BX Options History — August 2007

In August 2007, BX traded between $22.74 and $25.71. ATM implied volatility averaged 50.0%. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 7.3% (HV 20d: 42.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-08-13: Highest Volume — 17,061 contracts
  • 2007-08-13: Largest IV drop — 30.1% change
  • 2007-08-03: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.27$22.74$25.71$24.31$23.13
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV50.0%39.2%66.6%56.9%41.2%
Expected Move13.9%11.2%16.6%16.3%11.8%
HV 20d42.7%40.0%46.1%42.5%40.5%
Term Structure1.0%-2.9%4.8%-1.4%4.8%
VWIV49.1%40.8%59.6%59.1%41.1%
Skew 25d2.3%-3.3%6.5%0.8%0.7%
Skew 10d2.6%-8.2%11.8%1.9%-8.2%
Call IV 25d49.8%42.6%61.8%61.8%43.1%
Put IV 25d52.1%41.2%63.8%62.6%43.9%
Bid-Ask Spread %18.548.3044.5216.049.29
Gamma HHI0.230.190.260.230.22
Net GEX202.5K-8.4K426.2K209.8K102.6K
Net DEX1.9M-17.1M13.4M7.8M8.1M
Net VEX-440.7K-468.5K-362.8K-362.8K-430.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.131.431.430.33
Total Volume8,386.5223,01517,06111,6243,322
Total OI116,383.65296,832126,69396,832122,802

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$24.31$25.0056.9%16.3%42.5%0.0%59.1%0.8%-1.4%209.8K7.8M-362.8K1.4316.04N/AN/A4,7896,83556,69940,133
2007-08-02$25.33$25.0056.8%16.3%44.1%0.0%58.2%2.6%-2.9%293.8K-3.0M-404.4K0.7925.92N/AN/A6,7565,32859,56543,259
2007-08-03$24.39$25.0057.8%16.6%42.8%0.0%59.6%4.1%-0.9%288.3K4.0M-422.5K1.3622.18N/AN/A4,8126,55862,36646,058
2007-08-06$24.53$25.0064.0%15.9%43.1%0.0%56.1%5.0%-2.5%222.3K5.1M-440.1K1.4222.05N/AN/A3,7465,30264,31849,932
2007-08-07$24.90$25.0053.4%14.8%41.7%0.0%52.1%4.2%-2.0%404.5K-3.3M-442.4K0.6727.57N/AN/A6,5694,40566,32248,453
2007-08-08$25.27$25.0049.8%13.5%42.1%0.0%47.5%3.7%-0.0%426.2K-8.1M-458.5K0.5125.74N/AN/A4,4982,31069,16450,040
2007-08-09$24.92$25.0054.3%14.3%40.0%0.0%50.7%6.5%-0.3%320.1K-1.5M-451.4K0.7044.52N/AN/A1,7711,24468,60850,372
2007-08-10$25.28$25.0066.6%14.2%40.9%0.0%50.5%3.6%-1.8%421.7K-6.3M-452.6K0.4126.49N/AN/A9,8564,05468,88950,719
2007-08-13$25.71$25.0046.5%13.6%41.8%0.0%47.3%1.8%1.4%398.9K-17.1M-460.9K0.4826.45N/AN/A11,5565,50569,90752,021
2007-08-14$24.57$25.0049.8%13.3%43.9%0.0%46.5%-0.1%0.6%138.2K79.8K-463.2K0.2918.26N/AN/A9,0282,64670,38153,426
2007-08-15$23.69$25.0049.0%14.3%44.5%0.0%50.0%-1.1%0.7%20.5K11.3M-441.6K0.7711.68N/AN/A4,0493,12970,09852,339
2007-08-16$23.90$25.0053.3%15.3%43.5%0.0%56.2%1.8%1.6%50.6K11.9M-444.9K0.7410.89N/AN/A8,0625,92871,31552,005
2007-08-17$24.08$25.0052.5%15.1%40.3%0.0%54.8%4.0%-0.3%303.7K-20.1K-468.5K0.4014.18N/AN/A5,9882,36774,12052,573
2007-08-20$23.39$25.0051.7%14.8%40.6%0.0%50.4%4.5%1.7%-8.4K9.8M-437.0K0.4921.41N/AN/A3,2131,56560,23347,702
2007-08-21$23.51$25.0049.7%14.3%40.1%0.0%49.2%4.2%2.1%6.8K9.2M-432.8K0.2323.15N/AN/A2,76162561,69348,052
2007-08-22$24.94$25.0042.2%12.1%45.9%0.0%43.7%2.4%4.2%200.6K-8.3M-459.1K0.2612.75N/AN/A5,1851,36662,84348,117
2007-08-23$25.27$25.0039.2%11.2%46.1%0.0%40.8%-0.6%3.6%315.3K-12.0M-448.1K0.1910.40N/AN/A7,6941,46564,39448,302
2007-08-24$24.42$25.0040.3%11.6%43.2%0.0%40.8%-3.3%3.4%265.7K-6.1M-467.1K0.6817.94N/AN/A3,2322,18567,70048,997
2007-08-27$23.80$25.0041.2%11.8%44.1%0.0%43.0%0.2%1.8%118.4K3.9M-452.0K0.218.30N/AN/A4,37692768,70049,797
2007-08-28$23.04$25.0047.2%13.5%45.0%0.0%46.0%2.0%2.4%82.2K12.2M-442.4K0.429.93N/AN/A3,4721,46970,73349,984
2007-08-29$22.98$25.0043.0%12.3%44.7%0.0%42.2%3.1%4.2%31.9K12.6M-426.2K0.208.63N/AN/A6,3151,27171,88050,020
2007-08-30$22.74$25.0043.8%12.6%41.6%0.0%44.0%3.0%3.9%42.9K13.4M-427.1K0.1312.72N/AN/A4,74760971,74650,047
2007-08-31$23.13$25.0041.2%11.8%40.5%0.0%41.1%0.7%4.8%102.6K8.1M-430.5K0.339.29N/AN/A2,50481872,68050,122