BX Options History — October 2007

In October 2007, BX traded between $25.29 and $29.08. ATM implied volatility averaged 44.2%. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 5.4% (HV 20d: 38.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2007-10-03: Highest Volume — 15,108 contracts
  • 2007-10-03: Largest IV spike — 17.7% change
  • 2007-10-25: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.72$25.29$29.08$25.58$25.43
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV44.2%34.5%50.9%34.5%48.4%
Expected Move12.9%9.9%14.6%9.9%13.9%
HV 20d38.8%35.5%41.9%40.0%35.5%
HV 60d41.8%39.5%43.4%42.1%39.5%
Term Structure-1.7%-5.2%5.8%5.8%-4.5%
VWIV45.3%35.3%51.0%35.3%49.0%
Skew 25d1.9%-2.6%10.4%-2.6%2.2%
Skew 10d2.5%-8.4%19.1%-0.5%0.0%
Call IV 25d45.0%26.5%53.0%41.1%48.7%
Put IV 25d46.9%36.9%53.1%38.5%51.0%
Bid-Ask Spread %12.074.5523.2710.6211.17
Gamma HHI0.350.240.420.240.33
Net GEX1.2M536.5K2.0M742.4K536.5K
Net DEX-68.9M-120.9M-27.1M-46.9M-29.5M
Net VEX-492.2K-527.8K-469.1K-469.1K-527.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.181.920.340.72
Total Volume6,624.2611,73015,1084,6157,435
Total OI145,647.087131,730158,933131,730158,933

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$25.58$25.0034.5%9.9%40.0%0.0%35.3%-2.6%5.8%742.4K-46.9M-469.1K0.3410.62N/AN/A3,4441,17179,15052,580
2007-10-02$26.08$25.0035.7%10.2%40.2%0.0%35.7%10.4%4.5%953.5K-60.9M-471.1K0.534.55N/AN/A3,9682,08680,42352,435
2007-10-03$27.17$25.0042.0%12.1%36.1%0.0%41.7%0.7%1.3%1.3M-80.2M-484.0K0.358.51N/AN/A11,1663,94281,78353,400
2007-10-04$27.58$25.0037.2%10.7%36.2%0.0%37.5%2.7%3.4%1.5M-96.1M-476.3K0.399.90N/AN/A7,1072,78084,69754,141
2007-10-05$29.08$25.0035.6%11.5%36.0%0.0%41.0%8.6%-2.5%2.0M-120.9M-489.9K0.2512.09N/AN/A8,9482,26385,13954,884
2007-10-08$28.22$25.0040.1%11.8%39.3%0.0%41.8%1.9%-1.4%1.8M-106.4M-483.2K0.2921.46N/AN/A9,5402,80985,65755,025
2007-10-09$28.45$25.0037.2%12.1%37.4%0.0%42.8%1.8%-2.5%1.8M-109.1M-490.0K0.1815.27N/AN/A4,46679287,72756,234
2007-10-10$28.66$25.0036.7%11.9%37.4%0.0%43.2%2.3%-0.6%1.9M-113.0M-500.5K0.5511.91N/AN/A2,6271,43289,34056,413
2007-10-11$28.35$25.0042.8%12.3%38.2%0.0%42.7%-0.7%-2.4%1.9M-109.6M-494.1K0.4323.27N/AN/A5,5462,35889,84656,839
2007-10-12$27.75$25.0043.1%12.3%39.4%0.0%44.8%1.4%-1.2%1.5M-94.1M-494.3K1.1813.25N/AN/A2,8513,35990,76457,874
2007-10-15$27.09$25.0046.5%13.3%40.4%0.0%45.9%1.0%-2.2%1.1M-78.3M-481.8K0.4510.56N/AN/A2,9701,33591,29858,322
2007-10-16$26.05$25.0049.1%14.1%41.9%0.0%49.1%0.6%-4.4%877.9K-59.1M-488.3K0.628.18N/AN/A5,9253,66191,60558,791
2007-10-17$26.42$25.0047.5%13.6%39.2%0.0%47.7%-0.2%-2.7%1.0M-63.7M-474.7K0.2310.19N/AN/A2,49557393,59758,371
2007-10-18$26.50$25.0046.4%13.3%39.0%0.0%47.1%-0.1%-1.7%1.0M-68.5M-483.7K0.308.57N/AN/A1,32740393,84158,548
2007-10-19$25.51$25.0048.0%13.8%40.5%0.0%48.7%-1.0%-2.5%824.4K-54.0M-473.6K0.398.62N/AN/A2,6921,05594,21958,440
2007-10-22$26.06$25.0050.3%14.4%39.3%0.0%50.3%2.4%-3.4%927.3K-50.1M-478.3K0.3917.87N/AN/A5,3372,07385,40252,982
2007-10-23$26.36$25.0049.2%14.1%39.2%0.0%49.6%1.4%-3.8%1.1M-56.1M-489.1K0.7410.51N/AN/A2,0541,51087,53454,087
2007-10-24$26.23$25.0049.7%14.2%38.9%0.0%51.0%2.1%-2.6%1.0M-51.0M-502.9K1.9211.21N/AN/A2,4424,69488,12555,629
2007-10-25$25.58$25.0050.9%14.6%40.0%0.0%50.9%2.8%-5.2%752.4K-37.9M-519.3K1.1911.64N/AN/A2,7513,27788,85158,589
2007-10-26$25.59$25.0047.9%13.7%40.0%0.0%47.6%5.1%-1.4%702.5K-36.4M-520.9K0.6613.56N/AN/A2,7371,81790,30660,873
2007-10-29$25.50$25.0049.8%14.3%39.4%0.0%49.9%2.0%-4.4%668.9K-35.2M-513.6K0.8313.24N/AN/A3,2602,70090,33661,183
2007-10-30$25.29$25.0049.2%14.1%38.8%0.0%49.8%-1.9%-4.2%554.6K-27.1M-514.3K1.2311.49N/AN/A2,3202,86092,19763,473
2007-10-31$25.43$25.0048.4%13.9%35.5%0.0%49.0%2.2%-4.5%536.5K-29.5M-527.8K0.7211.17N/AN/A4,3193,11692,72366,210