BX Options History — September 2007

In September 2007, BX traded between $21.54 and $25.95. ATM implied volatility averaged 39.8%. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 3.1% (HV 20d: 42.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2007-09-19: Highest Volume — 22,080 contracts
  • 2007-09-18: Largest IV drop — 13.1% change
  • 2007-09-10: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.86$21.54$25.95$23.11$25.08
Max Pain$23.68$22.50$25.00$25.00$25.00
ATM IV39.8%35.0%45.0%41.2%35.0%
Expected Move11.7%10.0%14.0%11.8%10.0%
HV 20d42.9%39.9%46.7%40.4%39.9%
HV 60d43.0%42.3%43.8%43.0%42.3%
Term Structure3.1%-1.2%5.5%4.5%4.2%
VWIV41.2%35.0%49.5%41.7%35.0%
Skew 25d0.8%-5.4%9.5%1.7%-3.2%
Skew 10d0.1%-15.3%18.5%10.8%-4.5%
Call IV 25d42.1%33.1%48.4%42.6%40.8%
Put IV 25d42.8%37.7%50.2%44.3%37.7%
Bid-Ask Spread %13.667.1822.7116.7412.37
Gamma HHI0.240.220.350.230.23
Net GEX467.7K-82.8K1.5M70.9K624.6K
Net DEX-18.9M-73.9M23.0M10.4M-37.6M
Net VEX-467.7K-511.5K-394.9K-417.5K-475.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.171.810.170.68
Total Volume9,482.1582,26322,0804,3132,263
Total OI140,666.053123,292157,735123,587130,962

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$23.11$25.0041.2%11.8%40.4%0.0%41.7%1.7%4.5%70.9K10.4M-417.5K0.1716.74N/AN/A3,68063373,27050,317
2007-09-05$21.98$25.0043.8%12.6%43.1%0.0%46.5%-0.3%3.0%-82.8K22.1M-394.9K0.3613.29N/AN/A7,1542,58173,51349,779
2007-09-06$22.16$25.0041.6%11.9%42.7%0.0%45.4%-0.1%4.9%56.7K16.5M-408.2K0.5514.32N/AN/A4,4562,45977,59550,927
2007-09-07$21.54$22.5045.0%13.3%43.3%0.0%46.9%0.7%2.7%4.5K23.0M-396.5K0.557.18N/AN/A7,9654,34280,47752,168
2007-09-10$21.88$22.5042.7%14.0%43.4%0.0%49.5%2.3%1.1%49.6K16.3M-426.7K0.9222.71N/AN/A5,9535,47384,41654,852
2007-09-11$22.89$22.5041.9%13.5%46.5%0.0%46.1%6.2%2.6%244.2K-2.0M-474.1K0.5817.71N/AN/A9,9265,72387,89157,585
2007-09-12$23.26$22.5040.1%12.9%44.7%0.0%44.2%8.9%2.5%330.0K-9.9M-505.0K0.9112.05N/AN/A5,2214,76591,22360,941
2007-09-13$23.41$22.5042.7%12.3%43.0%0.0%41.4%7.3%3.4%343.1K-10.4M-511.5K0.3511.36N/AN/A2,29381292,80263,076
2007-09-14$23.92$22.5039.3%11.3%43.6%0.0%40.4%9.5%3.8%480.8K-19.2M-510.4K1.7514.85N/AN/A3,4806,07392,87164,138
2007-09-17$23.65$22.5044.2%12.7%43.6%0.0%42.7%1.2%-1.2%467.3K-13.3M-502.3K1.8120.07N/AN/A3,6306,56593,25664,479
2007-09-18$24.55$22.5038.4%11.0%44.3%0.0%39.1%-0.2%2.4%1.3M-33.8M-486.4K0.8918.69N/AN/A8,0127,17094,06561,470
2007-09-19$25.66$22.5036.1%10.4%46.7%0.0%37.5%-0.9%2.8%1.5M-67.7M-482.6K0.229.91N/AN/A18,0524,02893,01059,922
2007-09-20$25.95$22.5038.8%11.1%42.2%0.0%40.0%-1.7%1.8%804.4K-73.9M-483.0K0.219.33N/AN/A10,5582,21690,71860,690
2007-09-21$25.32$25.0039.6%11.4%43.0%0.0%40.1%-5.4%1.4%860.2K-58.3M-478.1K0.7713.01N/AN/A7,0255,44190,99660,369
2007-09-24$24.53$25.0037.4%10.7%42.7%0.0%38.1%-4.1%4.3%293.6K-27.2M-482.1K0.2918.85N/AN/A7,1272,08273,16551,560
2007-09-25$24.39$25.0035.7%10.2%41.7%0.0%35.7%-3.0%5.2%376.3K-23.3M-478.6K1.388.28N/AN/A2,4213,34577,71551,985
2007-09-26$24.89$25.0035.7%10.2%40.2%0.0%35.9%-2.3%5.5%562.8K-35.1M-496.4K0.5510.35N/AN/A2,1871,20678,05051,678
2007-09-27$25.11$25.0035.9%10.3%40.2%0.0%36.0%-2.2%4.5%584.9K-36.6M-477.2K0.438.38N/AN/A2,6861,15878,34552,379
2007-09-28$25.08$25.0035.0%10.0%39.9%0.0%35.0%-3.2%4.2%624.6K-37.6M-475.2K0.6812.37N/AN/A1,34591878,49252,470