BX Options History — November 2007

In November 2007, BX traded between $20.60 and $24.87. ATM implied volatility averaged 48.2%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 8.1% (HV 20d: 40.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-11-12: Highest Volume — 20,524 contracts
  • 2007-11-12: Largest IV drop — 21.0% change
  • 2007-11-02: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.60$20.60$24.87$24.87$22.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV48.2%37.2%67.2%50.9%37.2%
Expected Move12.7%10.7%15.4%14.6%10.7%
HV 20d40.1%27.2%48.9%35.5%48.6%
HV 60d41.4%39.1%43.1%39.7%41.7%
Term Structure-1.4%-5.6%3.0%-4.8%0.9%
VWIV45.2%38.0%56.7%51.5%38.0%
Skew 25d1.8%-1.0%6.0%1.5%-1.0%
Skew 10d3.3%-7.0%12.1%6.1%-7.0%
Call IV 25d45.4%38.8%58.1%53.4%39.7%
Put IV 25d47.2%38.7%59.1%54.9%38.7%
Bid-Ask Spread %10.957.0118.248.839.23
Gamma HHI0.340.280.370.310.35
Net GEX-566.3K-1.0M410.1K410.1K-1.0M
Net DEX36.6M-18.0M73.3M-18.0M39.2M
Net VEX-519.2K-605.6K-458.8K-551.7K-527.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.351.740.580.36
Total Volume7,790.4762,41120,5245,0042,411
Total OI184,378.238162,566198,394162,566188,672

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$24.87$25.0050.9%14.6%35.5%0.0%51.5%1.5%-4.8%410.1K-18.0M-551.7K0.588.83N/AN/A3,1631,84194,17668,390
2007-11-02$24.09$25.0053.9%15.4%29.3%0.0%56.7%1.0%-5.6%190.8K-2.6M-539.6K1.4018.24N/AN/A3,4004,75695,42268,673
2007-11-05$23.94$25.0058.6%14.1%28.2%0.0%49.9%0.8%-4.6%78.7K1.4M-549.4K0.549.35N/AN/A4,1382,24296,06171,706
2007-11-06$23.67$25.0057.6%13.7%27.6%0.0%47.6%2.9%-4.6%6.5K10.0M-529.7K1.508.00N/AN/A3,9175,86598,26572,657
2007-11-07$23.16$25.0063.6%13.7%27.2%0.0%47.9%1.2%-4.5%-295.2K28.1M-520.6K0.9610.26N/AN/A4,4224,23999,94177,313
2007-11-08$24.10$25.0064.4%14.2%32.6%0.0%53.2%0.2%-3.9%-1.7K4.2M-580.7K1.7410.96N/AN/A5,93610,346101,44179,739
2007-11-09$24.28$25.0067.2%14.4%32.6%0.0%51.8%3.4%-4.9%-15.5K69.7K-605.6K0.6112.99N/AN/A8,2635,045103,28985,308
2007-11-12$22.26$25.0053.1%13.0%43.0%0.0%46.5%-0.1%-1.6%-682.9K51.3M-517.6K0.5111.16N/AN/A13,6046,920105,74585,919
2007-11-13$22.80$25.0047.3%12.4%43.1%0.0%44.0%1.3%-0.7%-745.0K45.4M-511.0K0.687.56N/AN/A5,0533,450109,03687,123
2007-11-14$22.34$25.0044.2%11.9%42.7%0.0%42.4%-0.1%0.1%-873.1K53.5M-511.3K0.627.01N/AN/A5,5183,424109,73787,420
2007-11-15$23.12$25.0040.5%11.6%45.2%0.0%41.2%1.7%0.6%-847.1K34.7M-525.4K1.1015.26N/AN/A2,0282,221109,82087,281
2007-11-16$23.07$25.0038.5%11.0%43.6%0.0%40.7%2.9%3.0%-785.2K37.0M-524.8K0.8515.64N/AN/A2,5302,147110,07988,315
2007-11-19$22.16$25.0040.8%11.7%44.2%0.0%42.0%3.1%1.0%-830.4K48.7M-507.1K0.5714.88N/AN/A2,9251,68098,93282,248
2007-11-20$21.51$25.0041.3%11.9%44.2%0.0%41.8%1.5%0.7%-937.9K62.9M-463.2K0.6411.11N/AN/A3,5802,29199,47982,833
2007-11-21$21.02$25.0045.9%13.2%44.4%0.0%44.5%6.0%-1.0%-880.3K68.3M-473.6K1.259.30N/AN/A4,0315,04699,78083,644
2007-11-23$21.16$25.0044.3%12.7%44.5%0.0%45.5%1.3%-0.0%-937.8K65.3M-487.6K0.5411.30N/AN/A1,9641,063101,03385,072
2007-11-26$20.60$25.0045.4%13.0%44.7%0.0%43.9%2.5%-1.0%-938.7K73.3M-458.8K0.959.47N/AN/A2,8992,744101,46085,548
2007-11-27$20.84$25.0043.1%12.4%45.3%0.0%42.4%3.9%-0.7%-1.0M72.4M-479.6K1.009.05N/AN/A2,2842,288102,98187,215
2007-11-28$21.47$25.0037.7%10.8%47.5%0.0%38.4%-0.1%0.5%-963.3K58.1M-506.0K0.3510.93N/AN/A6,0572,132104,16687,291
2007-11-29$22.04$25.0037.4%10.7%48.9%0.0%38.7%3.2%1.3%-802.8K35.4M-532.1K1.559.34N/AN/A2,2543,483106,05782,676
2007-11-30$22.00$25.0037.2%10.7%48.6%0.0%38.0%-1.0%0.9%-1.0M39.2M-527.7K0.369.23N/AN/A1,767644104,94983,723