BX Options History — July 2007

In July 2007, BX traded between $24.01 and $31.50. ATM implied volatility averaged 43.4%. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.0% (HV 20d: 43.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-07-30: Highest Volume — 18,831 contracts
  • 2007-07-27: Largest IV spike — 22.4% change
  • 2007-07-27: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.01$24.01$31.50$29.27$24.01
Max Pain$28.50$25.00$30.00$30.00$25.00
ATM IV43.4%31.9%62.9%38.5%60.2%
Expected Move12.8%9.3%18.0%11.0%17.3%
HV 20d43.4%42.0%44.5%44.4%42.8%
Term Structure-1.6%-11.1%5.9%1.5%-4.7%
VWIV46.0%32.2%64.4%38.6%60.3%
Skew 25d-1.6%-7.4%8.2%-2.3%-3.3%
Skew 10d-1.3%-9.9%10.5%2.3%-6.7%
Call IV 25d48.4%34.8%65.1%40.8%63.6%
Put IV 25d46.8%33.7%67.5%38.6%60.3%
Bid-Ask Spread %14.526.2325.6425.4425.64
Gamma HHI0.380.220.630.630.25
Net GEX392.1K0855.1K0284.7K
Net DEX-3.8M-19.4M8.7M06.2M
Net VEX-170.7K-337.7K00-337.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.222.720.781.58
Total Volume8,643.2862,25118,8312,8969,925
Total OI41,956091,244091,244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$29.27$0.0038.5%11.0%0.0%0.0%38.6%0.0%1.5%0000.7825.44N/AN/A1,6291,26700
2007-07-03$29.72$30.0032.3%9.3%0.0%0.0%32.2%-2.3%3.6%91.4K-1.0M-11.8K0.346.23N/AN/A2,7279161,375887
2007-07-05$30.63$30.0034.9%10.0%0.0%0.0%35.0%-4.5%5.9%187.3K-3.8M-28.3K0.2613.68N/AN/A11,0892,9263,4701,728
2007-07-06$31.50$30.0031.9%11.6%0.0%0.0%43.8%-6.2%4.4%422.4K-15.0M-93.1K0.2914.03N/AN/A5,7791,69211,4074,155
2007-07-09$31.48$30.0034.1%11.6%0.0%0.0%45.2%-7.1%2.3%373.3K-19.4M-108.2K0.2219.14N/AN/A4,18193814,4165,216
2007-07-10$29.93$30.0033.6%11.1%0.0%0.0%42.8%-4.5%0.8%576.4K-12.7M-118.2K0.4914.81N/AN/A6,7893,35616,4515,915
2007-07-11$29.18$30.0034.3%12.0%0.0%0.0%43.9%-7.4%-1.3%340.3K-5.0M-129.4K0.377.70N/AN/A5,1781,91719,3588,552
2007-07-12$30.00$30.0038.6%11.1%0.0%0.0%39.3%0.7%0.7%724.3K-14.4M-162.8K0.9210.41N/AN/A3,9053,60121,8989,720
2007-07-13$29.85$30.0038.7%11.1%0.0%0.0%39.1%-1.1%-0.6%855.1K-13.5M-175.5K0.3313.68N/AN/A4,5841,53123,71811,659
2007-07-16$29.69$30.0040.0%11.5%0.0%0.0%40.5%2.7%-2.3%532.1K-6.7M-168.1K0.2515.56N/AN/A1,80145024,69712,612
2007-07-17$29.21$30.0040.3%11.6%0.0%0.0%41.0%-1.4%-1.8%852.7K-7.2M-176.9K0.5811.78N/AN/A1,46184525,40512,865
2007-07-18$28.40$30.0040.8%11.7%0.0%0.0%41.0%8.2%-3.2%211.5K3.9M-146.8K0.2610.07N/AN/A4,7771,21925,64213,131
2007-07-19$27.33$30.0041.9%12.0%0.0%0.0%0.0%-1.1%-0.9%211.1K5.6M-155.7K0.7111.20N/AN/A8,5076,02328,05914,119
2007-07-20$25.95$30.0049.2%14.1%0.0%0.0%50.8%-3.1%-5.6%152.1K8.7M-203.7K0.457.52N/AN/A9,6164,30933,47819,258
2007-07-23$26.37$30.0047.4%13.6%0.0%0.0%47.0%0.9%-4.5%353.4K-1.4M-231.3K0.4016.17N/AN/A8,2403,27836,58920,010
2007-07-24$25.71$25.0052.1%14.9%44.4%0.0%53.9%-2.5%-9.2%398.3K-1.9M-245.2K0.3215.07N/AN/A6,2832,02541,59121,912
2007-07-25$25.51$25.0047.4%13.6%42.9%0.0%47.8%-4.5%-4.4%495.2K-4.0M-263.5K0.9415.65N/AN/A1,9051,80046,15423,050
2007-07-26$25.70$25.0051.4%14.7%42.0%0.0%52.5%-0.2%-0.8%204.7K4.2M-236.0K0.8616.37N/AN/A7,4566,41946,99524,059
2007-07-27$24.30$25.0062.9%18.0%44.5%0.0%64.4%2.4%-11.1%434.1K878.1K-287.8K0.4717.60N/AN/A8,3803,95450,92326,647
2007-07-30$24.48$25.0059.8%17.1%43.8%0.0%61.0%1.8%-2.8%534.7K-2.4M-305.3K2.7217.21N/AN/A5,06813,76354,46828,243
2007-07-31$24.01$25.0060.2%17.3%42.8%0.0%60.3%-3.3%-4.7%284.7K6.2M-337.7K1.5825.64N/AN/A3,8516,07455,51935,725