BX Options History — December 2013

In December 2013, BX traded between $27.75 and $31.50. ATM implied volatility averaged 28.5%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.7% (HV 20d: 26.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-12-12: Highest Volume — 50,371 contracts
  • 2013-12-30: Largest IV spike — 10.9% change
  • 2013-12-31: Highest IV Rank — 43.8%
  • 2013-12-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.70$27.75$31.50$29.10$31.50
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.5%25.8%32.0%26.2%32.0%
Expected Move9.3%9.1%9.7%9.3%9.1%
HV 20d26.8%19.3%37.6%36.3%19.3%
HV 60d32.8%32.1%33.6%32.8%32.1%
IV Rank28.7%17.0%43.8%18.9%43.8%
IV Percentile50.6%20.2%78.6%27.0%78.6%
Term Structure1.2%-2.3%3.8%1.4%-2.2%
VWIV33.5%31.0%39.2%32.6%33.8%
Skew 25d4.2%2.6%5.3%4.8%5.0%
Skew 10d9.2%6.1%12.3%9.2%12.3%
Call IV 25d26.7%24.4%29.6%24.4%29.6%
Put IV 25d30.9%28.2%34.7%29.2%34.7%
Bid-Ask Spread %8.143.9513.103.958.73
Gamma HHI0.300.190.540.230.35
Net GEX14.4M9.8M47.2M12.9M10.0M
Net DEX-664.4M-780.5M-481.0M-628.8M-738.9M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.071.961.230.07
Total Volume18,2654,46250,37131,49330,358
Total OI571,409.714531,570607,965544,569541,052

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$29.10$30.0026.2%9.3%36.3%18.9%32.6%4.8%1.4%12.9M-628.8M-2.2M1.233.95N/AN/A14,09217,401340,286204,283
2013-12-03$28.53$30.0027.6%9.3%36.8%25.1%32.7%3.9%0.3%11.7M-561.4M-2.2M0.2010.11N/AN/A20,7434,243343,351216,339
2013-12-04$28.17$30.0028.5%9.6%37.1%28.7%33.4%4.5%1.1%12.0M-518.4M-2.3M0.319.37N/AN/A11,7983,613351,060217,198
2013-12-05$27.75$30.0031.0%9.7%37.6%39.4%32.8%4.4%0.3%14.0M-481.0M-2.3M0.354.90N/AN/A16,6515,796358,543219,313
2013-12-06$28.24$30.0028.3%9.6%32.9%28.0%36.2%3.4%0.8%13.4M-558.8M-2.3M0.266.59N/AN/A16,4334,210366,794223,522
2013-12-09$28.51$30.0027.9%9.2%32.6%26.1%31.7%3.8%0.4%13.5M-567.7M-2.2M1.968.15N/AN/A4,1008,043356,623221,280
2013-12-10$29.21$30.0027.6%9.2%32.4%24.8%34.5%3.0%1.0%14.3M-647.3M-2.2M0.155.74N/AN/A22,1493,362356,634220,104
2013-12-11$29.15$30.0029.9%9.3%29.6%35.0%33.8%2.6%-0.1%17.5M-662.6M-2.2M0.266.00N/AN/A15,3994,071368,399219,463
2013-12-12$28.97$30.0031.1%9.4%26.1%40.0%31.8%4.2%0.4%19.2M-638.5M-2.2M0.095.52N/AN/A46,2714,100369,039220,743
2013-12-13$29.04$30.0029.9%9.3%25.1%34.6%39.2%4.0%0.9%47.2M-675.3M-2.3M1.095.97N/AN/A5,8356,344386,063221,902
2013-12-16$29.24$30.0030.9%9.3%25.1%39.0%31.8%5.1%1.3%13.7M-662.0M-2.3M0.596.69N/AN/A6,3533,747371,305221,435
2013-12-17$29.81$30.0029.9%9.4%25.4%34.7%31.0%5.3%2.1%13.1M-721.0M-2.3M0.779.25N/AN/A5,5094,217372,379224,095
2013-12-18$30.32$30.0027.3%9.3%21.8%23.8%34.7%4.7%3.7%13.2M-780.5M-2.2M0.8213.10N/AN/A14,09111,486372,559224,962
2013-12-19$30.13$30.0027.3%9.3%21.7%23.5%33.2%4.7%1.6%12.6M-742.6M-2.2M0.6510.22N/AN/A8,8545,774365,440228,481
2013-12-20$30.24$30.0026.6%9.1%21.4%20.4%32.3%4.8%1.3%13.0M-755.3M-2.2M0.199.61N/AN/A7,7221,496367,476230,725
2013-12-23$30.86$30.0025.8%9.6%21.5%17.0%33.3%4.4%3.5%10.6M-697.9M-2.2M0.558.40N/AN/A15,1658,326331,563200,007
2013-12-24$31.01$30.0025.8%9.1%19.9%17.1%36.5%3.9%3.2%10.6M-703.5M-2.2M0.469.35N/AN/A3,0531,409334,081206,707
2013-12-26$31.22$30.0026.4%9.2%19.9%19.8%32.9%3.7%2.4%10.6M-726.2M-2.2M0.669.11N/AN/A3,4442,277334,936207,310
2013-12-27$31.35$30.0027.7%9.1%19.8%25.3%33.2%3.3%3.8%9.8M-753.4M-2.1M0.289.52N/AN/A7,9732,209335,914208,576
2013-12-30$31.29$30.0030.7%9.2%19.9%38.3%31.6%4.7%-2.3%10.2M-730.8M-2.1M0.9710.65N/AN/A2,7642,684333,365206,297
2013-12-31$31.50$30.0032.0%9.1%19.3%43.8%33.8%5.0%-2.2%10.0M-738.9M-2.1M0.078.73N/AN/A28,4181,940333,669207,383