BX Options History — September 2013

In September 2013, BX traded between $21.99 and $25.00. ATM implied volatility averaged 26.6%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.4% (HV 20d: 22.2%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-09-18: Highest Volume — 41,801 contracts
  • 2013-09-12: Largest IV spike — 27.8% change
  • 2013-09-03: Highest IV Rank — 52.1%
  • 2013-09-09: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.58$21.99$25.00$22.14$24.89
Max Pain$22.45$21.00$23.00$22.00$23.00
ATM IV26.6%22.1%31.7%31.7%28.8%
Expected Move7.9%7.4%8.9%8.3%8.6%
HV 20d22.2%17.7%23.7%23.6%20.7%
HV 60d27.0%25.6%29.9%29.9%25.6%
IV Rank25.5%5.1%52.1%52.1%35.7%
IV Percentile29.6%1.6%67.1%67.1%54.8%
Term Structure1.4%-1.0%5.1%3.2%-1.0%
VWIV28.4%25.9%32.9%29.2%32.9%
Skew 25d4.8%4.2%5.5%4.8%5.4%
Skew 10d9.6%7.8%12.1%10.7%12.1%
Call IV 25d25.7%23.8%28.2%26.7%28.2%
Put IV 25d30.5%28.5%33.6%31.5%33.6%
Bid-Ask Spread %3.772.995.583.273.59
Gamma HHI0.190.130.330.140.24
Net GEX8.1M6.0M10.9M6.2M8.5M
Net DEX-324.6M-416.7M-206.4M-223.4M-393.8M
Net VEX-1.8M-1.8M-1.7M-1.8M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.154.342.712.96
Total Volume11,994.352,73241,8018,60314,554
Total OI473,379.6442,610497,482464,662455,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$22.14$22.0031.7%8.3%23.6%52.1%29.2%4.8%3.2%6.2M-223.4M-1.8M2.713.27N/AN/A2,3196,284308,753155,909
2013-09-04$22.18$22.0029.5%7.5%23.0%41.3%26.1%4.9%5.0%6.4M-221.3M-1.8M0.784.01N/AN/A2,1621,681309,418161,280
2013-09-05$21.99$22.0026.9%7.4%22.5%28.5%25.9%4.9%5.1%6.0M-206.4M-1.7M0.843.46N/AN/A1,5321,294309,748162,220
2013-09-06$22.28$21.0022.9%8.7%22.7%8.8%29.9%5.0%0.9%6.1M-224.8M-1.7M1.475.58N/AN/A1,5692,302309,849163,284
2013-09-09$22.42$22.0025.4%8.9%22.9%21.3%30.5%5.5%1.1%6.6M-238.2M-1.7M0.334.51N/AN/A21,3197,001309,629163,571
2013-09-10$22.78$22.0023.5%8.1%23.7%12.2%29.9%5.1%2.3%7.1M-276.9M-1.8M0.673.79N/AN/A2,4941,681319,168166,632
2013-09-11$22.85$22.0022.1%8.1%23.7%5.1%30.8%5.1%1.7%7.7M-284.5M-1.8M1.154.36N/AN/A3,0173,474318,050167,155
2013-09-12$22.76$22.0028.3%8.1%22.7%32.8%29.4%5.1%1.6%7.5M-277.5M-1.8M4.343.62N/AN/A4,05017,566318,380167,196
2013-09-13$22.83$22.0028.2%8.1%17.7%32.4%27.9%5.1%1.1%7.5M-276.7M-1.8M1.003.57N/AN/A1,3631,369317,772170,997
2013-09-16$23.70$22.0025.9%7.4%21.5%21.0%26.8%4.5%1.4%9.5M-345.1M-1.8M0.324.32N/AN/A14,6384,672317,503170,485
2013-09-17$23.70$23.0025.9%7.4%20.7%20.9%27.2%4.9%1.6%9.7M-350.0M-1.8M0.153.64N/AN/A8,6171,315318,616171,482
2013-09-18$24.50$23.0027.3%7.8%22.8%27.8%28.5%4.5%0.7%9.3M-415.7M-1.8M0.473.41N/AN/A28,46013,341322,861171,833
2013-09-19$24.50$23.0026.9%7.7%22.4%25.8%26.8%4.7%1.2%9.4M-416.7M-1.8M0.593.73N/AN/A8,2924,885323,626172,394
2013-09-20$24.25$23.0026.6%7.6%23.1%24.5%26.0%4.2%1.1%9.5M-399.3M-1.8M0.463.52N/AN/A6,3212,910325,652171,830
2013-09-23$24.12$23.0026.9%7.7%23.1%26.1%26.6%4.6%0.4%7.9M-340.0M-1.8M0.873.54N/AN/A3,6123,129299,660142,950
2013-09-24$24.69$23.0025.9%7.4%22.9%20.7%27.0%4.3%0.5%8.2M-383.7M-1.8M0.392.99N/AN/A6,2412,403301,217145,509
2013-09-25$24.95$23.0027.5%7.9%21.3%28.8%29.9%4.4%0.4%8.7M-404.0M-1.8M0.743.26N/AN/A8,8376,538303,872145,578
2013-09-26$25.00$23.0027.0%7.7%21.4%26.3%27.8%4.3%0.5%8.9M-409.6M-1.8M2.213.50N/AN/A3,3507,412306,310143,909
2013-09-27$25.00$23.0025.1%8.0%21.1%17.0%29.1%4.5%0.1%10.9M-404.1M-1.8M1.883.67N/AN/A2,7365,147306,664150,726
2013-09-30$24.89$23.0028.8%8.6%20.7%35.7%32.9%5.4%-1.0%8.5M-393.8M-1.8M2.963.59N/AN/A3,67310,881305,595150,309