BX Options History — November 2013

In November 2013, BX traded between $25.79 and $28.58. ATM implied volatility averaged 27.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 11.8% (HV 20d: 39.5%). Max pain ranged from $20.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2013-11-25: Highest Volume — 33,828 contracts
  • 2013-11-07: Largest IV spike — 9.6% change
  • 2013-11-12: Highest IV Rank — 33.6%
  • 2013-11-26: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.15$25.79$28.58$26.99$28.58
Max Pain$29.55$20.00$35.00$26.00$30.00
ATM IV27.7%25.1%29.6%26.9%25.3%
Expected Move9.0%7.7%9.5%7.7%9.2%
HV 20d39.5%35.2%42.8%38.8%36.8%
HV 60d31.4%29.0%32.9%29.0%32.8%
IV Rank25.2%14.4%33.6%21.9%15.1%
IV Percentile45.5%17.5%67.9%34.5%19.0%
Term Structure0.4%-0.5%1.2%0.2%0.5%
VWIV31.5%25.0%37.6%28.3%32.4%
Skew 25d3.6%2.9%4.7%3.5%3.7%
Skew 10d8.3%6.6%12.5%8.3%9.8%
Call IV 25d26.1%23.5%28.2%25.4%23.5%
Put IV 25d29.7%27.1%32.0%28.9%27.1%
Bid-Ask Spread %5.393.8115.594.894.78
Gamma HHI0.200.170.220.210.20
Net GEX11.0M7.7M13.5M11.5M12.7M
Net DEX-442.9M-584.2M-302.4M-408.3M-584.2M
Net VEX-2.2M-2.3M-2.0M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.132.260.340.36
Total Volume13,566.655,06833,8289,9657,705
Total OI525,559496,958550,208504,166549,011

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$26.99$26.0026.9%7.7%38.8%21.9%28.3%3.5%0.2%11.5M-408.3M-2.1M0.344.89N/AN/A7,4622,503309,860194,306
2013-11-04$27.45$26.0027.3%7.9%39.1%23.6%28.6%3.3%0.7%10.5M-443.8M-2.1M0.315.25N/AN/A7,2512,274304,817192,141
2013-11-05$27.32$26.0026.9%7.7%37.0%22.0%31.0%4.1%1.2%10.6M-435.0M-2.1M0.236.23N/AN/A4,160939306,150192,669
2013-11-06$27.45$26.0026.9%7.7%35.2%22.1%25.0%3.9%0.6%11.0M-444.6M-2.1M0.845.63N/AN/A2,7472,321307,164192,875
2013-11-07$26.11$26.0029.5%8.5%37.0%33.2%28.6%4.7%-0.2%8.5M-323.3M-2.0M1.4915.59N/AN/A5,4388,094307,681193,177
2013-11-08$25.91$26.5029.1%8.3%35.9%31.2%28.6%4.2%0.3%7.7M-302.4M-2.0M0.324.94N/AN/A18,9025,959308,346198,817
2013-11-11$26.62$0.0028.8%9.0%37.2%29.9%30.9%3.1%0.2%10.5M-382.1M-2.1M0.217.11N/AN/A11,0512,293317,360198,542
2013-11-12$25.79$20.0029.6%9.3%38.8%33.6%34.9%3.8%0.1%8.9M-313.0M-2.0M1.455.76N/AN/A6,2999,103323,462199,312
2013-11-13$26.97$20.0028.5%9.4%42.1%28.7%30.5%2.9%0.5%12.0M-435.2M-2.1M0.263.90N/AN/A21,0585,533327,553202,390
2013-11-14$27.57$35.0028.2%9.4%42.8%27.4%28.9%3.1%-0.3%12.7M-499.0M-2.3M0.354.09N/AN/A6,9252,449338,149202,452
2013-11-15$27.56$35.0027.4%9.5%42.1%24.0%30.6%3.5%-0.4%12.9M-502.0M-2.3M0.154.15N/AN/A13,5242,017339,130203,491
2013-11-18$27.34$35.0027.8%9.5%42.2%25.9%31.3%3.4%1.2%11.1M-468.5M-2.3M0.343.83N/AN/A7,9452,725331,625190,785
2013-11-19$26.47$35.0029.3%9.4%42.5%32.1%33.8%3.1%0.6%10.2M-390.8M-2.2M0.644.63N/AN/A7,4514,763335,575192,347
2013-11-20$26.29$35.0028.7%9.5%41.1%29.7%30.8%3.6%0.6%10.0M-375.4M-2.2M0.904.88N/AN/A4,0143,628337,896194,406
2013-11-21$26.74$32.0027.1%9.5%40.8%22.8%37.6%3.1%1.0%10.6M-419.5M-2.2M2.263.81N/AN/A3,0906,969339,377196,605
2013-11-22$27.26$32.0026.8%9.5%41.3%21.6%36.1%3.5%-0.5%11.2M-464.4M-2.3M0.904.41N/AN/A5,8845,289340,239201,856
2013-11-25$28.04$32.0027.4%9.5%42.2%24.0%34.2%3.1%0.4%11.6M-539.6M-2.3M0.134.67N/AN/A29,9173,911339,481201,822
2013-11-26$28.14$32.0026.5%9.5%40.4%20.3%34.6%3.8%1.1%13.5M-549.9M-2.3M0.445.30N/AN/A12,0005,257347,039203,169
2013-11-27$28.43$32.0025.1%9.5%36.9%14.4%32.9%4.7%0.6%13.0M-577.7M-2.3M0.443.96N/AN/A8,6553,828345,843204,260
2013-11-29$28.58$30.0025.3%9.2%36.8%15.1%32.4%3.7%0.5%12.7M-584.2M-2.2M0.364.78N/AN/A5,6652,040342,915206,096