BX Options History — March 2008

In March 2008, BX traded between $14.55 and $16.75. ATM implied volatility averaged 65.7%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 10.2% (HV 20d: 55.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-03-10: Highest Volume — 22,392 contracts
  • 2008-03-17: Largest IV spike — 37.3% change
  • 2008-03-03: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.61$14.55$16.75$16.24$15.88
Max Pain$16.13$15.00$20.00$20.00$15.00
ATM IV65.7%51.4%88.0%72.9%57.9%
Expected Move18.4%14.7%25.2%20.9%16.6%
HV 20d55.5%37.1%68.8%37.6%67.3%
HV 60d54.7%49.0%59.7%50.2%59.7%
IV Rank66.5%34.8%100.0%100.0%46.3%
IV Percentile85.9%61.2%100.0%100.0%76.5%
Term Structure1.2%-11.5%9.0%-7.5%6.6%
VWIV64.7%53.1%98.0%66.4%56.3%
Skew 25d14.1%7.5%27.0%11.0%8.8%
Skew 10d26.0%6.2%47.6%20.6%31.0%
Call IV 25d60.2%50.9%83.2%64.2%54.0%
Put IV 25d74.3%62.0%110.1%75.1%62.9%
Bid-Ask Spread %15.007.4924.0212.7620.24
Gamma HHI0.320.240.450.280.26
Net GEX-532.0K-1.1M-198.1K-581.6K-207.8K
Net DEX69.8M30.2M102.8M85.7M30.2M
Net VEX-577.1K-626.5K-497.5K-573.9K-626.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.302.070.941.00
Total Volume9,371.653,83322,3926,9739,503
Total OI241,417.5185,897282,907246,665199,032

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$16.24$20.0072.9%20.9%37.6%100.0%66.4%11.0%-7.5%-581.6K85.7M-573.9K0.9412.76N/AN/A3,6013,372113,406133,259
2008-03-04$15.79$20.0072.6%20.8%37.9%99.3%70.8%11.3%-7.9%-613.6K90.6M-554.0K1.459.77N/AN/A2,8784,169114,533133,676
2008-03-05$15.87$20.0074.0%21.2%37.1%100.0%70.1%10.2%-10.7%-630.8K89.5M-547.5K1.088.18N/AN/A1,8391,994115,200132,968
2008-03-06$15.05$20.0076.8%22.0%40.3%100.0%78.4%10.4%-11.5%-672.6K99.1M-514.2K0.767.49N/AN/A5,1223,914115,368133,707
2008-03-07$14.58$17.5083.9%19.6%41.1%100.0%69.5%11.4%-2.0%-630.5K102.8M-497.5K0.5519.11N/AN/A8,6114,719117,349134,795
2008-03-10$15.00$15.0064.6%17.7%43.3%62.8%62.3%12.3%2.8%-710.7K97.9M-514.6K2.0712.24N/AN/A7,28715,105121,445136,863
2008-03-11$16.19$15.0069.5%17.3%52.1%72.2%56.7%14.3%-0.1%-550.0K79.0M-586.3K1.0924.02N/AN/A3,8554,184123,382140,001
2008-03-12$16.47$15.0051.7%15.1%52.6%38.1%54.9%13.7%5.9%-428.7K71.7M-595.5K0.7517.30N/AN/A5,1083,831123,682140,421
2008-03-13$16.75$15.0053.3%15.3%53.1%41.1%59.0%15.2%6.0%-377.7K68.1M-604.2K0.5612.11N/AN/A5,1542,883125,139139,835
2008-03-14$15.78$15.0064.1%18.4%54.7%61.9%65.9%18.5%6.9%-598.9K79.1M-585.8K1.8020.89N/AN/A1,4482,605127,987140,015
2008-03-17$14.55$15.0088.0%25.2%61.2%100.0%98.0%27.0%-5.6%-609.0K86.7M-557.4K1.3218.57N/AN/A6,2908,275129,185140,815
2008-03-18$15.21$15.0066.6%19.1%63.3%61.8%67.7%26.2%9.0%-947.8K84.9M-554.9K1.0718.76N/AN/A8,6959,290130,091141,664
2008-03-19$14.62$15.0071.6%20.5%64.5%70.8%74.9%15.0%3.2%-1.1M93.0M-565.4K1.2420.78N/AN/A4,0184,971132,877146,445
2008-03-20$15.45$15.0061.9%17.8%67.7%53.5%61.3%16.2%9.0%-785.5K74.2M-590.5K0.6812.49N/AN/A8,3805,673135,506147,401
2008-03-24$15.70$15.0062.1%17.8%67.8%53.7%59.7%16.1%-1.8%-311.0K34.9M-611.1K1.0011.65N/AN/A4,7864,76580,738105,159
2008-03-25$16.27$15.0051.4%14.7%68.8%34.8%54.5%9.6%3.5%-251.1K31.9M-618.7K0.5313.01N/AN/A4,9572,60383,817107,060
2008-03-26$16.16$15.0056.5%16.2%64.7%43.9%53.1%15.4%5.6%-209.0K30.9M-620.1K0.3014.54N/AN/A2,96288985,529107,645
2008-03-27$15.34$15.0056.8%16.3%66.8%44.4%56.8%7.5%7.8%-198.1K32.1M-609.6K1.8214.03N/AN/A1,9603,57486,465108,055
2008-03-28$15.35$15.0057.1%16.4%66.8%44.9%57.0%11.4%5.2%-270.9K33.1M-613.7K1.0612.03N/AN/A2,0192,14487,199110,636
2008-03-31$15.88$15.0057.9%16.6%67.3%46.3%56.3%8.8%6.6%-207.8K30.2M-626.5K1.0020.24N/AN/A4,7544,74987,833111,199