BX Options History — July 2008 In July 2008, BX traded between $14.63 and $18.57. ATM implied volatility averaged 54.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 3.8% (HV 20d: 50.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2008-07-15 : Highest Volume — 7,714 contracts2008-07-09 : Largest IV spike — 15.6% change2008-07-11 : Highest IV Rank — 55.4%2008-07-11 : Largest Expected Move — 18.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.90 $14.63 $18.57 $17.56 $18.57 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 54.6% 46.0% 64.7% 48.9% 54.5% Expected Move 15.8% 13.2% 18.5% 14.0% 15.6% HV 20d 50.7% 35.1% 65.0% 37.5% 65.0% HV 60d 42.3% 37.2% 47.4% 37.4% 47.4% IV Rank 37.6% 22.8% 55.4% 29.6% 37.0% IV Percentile 69.4% 44.0% 90.5% 56.7% 69.8% Term Structure -3.7% -8.7% 6.9% 4.6% -5.0% VWIV 56.5% 46.4% 68.4% 49.3% 51.6% Skew 25d 12.0% 8.6% 15.9% 11.1% 10.1% Skew 10d 25.0% 11.7% 35.0% 22.3% 30.0% Call IV 25d 49.9% 44.2% 61.6% 45.3% 46.1% Put IV 25d 61.9% 56.2% 75.5% 56.4% 56.2% Bid-Ask Spread % 17.75 10.70 29.56 15.48 10.79 Gamma HHI 0.18 0.15 0.23 0.16 0.21 Net GEX 318.2K -7.8K 702.1K 334.6K 702.1K Net DEX -74.0M -111.2M -34.1M -83.8M -111.2M Net VEX -790.0K -854.3K -513.7K -847.9K -827.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.15 4.35 1.00 0.52 Total Volume 3,730.136 920 7,714 4,549 3,466 Total OI 208,445.909 146,839 216,850 207,743 212,517
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 2008-07-01 $17.56 $17.50 48.9% 14.0% 37.5% 29.6% 49.3% 11.1% 4.6% 334.6K -83.8M -847.9K 1.00 15.48 N/A N/A 2,274 2,275 130,818 76,925 2008-07-02 $17.32 $17.50 47.1% 13.5% 37.6% 26.5% 48.1% 11.2% 6.9% 274.1K -79.2M -842.6K 4.35 13.78 N/A N/A 493 2,143 132,216 77,466 2008-07-03 $17.23 $17.50 46.0% 13.2% 37.6% 24.4% 46.4% 11.7% 6.9% 255.5K -74.7M -854.3K 0.67 19.40 N/A N/A 1,340 902 132,345 77,961 2008-07-07 $16.77 $17.50 50.2% 15.6% 37.6% 31.8% 53.2% 12.4% -5.2% 153.4K -67.0M -789.1K 0.94 10.70 N/A N/A 1,753 1,645 132,533 78,160 2008-07-08 $17.20 $17.50 46.3% 15.2% 38.6% 22.8% 50.4% 12.2% -5.2% 218.9K -71.8M -839.3K 0.83 13.77 N/A N/A 3,672 3,055 133,542 78,869 2008-07-09 $16.65 $17.50 53.6% 15.5% 40.0% 35.8% 54.1% 9.9% -5.1% 124.6K -64.8M -790.7K 1.32 15.09 N/A N/A 1,862 2,450 133,132 78,891 2008-07-10 $16.44 $17.50 56.4% 16.2% 35.1% 40.4% 60.3% 11.6% -5.3% 128.6K -59.0M -791.3K 0.94 14.72 N/A N/A 2,178 2,040 133,077 79,288 2008-07-11 $15.64 $17.50 64.7% 18.5% 38.8% 55.4% 62.0% 10.9% -7.1% 46.9K -49.0M -736.7K 0.59 22.45 N/A N/A 3,621 2,142 133,485 79,280 2008-07-14 $14.81 $17.50 63.6% 18.2% 38.1% 53.4% 63.3% 10.9% -5.7% 78.0K -49.4M -513.7K 3.16 12.28 N/A N/A 1,153 3,640 100,908 45,931 2008-07-15 $14.63 $17.50 64.6% 18.5% 37.0% 55.2% 68.4% 13.9% -8.7% -7.8K -34.1M -698.0K 0.62 22.99 N/A N/A 4,766 2,948 135,586 80,269 2008-07-16 $16.43 $17.50 56.1% 16.1% 58.3% 39.9% 61.5% 13.0% -4.9% 242.7K -66.8M -799.3K 0.87 16.92 N/A N/A 3,642 3,156 137,819 79,031 2008-07-17 $17.02 $17.50 54.3% 15.6% 60.0% 36.6% 62.7% 14.9% -4.7% 362.1K -77.9M -833.4K 1.16 22.52 N/A N/A 2,085 2,410 138,021 78,332 2008-07-18 $17.29 $17.50 53.5% 15.3% 59.7% 35.2% 58.9% 9.0% -3.1% 360.8K -80.5M -834.2K 2.12 23.89 N/A N/A 548 1,161 137,991 77,659 2008-07-21 $17.10 $17.50 52.2% 15.0% 59.7% 32.9% 52.8% 13.5% -2.8% 463.6K -77.0M -822.4K 0.51 16.26 N/A N/A 890 455 132,921 73,581 2008-07-22 $17.26 $17.50 52.0% 14.9% 59.8% 32.4% 52.0% 13.4% -3.1% 427.8K -81.2M -788.2K 0.73 21.51 N/A N/A 1,331 975 133,442 73,841 2008-07-23 $17.80 $17.50 51.4% 14.7% 60.9% 31.3% 53.0% 12.7% -3.5% 496.9K -91.5M -806.5K 0.52 13.91 N/A N/A 1,415 734 133,507 74,057 2008-07-24 $16.86 $17.50 56.8% 16.3% 62.2% 41.1% 58.9% 11.9% -5.0% 389.3K -76.0M -770.9K 0.36 29.56 N/A N/A 4,295 1,559 134,065 73,860 2008-07-25 $17.01 $17.50 55.2% 15.8% 62.2% 38.2% 55.1% 13.2% -4.5% 474.2K -77.1M -818.4K 0.15 22.25 N/A N/A 1,178 174 135,311 74,871 2008-07-28 $16.75 $17.50 58.9% 16.9% 62.3% 44.9% 63.0% 8.6% -6.9% 398.5K -75.5M -771.1K 0.76 21.08 N/A N/A 523 397 136,170 74,908 2008-07-29 $17.60 $17.50 57.8% 16.6% 64.6% 43.0% 60.7% 15.9% -7.4% 514.4K -88.8M -801.4K 0.77 12.96 N/A N/A 1,057 818 136,300 75,038 2008-07-30 $17.77 $17.50 56.3% 16.2% 63.4% 40.3% 56.2% 12.7% -7.3% 560.2K -92.8M -804.0K 0.20 18.13 N/A N/A 2,869 573 136,850 75,036 2008-07-31 $18.57 $17.50 54.5% 15.6% 65.0% 37.0% 51.6% 10.1% -5.0% 702.1K -111.2M -827.7K 0.52 10.79 N/A N/A 2,281 1,185 137,290 75,227
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