%7.3M-355.8M-2.2M0.123.71N/AN/A33,4954,070335,695118,336
2013-05-07$22.21$20.0031.3%8.5%31.9%50.5%29.1%4.3%0.7%7.5M-345.6M-2.3M0.293.67N/AN/A16,6664,774349,367120,051
2013-05-08$22.45$20.0029.2%8.2%31.1%44.3%28.5%3.3%1.1%7.6M-357.6M-2.3M0.684.33N/AN/A4,5113,067352,337121,293
2013-05-09$22.00$20.0028.3%8.2%32.1%41.5%29.0%3.3%1.7%7.3M-332.1M-2.3M0.323.87N/AN/A9,9383,146353,085122,713
2013-05-10$21.95$20.0026.8%8.2%32.1%37.1%28.8%2.7%2.1%7.4M-331.1M-2.3M1.373.26N/AN/A6,8449,408357,231123,929
2013-05-13$22.20$20.0029.5%8.2%29.2%45.2%28.0%3.1%2.2%7.6M-349.9M-2.3M0.372.55N/AN/A4,1861,541360,444128,700
2013-05-14$22.53$20.0028.1%8.0%28.8%40.9%28.8%3.1%1.7%7.9M-375.9M-2.3M0.563.11N/AN/A9,1075,105362,637129,334
2013-05-15$22.64$20.0027.8%8.2%26.9%40.1%29.3%3.1%1.4%7.7M-376.6M-2.3M1.153.01N/AN/A3,3953,912361,676129,373
2013-05-16$22.94$20.0028.2%8.1%25.0%41.1%29.9%2.8%1.9%8.0M-397.7M-2.4M0.713.27N/AN/A6,5084,592358,829130,286
2013-05-17$23.45$21.0027.7%7.9%25.5%39.7%27.9%2.7%2.2%7.9M-429.7M-2.4M0.513.43N/AN/A6,3993,279359,235132,982
2013-05-20$23.42$21.0028.1%8.1%25.7%40.9%28.4%3.0%1.7%7.8M-404.0M-2.5M0.162.95N/AN/A17,8872,839346,482117,281
2013-05-21$23.33$21.0028.6%8.2%26.0%42.5%28.6%2.7%1.5%8.2M-414.8M-2.5M0.613.15N/AN/A5,7513,506359,973118,815
2013-05-22$22.38$21.0033.3%9.5%31.0%56.4%32.8%3.5%1.0%7.2M-358.0M-2.5M0.463.09N/AN/A17,5508,096361,108120,825
2013-05-23$22.25$21.0032.7%9.4%31.2%54.8%32.8%2.9%0.9%7.1M-344.8M-2.5M0.792.86N/AN/A14,49711,453363,719125,611
2013-05-24$22.65$21.0031.4%9.0%30.6%50.8%31.9%3.1%1.2%7.2M-373.5M-2.7M0.133.04N/AN/A5,029650368,374133,178
2013-05-28$23.10$21.0031.4%9.0%30.9%50.8%31.7%2.8%1.7%7.6M-405.6M-2.7M0.742.88N/AN/A5,9744,426369,711133,374
2013-05-29$22.29$22.0032.9%9.4%34.3%55.5%32.8%3.1%1.5%7.0M-343.4M-2.6M0.392.91N/AN/A8,8183,425369,872135,558
2013-05-30$22.56$22.0031.7%9.1%34.0%51.8%33.0%2.8%1.2%7.4M-365.1M-2.6M0.184.17N/AN/A13,5222,466373,841137,229
2013-05-31$21.89$22.0033.6%9.6%35.7%57.6%34.6%3.3%0.2%7.0M-326.3M-2.7M1.073.36N/AN/A5,0945,462384,409137,699