BX Options History — December 2007

In December 2007, BX traded between $21.34 and $23.78. ATM implied volatility averaged 38.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.5% (HV 20d: 39.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-12-10: Highest Volume — 10,795 contracts
  • 2007-12-10: Largest IV spike — 11.9% change
  • 2007-12-31: Highest IV Rank — 10.8%
  • 2007-12-13: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.80$21.34$23.78$21.60$22.13
Max Pain$23.00$22.50$25.00$25.00$22.50
ATM IV38.2%34.1%43.4%38.9%35.7%
Expected Move10.9%9.8%12.0%11.1%10.2%
HV 20d39.8%31.6%52.3%47.8%35.1%
HV 60d40.7%39.8%42.5%41.5%39.8%
IV Rank10.8%10.8%10.8%10.8%10.8%
IV Percentile12.7%12.7%12.7%12.7%12.7%
Term Structure2.3%0.0%5.8%0.7%3.1%
VWIV37.9%34.6%42.4%40.2%36.0%
Skew 25d2.2%-3.2%5.9%1.4%1.3%
Skew 10d3.1%-11.1%15.7%-6.4%1.8%
Call IV 25d37.3%32.0%43.0%40.4%36.0%
Put IV 25d39.5%31.3%43.4%41.8%37.3%
Bid-Ask Spread %12.336.8120.966.8117.60
Gamma HHI0.330.260.400.340.31
Net GEX-645.6K-1.1M-221.5K-1.0M-534.8K
Net DEX10.1M-11.5M46.6M42.6M14.7M
Net VEX-524.2K-563.9K-493.0K-516.5K-502.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.121.800.490.32
Total Volume4,570.851,13810,7951,1384,638
Total OI176,829.75125,925200,097189,378130,636

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$21.60$25.0038.9%11.1%47.8%0.0%40.2%1.4%0.7%-1.0M42.6M-516.5K0.496.81N/AN/A763375105,55483,824
2007-12-04$21.34$25.0038.9%11.2%47.9%0.0%38.8%-0.3%0.8%-1.0M46.6M-504.3K0.437.34N/AN/A870377105,83082,904
2007-12-05$21.56$25.0037.4%10.7%48.2%0.0%38.6%1.2%0.6%-1.0M40.9M-506.7K0.4210.17N/AN/A1,556659105,95881,330
2007-12-06$21.53$25.0036.4%10.4%47.8%0.0%37.2%0.6%0.9%-1.1M43.5M-493.0K0.618.70N/AN/A1,138694106,57881,499
2007-12-07$21.93$22.5036.0%10.5%45.7%0.0%36.9%2.7%3.2%-1.1M34.7M-514.6K0.209.32N/AN/A2,686542106,68781,566
2007-12-10$23.45$22.5040.3%10.7%52.3%0.0%36.6%3.3%2.4%-559.3K-2.6M-529.4K0.3310.68N/AN/A8,1142,681107,68781,473
2007-12-11$23.18$22.5039.2%11.0%41.8%0.0%37.6%3.0%1.4%-658.6K3.3M-526.5K0.1211.28N/AN/A9,4161,102109,80781,816
2007-12-12$23.23$22.5043.4%11.9%41.0%0.0%41.0%1.4%1.7%-626.2K615.0K-548.7K0.8013.19N/AN/A5,6874,548110,39881,739
2007-12-13$23.67$22.5042.0%12.0%40.6%0.0%42.4%0.4%1.8%-501.7K-8.1M-563.9K0.209.68N/AN/A3,344666111,86083,925
2007-12-14$23.60$22.5041.3%11.9%38.9%0.0%40.9%-0.2%1.7%-445.8K-9.4M-558.9K0.3316.39N/AN/A2,154707112,65883,872
2007-12-17$23.17$22.5041.9%12.0%39.5%0.0%41.1%5.9%0.0%-876.1K5.1M-538.2K1.0011.15N/AN/A1,4651,462112,13384,089
2007-12-18$23.34$22.5040.6%11.7%36.5%0.0%39.0%5.8%0.7%-772.5K1.3M-527.5K0.3413.34N/AN/A3,4871,186112,05383,413
2007-12-19$23.51$22.5038.6%11.1%34.5%0.0%38.3%5.0%2.9%-556.2K-3.7M-528.9K0.309.91N/AN/A1,161349113,47883,481
2007-12-20$23.57$22.5038.4%11.0%33.0%0.0%37.1%4.8%1.4%-464.2K-5.1M-527.2K0.4416.48N/AN/A7,2153,196113,53583,588
2007-12-21$23.78$22.5034.1%9.8%33.0%0.0%35.2%5.4%4.1%-221.5K-11.5M-527.6K0.6917.49N/AN/A3,5702,454116,67183,426
2007-12-24$23.25$22.5035.1%10.1%32.4%0.0%34.6%-3.2%4.7%-234.1K-6.1M-521.5K0.739.14N/AN/A1,18986764,93360,992
2007-12-26$23.24$22.5034.8%10.0%32.5%0.0%34.6%1.7%5.8%-252.9K-4.8M-518.5K1.806.93N/AN/A1,8283,29465,60861,501
2007-12-27$22.98$22.5035.3%10.1%31.6%0.0%35.2%3.5%4.2%-335.0K1.3M-529.7K0.3220.00N/AN/A2,08165966,28664,186
2007-12-28$21.94$22.5036.1%10.4%35.0%0.0%36.9%-0.2%3.2%-561.2K18.1M-499.7K0.4520.96N/AN/A2,23999865,78263,839
2007-12-31$22.13$22.5035.7%10.2%35.1%10.8%36.0%1.3%3.1%-534.8K14.7M-502.2K0.3217.60N/AN/A3,5021,13666,57664,060