BX Options History — June 2008

In June 2008, BX traded between $16.94 and $19.43. ATM implied volatility averaged 44.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.5% (HV 20d: 36.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-06-25: Highest Volume — 20,599 contracts
  • 2008-06-26: Largest IV spike — 35.3% change
  • 2008-06-09: Highest IV Rank — 30.5%
  • 2008-06-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.34$16.94$19.43$19.43$18.21
Max Pain$18.93$17.50$22.50$22.50$17.50
ATM IV44.0%35.1%49.4%39.5%47.3%
Expected Move12.5%10.1%13.8%11.3%13.6%
HV 20d36.5%33.9%40.7%36.2%35.6%
HV 60d44.0%37.1%51.1%51.1%37.1%
IV Rank21.0%5.5%30.5%13.2%26.7%
IV Percentile37.6%4.3%56.8%22.1%49.4%
Term Structure2.4%-0.7%5.7%-0.7%5.5%
VWIV44.6%36.7%49.6%49.1%45.4%
Skew 25d8.2%3.0%11.2%6.3%10.6%
Skew 10d18.4%-8.7%39.2%35.9%20.7%
Call IV 25d43.6%34.9%58.2%42.1%42.9%
Put IV 25d51.8%40.6%65.6%48.4%53.5%
Bid-Ask Spread %14.366.6126.656.6126.65
Gamma HHI0.190.150.310.190.16
Net GEX116.0K-422.2K500.7K240.5K420.8K
Net DEX-35.6M-93.5M7.2M-28.8M-93.5M
Net VEX-761.1K-832.4K-711.5K-758.7K-831.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.144.932.270.62
Total Volume5,874.5711,74620,5993,4817,052
Total OI232,286.19177,186262,337240,707202,402

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$19.43$22.5039.5%11.3%36.2%13.2%49.1%6.3%-0.7%240.5K-28.8M-758.7K2.276.61N/AN/A1,0652,416115,659125,048
2008-06-03$19.31$22.5038.2%11.0%35.2%10.9%46.9%4.8%-0.1%247.7K-24.7M-755.0K1.857.90N/AN/A8141,503116,221125,177
2008-06-04$19.09$22.5036.5%10.5%35.2%8.0%37.8%4.5%3.3%243.3K-22.0M-733.8K0.378.35N/AN/A3,1731,183116,429124,776
2008-06-05$18.95$22.5035.1%10.1%35.2%5.5%36.7%5.7%3.7%185.9K-21.9M-743.9K0.8712.01N/AN/A936810117,742125,238
2008-06-06$18.46$20.0045.9%12.8%35.9%24.3%43.2%6.2%3.2%71.3K-9.2M-754.2K0.5018.87N/AN/A6,1223,050117,983125,136
2008-06-09$18.08$20.0049.4%13.3%36.4%30.5%45.0%10.6%1.7%31.7K-7.1M-749.0K1.2815.86N/AN/A2,0432,613121,870124,750
2008-06-10$17.92$20.0047.1%13.0%36.2%26.4%43.1%7.4%1.6%-48.0K-8.2M-726.9K0.4313.74N/AN/A3,4891,497123,187123,843
2008-06-11$16.94$20.0048.0%13.7%40.7%28.1%47.6%3.0%1.0%-97.4K7.2M-711.5K1.9314.44N/AN/A2,0904,038123,900122,809
2008-06-12$17.10$17.5047.3%13.6%39.7%26.8%47.6%7.4%2.7%-62.1K2.1M-715.4K4.9312.76N/AN/A2,26911,175124,995122,773
2008-06-13$17.88$17.5046.4%13.3%38.3%25.2%45.1%4.1%1.7%-124.9K-13.2M-740.5K0.1415.08N/AN/A6,814968125,767125,000
2008-06-16$18.15$17.5045.2%12.9%38.7%23.0%46.4%10.7%2.7%-223.4K-23.7M-783.7K0.3114.04N/AN/A1,474464131,635127,228
2008-06-17$18.00$17.5043.6%12.5%38.5%20.3%49.6%8.8%2.0%-305.2K-21.1M-769.5K1.2217.12N/AN/A1,3541,653132,064127,407
2008-06-18$18.02$17.5043.2%12.4%38.5%19.7%43.1%8.9%2.8%-422.2K-23.8M-751.6K0.6412.05N/AN/A1,116714132,521127,687
2008-06-19$18.40$17.5046.2%13.2%36.2%24.8%46.2%10.8%-0.0%-97.1K-35.4M-754.0K0.8212.53N/AN/A3,7413,057132,783127,618
2008-06-20$18.18$17.5045.7%13.1%36.3%24.0%48.0%10.7%1.4%250.8K-35.0M-751.7K1.1516.96N/AN/A2,2182,543134,404127,933
2008-06-23$18.25$17.5044.5%12.7%34.6%21.8%43.8%11.2%3.6%307.5K-62.7M-752.0K0.4913.77N/AN/A2,5741,263103,94973,237
2008-06-24$18.38$17.5043.8%12.6%33.9%20.7%41.6%10.4%4.7%366.8K-65.7M-772.7K0.2415.82N/AN/A2,492597105,84273,864
2008-06-25$19.01$17.5035.5%10.2%35.7%6.1%40.4%10.5%5.7%456.1K-77.8M-765.5K0.3416.46N/AN/A15,4275,172107,07774,190
2008-06-26$18.71$17.5048.0%13.8%35.4%28.0%47.0%10.3%1.5%500.7K-93.0M-832.4K0.3514.11N/AN/A6,0532,104120,11773,816
2008-06-27$18.73$17.5047.8%13.7%34.4%27.7%42.4%9.9%2.7%493.4K-90.5M-830.2K0.8516.56N/AN/A2,2921,938120,11773,816
2008-06-30$18.21$17.5047.3%13.6%35.6%26.7%45.4%10.6%5.5%420.8K-93.5M-831.4K0.6226.65N/AN/A4,3632,689127,33475,068