BX Options History — January 2008

In January 2008, BX traded between $18.00 and $21.74. ATM implied volatility averaged 56.9%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 1.4% (HV 20d: 55.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2008-01-17: Highest Volume — 21,979 contracts
2008-01-04: Largest IV spike — 17.3% change
2008-01-18: Highest IV Rank — 100.0%
2008-01-22: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.51	$18.00	$21.74	$21.74	$18.35
Max Pain	$20.60	$20.00	$22.50	$22.50	$20.00
ATM IV	56.9%	38.7%	69.7%	39.1%	68.0%
Expected Move	16.2%	11.1%	20.0%	11.2%	19.5%
HV 20d	55.5%	35.1%	72.1%	35.1%	70.6%
HV 60d	46.4%	37.9%	53.0%	38.1%	52.7%
IV Rank	68.4%	19.2%	100.0%	20.4%	95.4%
IV Percentile	84.5%	28.9%	100.0%	31.5%	98.6%
Term Structure	-4.8%	-12.7%	4.1%	1.1%	-8.6%
VWIV	56.5%	38.8%	70.3%	39.8%	66.4%
Skew 25d	4.2%	-1.3%	10.9%	-1.3%	5.4%
Skew 10d	9.3%	-13.3%	29.9%	-6.8%	7.0%
Call IV 25d	55.7%	39.7%	67.0%	40.9%	66.8%
Put IV 25d	59.9%	39.6%	75.6%	39.6%	72.2%
Bid-Ask Spread %	14.39	7.94	21.79	13.04	15.81
Gamma HHI	0.26	0.21	0.32	0.30	0.28
Net GEX	-500.8K	-655.5K	-303.2K	-542.0K	-391.4K
Net DEX	45.7M	14.3M	66.3M	20.9M	58.3M
Net VEX	-512.3K	-642.7K	-357.5K	-490.4K	-525.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.14	2.50	0.58	1.23
Total Volume	9,157.19	1,728	21,979	2,144	8,040
Total OI	158,554.571	130,648	179,656	130,648	177,338

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-01-02	$21.74	$22.50	39.1%	11.2%	35.1%	20.4%	39.8%	-1.3%	1.1%	-542.0K	20.9M	-490.4K	0.58	13.04	N/A	N/A	1,353	791	66,627	64,021
2008-01-03	$21.24	$22.50	38.7%	11.1%	35.8%	19.2%	38.8%	0.2%	4.1%	-587.0K	28.0M	-474.8K	0.39	7.94	N/A	N/A	1,247	481	67,251	64,317
2008-01-04	$20.30	$22.50	45.4%	12.9%	39.0%	38.2%	45.3%	2.8%	-1.6%	-563.8K	40.9M	-443.2K	1.70	17.20	N/A	N/A	3,363	5,711	67,838	64,145
2008-01-07	$19.42	$22.50	47.6%	13.0%	41.6%	44.3%	46.1%	1.5%	-2.1%	-655.5K	54.6M	-407.9K	0.66	10.03	N/A	N/A	3,085	2,029	69,234	67,523
2008-01-08	$18.00	$22.50	54.2%	14.4%	47.6%	63.2%	50.1%	0.7%	-2.5%	-496.0K	65.7M	-357.5K	1.01	14.28	N/A	N/A	4,085	4,141	69,989	68,176
2008-01-09	$18.10	$20.00	55.9%	15.0%	38.5%	67.9%	51.6%	1.2%	-3.8%	-530.7K	66.3M	-365.4K	2.13	14.72	N/A	N/A	3,169	6,743	71,168	69,866
2008-01-10	$19.84	$20.00	52.3%	15.0%	53.6%	57.8%	53.8%	3.4%	-3.6%	-619.5K	42.2M	-464.3K	0.95	16.94	N/A	N/A	9,429	8,920	72,669	72,545
2008-01-11	$20.06	$20.00	54.7%	15.7%	53.9%	64.6%	56.1%	-0.3%	-4.1%	-641.2K	38.7M	-523.0K	0.29	8.70	N/A	N/A	16,095	4,710	76,328	77,383
2008-01-14	$20.39	$20.00	56.8%	16.3%	53.7%	70.6%	56.4%	5.3%	-7.7%	-504.9K	32.0M	-564.9K	1.25	8.73	N/A	N/A	1,981	2,475	82,517	79,823
2008-01-15	$19.70	$20.00	55.9%	16.0%	54.5%	68.0%	56.8%	1.2%	-5.1%	-573.0K	44.4M	-537.3K	1.11	21.79	N/A	N/A	2,998	3,327	82,758	80,702
2008-01-16	$19.10	$20.00	56.4%	16.2%	55.0%	69.3%	57.7%	3.1%	-5.9%	-631.5K	57.5M	-505.2K	0.24	20.35	N/A	N/A	6,172	1,506	82,878	82,059
2008-01-17	$18.37	$20.00	65.7%	18.8%	55.5%	96.0%	66.5%	8.0%	-8.7%	-515.8K	62.2M	-497.4K	2.23	11.08	N/A	N/A	6,795	15,184	85,525	82,193
2008-01-18	$18.67	$20.00	69.7%	20.0%	56.0%	100.0%	66.1%	7.1%	-12.7%	-471.7K	64.2M	-537.5K	2.50	10.41	N/A	N/A	2,830	7,078	89,157	90,499
2008-01-22	$18.77	$20.00	69.7%	20.0%	56.1%	100.0%	70.3%	8.6%	-9.2%	-526.8K	51.3M	-545.4K	0.59	17.39	N/A	N/A	8,108	4,770	80,913	82,388
2008-01-23	$20.57	$20.00	59.0%	16.9%	66.8%	71.7%	60.7%	10.0%	-5.2%	-374.0K	22.8M	-624.4K	0.63	20.73	N/A	N/A	6,206	3,920	85,423	83,256
2008-01-24	$20.97	$20.00	59.0%	16.9%	67.2%	71.7%	56.6%	10.9%	-2.4%	-303.2K	14.3M	-642.7K	0.40	13.20	N/A	N/A	9,550	3,792	86,090	84,102
2008-01-25	$19.36	$20.00	62.1%	17.8%	72.1%	79.8%	61.2%	4.2%	-4.8%	-432.9K	43.6M	-587.1K	0.67	14.43	N/A	N/A	6,592	4,412	87,782	85,225
2008-01-28	$19.15	$20.00	59.6%	17.1%	72.1%	73.3%	61.7%	6.4%	-2.4%	-372.6K	46.3M	-573.1K	0.14	14.31	N/A	N/A	3,192	432	90,988	85,671
2008-01-29	$18.99	$20.00	60.0%	17.2%	70.8%	74.3%	61.0%	3.2%	-5.1%	-381.9K	49.9M	-558.5K	0.44	13.71	N/A	N/A	1,669	741	90,604	85,828
2008-01-30	$18.65	$20.00	65.8%	18.9%	70.6%	89.8%	63.8%	6.3%	-10.2%	-400.3K	56.2M	-533.0K	0.27	17.47	N/A	N/A	4,068	1,111	91,003	85,844
2008-01-31	$18.35	$20.00	68.0%	19.5%	70.6%	95.4%	66.4%	5.4%	-8.6%	-391.4K	58.3M	-525.7K	1.23	15.81	N/A	N/A	3,602	4,438	91,085	86,253