BX Options History — April 2008 In April 2008, BX traded between $17.19 and $19.20. ATM implied volatility averaged 48.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 9.5% (HV 20d: 58.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2008-04-17 : Highest Volume — 16,673 contracts2008-04-18 : Largest IV drop — 10.8% change2008-04-01 : Highest IV Rank — 39.2%2008-04-01 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $18.33 $17.19 $19.20 $17.19 $18.67 Max Pain $17.16 $15.00 $17.50 $15.00 $17.50 ATM IV 48.7% 42.0% 53.9% 53.9% 48.3% Expected Move 14.0% 12.0% 15.5% 15.5% 13.8% HV 20d 58.1% 38.8% 73.0% 73.0% 38.8% HV 60d 56.2% 52.1% 62.0% 62.0% 52.4% IV Rank 29.8% 17.9% 39.2% 39.2% 29.1% IV Percentile 51.4% 32.0% 66.0% 65.4% 50.7% Term Structure 1.0% -1.9% 5.6% 1.0% -0.9% VWIV 48.8% 42.8% 56.5% 55.5% 45.0% Skew 25d 7.7% 1.1% 14.1% 11.1% 6.7% Skew 10d 16.6% -14.3% 37.2% 29.0% 8.7% Call IV 25d 46.6% 41.5% 52.4% 52.4% 41.5% Put IV 25d 54.3% 44.0% 63.6% 63.5% 48.2% Bid-Ask Spread % 15.86 8.25 24.23 8.76 11.36 Gamma HHI 0.27 0.18 0.36 0.25 0.29 Net GEX 385.8K -52.5K 785.4K -52.5K 423.6K Net DEX -15.4M -41.5M 7.9M 7.9M -13.3M Net VEX -736.7K -781.9K -687.1K -687.1K -731.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.26 1.76 0.26 1.65 Total Volume 6,873.636 1,807 16,673 14,612 5,805 Total OI 224,912.136 202,294 244,021 202,294 230,411
Daily Data (22 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 2008-04-01 $17.19 $15.00 53.9% 15.5% 73.0% 39.2% 55.5% 11.1% 1.0% -52.5K 7.9M -687.1K 0.26 8.76 N/A N/A 11,612 3,000 91,597 110,697 2008-04-02 $17.68 $15.00 51.0% 14.6% 72.5% 34.0% 51.5% 14.1% 3.8% 366.9K -5.9M -702.4K 0.83 18.05 N/A N/A 5,448 4,508 98,225 110,845 2008-04-03 $17.77 $15.00 48.7% 14.0% 72.5% 29.9% 56.5% 9.2% 5.6% 349.9K -7.3M -716.3K 0.70 12.91 N/A N/A 5,395 3,785 99,549 112,163 2008-04-04 $18.64 $17.50 48.6% 15.1% 70.5% 29.7% 52.9% 10.8% -0.2% 500.2K -21.1M -710.1K 0.30 14.84 N/A N/A 9,004 2,729 102,905 113,824 2008-04-07 $19.09 $17.50 46.5% 13.1% 68.8% 26.0% 48.1% 7.4% 0.9% 620.4K -39.3M -735.0K 0.60 22.04 N/A N/A 5,554 3,356 107,111 115,111 2008-04-08 $18.59 $17.50 51.1% 14.6% 70.0% 34.1% 49.0% 9.9% 1.2% 685.2K -34.3M -747.1K 1.05 23.82 N/A N/A 2,852 2,991 109,437 116,459 2008-04-09 $18.56 $17.50 51.2% 14.9% 65.6% 34.3% 52.1% 9.0% 0.3% 689.6K -29.5M -750.0K 0.69 24.23 N/A N/A 4,977 3,459 110,618 117,171 2008-04-10 $18.26 $17.50 51.3% 14.7% 66.0% 34.4% 48.3% 10.2% -0.3% 716.7K -21.1M -736.1K 1.76 20.37 N/A N/A 1,101 1,935 110,419 118,788 2008-04-11 $17.76 $17.50 51.4% 14.7% 66.8% 34.6% 50.9% 8.9% 1.7% 693.4K -10.9M -729.0K 0.43 18.34 N/A N/A 8,051 3,439 109,700 119,539 2008-04-14 $17.19 $17.50 53.8% 15.4% 64.1% 39.0% 53.8% 12.6% -0.7% 622.6K 4.4M -708.1K 0.68 14.97 N/A N/A 5,525 3,755 110,831 120,101 2008-04-15 $17.33 $17.50 52.2% 15.0% 55.6% 36.1% 50.5% 10.3% 1.0% 616.5K 4.3M -723.5K 0.70 15.78 N/A N/A 1,483 1,033 111,854 121,818 2008-04-16 $17.66 $17.50 49.4% 14.2% 54.2% 31.1% 47.3% 13.3% 2.2% 785.4K -6.5M -719.9K 1.04 20.74 N/A N/A 1,362 1,421 111,473 121,638 2008-04-17 $18.63 $17.50 50.0% 14.3% 53.5% 32.2% 47.9% 5.7% 1.3% 145.6K -29.8M -757.5K 0.58 18.05 N/A N/A 10,559 6,114 112,110 122,520 2008-04-18 $19.02 $17.50 44.6% 12.8% 51.2% 22.6% 47.3% 5.1% -0.5% 250.6K -41.5M -781.9K 0.83 21.61 N/A N/A 5,390 4,464 117,441 126,580 2008-04-21 $18.70 $17.50 48.3% 13.8% 52.0% 29.1% 50.2% 3.8% 1.2% 57.6K -10.6M -764.3K 0.87 21.21 N/A N/A 1,260 1,093 104,389 116,232 2008-04-22 $18.62 $17.50 46.9% 13.4% 51.2% 26.6% 46.1% 2.8% 1.6% 66.2K -8.5M -745.9K 1.19 8.37 N/A N/A 1,373 1,631 104,388 116,232 2008-04-23 $18.35 $17.50 46.9% 13.5% 51.6% 26.7% 45.5% 7.0% 2.6% 41.0K -5.5M -752.1K 1.63 12.22 N/A N/A 686 1,121 105,794 117,789 2008-04-24 $18.55 $17.50 46.7% 13.4% 46.7% 26.3% 44.8% 4.7% 2.3% 118.1K -10.0M -746.5K 1.05 8.25 N/A N/A 1,283 1,351 106,057 117,738 2008-04-25 $19.20 $17.50 42.0% 12.0% 47.4% 17.9% 42.8% 1.2% 0.1% 193.6K -25.2M -765.5K 0.27 9.48 N/A N/A 2,588 711 106,757 117,771 2008-04-28 $18.95 $17.50 44.2% 12.7% 47.3% 21.8% 44.6% 1.1% -1.9% 238.0K -20.5M -744.1K 0.62 11.11 N/A N/A 3,284 2,051 107,298 118,113 2008-04-29 $18.81 $17.50 43.8% 12.5% 39.6% 21.1% 44.0% 4.2% -1.1% 358.3K -14.7M -752.2K 0.40 12.43 N/A N/A 1,915 766 109,165 119,409 2008-04-30 $18.67 $17.50 48.3% 13.8% 38.8% 29.1% 45.0% 6.7% -0.9% 423.6K -13.3M -731.8K 1.65 11.36 N/A N/A 2,192 3,613 110,555 119,856
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