BX Options History — February 2008 In February 2008, BX traded between $15.72 and $18.83. ATM implied volatility averaged 59.3%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 8.8% (HV 20d: 50.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.29.
Notable Days 2008-02-14 : Highest Volume — 24,129 contracts2008-02-14 : Largest IV spike — 42.8% change2008-02-25 : Highest IV Rank — 95.9%2008-02-25 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.14 $15.72 $18.83 $18.72 $16.50 Max Pain $21.50 $20.00 $22.50 $20.00 $20.00 ATM IV 59.3% 38.6% 68.2% 67.6% 63.2% Expected Move 17.0% 15.5% 19.5% 19.4% 18.1% HV 20d 50.5% 26.6% 71.1% 71.1% 38.6% HV 60d 50.1% 48.6% 53.1% 52.9% 50.2% IV Rank 72.4% 17.5% 95.9% 94.3% 82.8% IV Percentile 83.3% 21.8% 98.8% 98.0% 90.4% Term Structure -4.2% -12.8% 0.0% -12.8% -6.5% VWIV 59.5% 54.7% 66.2% 64.6% 63.5% Skew 25d 6.9% 3.6% 12.2% 7.4% 8.1% Skew 10d 11.8% 2.1% 23.9% 12.2% 20.5% Call IV 25d 57.2% 53.6% 62.6% 60.2% 62.6% Put IV 25d 64.1% 58.0% 71.1% 67.6% 70.6% Bid-Ask Spread % 12.76 7.11 47.37 7.39 10.52 Gamma HHI 0.26 0.16 0.40 0.27 0.26 Net GEX -460.8K -652.2K -249.4K -428.3K -556.3K Net DEX 76.0M 54.5M 98.9M 55.1M 78.9M Net VEX -514.1K -589.4K -455.5K -556.4K -574.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.38 3.46 0.72 1.47 Total Volume 10,442.6 2,321 24,129 4,299 16,604 Total OI 205,866.65 182,441 237,195 182,611 237,195
Daily Data (20 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 2008-02-01 $18.72 $20.00 67.6% 19.4% 71.1% 94.3% 64.6% 7.4% -12.8% -428.3K 55.1M -556.4K 0.72 7.39 N/A N/A 2,503 1,796 93,523 89,088 2008-02-04 $18.83 $22.50 66.1% 15.7% 69.7% 90.4% 56.0% 6.8% -4.6% -449.5K 54.5M -548.2K 0.44 8.90 N/A N/A 1,617 704 93,636 88,805 2008-02-05 $18.22 $22.50 66.8% 16.6% 68.9% 92.5% 57.5% 5.0% -3.4% -476.0K 62.2M -522.8K 0.41 11.31 N/A N/A 3,861 1,571 94,085 88,927 2008-02-06 $17.82 $22.50 66.8% 16.7% 63.8% 92.3% 59.0% 7.8% -4.7% -479.4K 71.5M -485.0K 1.05 12.20 N/A N/A 2,023 2,118 96,201 89,167 2008-02-07 $17.68 $22.50 55.2% 16.8% 63.8% 61.6% 58.9% 4.5% -4.3% -584.6K 72.4M -490.9K 0.56 11.90 N/A N/A 11,803 6,556 97,185 90,323 2008-02-08 $17.51 $22.50 55.5% 16.6% 53.6% 62.5% 59.6% 5.5% -4.3% -249.4K 71.2M -498.4K 0.57 12.46 N/A N/A 2,838 1,628 104,798 93,951 2008-02-11 $17.78 $22.50 56.2% 16.5% 53.8% 64.2% 58.7% 5.0% -2.9% -330.1K 68.2M -511.3K 0.38 11.60 N/A N/A 3,755 1,414 103,778 94,331 2008-02-12 $17.59 $22.50 47.4% 15.7% 53.1% 40.8% 56.5% 6.6% -3.0% -339.1K 72.8M -488.1K 1.05 14.05 N/A N/A 3,449 3,613 105,112 94,417 2008-02-13 $17.63 $22.50 38.6% 15.5% 52.3% 17.5% 54.7% 4.3% 0.0% -408.1K 73.3M -488.0K 2.56 15.64 N/A N/A 2,298 5,884 105,468 95,026 2008-02-14 $16.83 $22.50 55.1% 15.8% 53.5% 61.3% 56.4% 4.3% -0.5% -423.2K 87.7M -455.5K 1.85 16.44 N/A N/A 8,460 15,669 105,726 97,581 2008-02-15 $16.57 $22.50 54.6% 15.6% 52.3% 59.9% 56.5% 7.6% -0.2% -343.0K 98.9M -461.3K 1.94 14.23 N/A N/A 6,615 12,856 109,540 106,808 2008-02-19 $16.13 $22.50 60.3% 17.3% 52.2% 75.1% 57.4% 7.4% -4.3% -405.4K 83.5M -462.6K 0.77 9.72 N/A N/A 5,814 4,489 95,891 99,880 2008-02-20 $16.23 $22.50 59.7% 17.1% 52.2% 73.6% 57.9% 6.4% -4.0% -407.9K 83.0M -482.8K 3.46 10.37 N/A N/A 3,189 11,037 98,909 102,782 2008-02-21 $15.93 $20.00 63.5% 18.2% 36.9% 83.5% 63.2% 9.7% -3.4% -478.5K 86.5M -490.9K 2.13 47.37 N/A N/A 3,998 8,522 100,172 109,032 2008-02-22 $15.72 $20.00 63.2% 18.1% 35.0% 82.7% 60.4% 3.6% -4.4% -565.2K 90.1M -499.3K 2.97 7.13 N/A N/A 3,177 9,435 102,056 115,131 2008-02-25 $15.95 $20.00 68.2% 19.5% 26.6% 95.9% 66.2% 8.6% -6.1% -652.2K 87.2M -523.0K 0.95 7.11 N/A N/A 4,632 4,408 103,061 120,288 2008-02-26 $17.00 $20.00 59.9% 17.2% 37.2% 74.0% 62.2% 8.5% -5.6% -574.0K 76.3M -568.7K 1.13 8.62 N/A N/A 7,395 8,335 104,753 121,601 2008-02-27 $17.20 $20.00 57.7% 16.6% 37.7% 68.3% 59.1% 12.2% -3.6% -536.8K 72.8M -585.3K 0.63 8.25 N/A N/A 6,836 4,314 106,994 125,775 2008-02-28 $17.06 $20.00 60.2% 17.3% 37.4% 74.8% 61.1% 8.4% -5.8% -529.4K 74.0M -589.4K 0.74 9.93 N/A N/A 2,084 1,552 108,963 127,374 2008-02-29 $16.50 $20.00 63.2% 18.1% 38.6% 82.8% 63.5% 8.1% -6.5% -556.3K 78.9M -574.9K 1.47 10.52 N/A N/A 6,715 9,889 109,479 127,716
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