BX Options History — August 2008 In August 2008, BX traded between $16.81 and $18.83. ATM implied volatility averaged 48.1%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 1.6% (HV 20d: 46.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.89.
Notable Days 2008-08-26 : Highest Volume — 27,143 contracts2008-08-12 : Largest IV spike — 48.4% change2008-08-12 : Highest IV Rank — 63.0%2008-08-01 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $17.75 $16.81 $18.83 $18.37 $17.88 Max Pain $19.88 $17.50 $20.00 $17.50 $20.00 ATM IV 48.1% 37.2% 68.9% 55.4% 37.2% Expected Move 12.8% 10.7% 15.9% 15.9% 10.7% HV 20d 46.5% 29.0% 65.1% 65.1% 29.5% HV 60d 46.6% 45.6% 48.1% 47.4% 46.1% IV Rank 25.3% 5.6% 63.0% 38.5% 5.6% IV Percentile 44.4% 9.9% 94.8% 72.2% 9.9% Term Structure 1.8% -4.8% 5.6% -4.8% 4.7% VWIV 45.6% 37.4% 60.3% 55.7% 38.2% Skew 25d 7.8% 2.9% 12.7% 11.5% 7.0% Skew 10d 15.9% -1.0% 33.2% 27.6% 13.4% Call IV 25d 42.1% 35.7% 47.2% 47.2% 35.7% Put IV 25d 49.9% 42.3% 58.7% 58.7% 42.7% Bid-Ask Spread % 11.97 6.73 21.47 11.91 7.73 Gamma HHI 0.20 0.18 0.37 0.21 0.21 Net GEX 515.6K -684.7K 837.4K 715.2K 707.6K Net DEX -87.2M -113.8M -66.9M -106.7M -89.8M Net VEX -774.9K -833.5K -717.8K -825.7K -750.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.01 1.82 1.60 0.73 Total Volume 4,123.238 786 27,143 1,866 1,188 Total OI 218,432.952 211,840 229,418 213,669 211,840
Daily Data (21 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 2008-08-01 $18.37 $17.50 55.4% 15.9% 65.1% 38.5% 55.7% 11.5% -4.8% 715.2K -106.7M -825.7K 1.60 11.91 N/A N/A 719 1,147 137,986 75,683 2008-08-04 $17.93 $20.00 63.3% 14.8% 65.0% 52.9% 50.0% 12.7% -1.7% 608.9K -91.0M -820.1K 1.06 17.97 N/A N/A 2,155 2,281 138,375 76,641 2008-08-05 $18.16 $20.00 66.6% 15.1% 64.5% 59.0% 49.9% 12.0% -2.5% 612.1K -98.4M -805.4K 1.21 13.17 N/A N/A 2,079 2,512 139,543 78,016 2008-08-06 $18.75 $20.00 52.7% 13.5% 63.9% 33.6% 44.4% 9.9% 0.9% 731.4K -109.9M -806.8K 1.12 16.93 N/A N/A 2,990 3,340 140,135 79,811 2008-08-07 $18.44 $20.00 53.3% 14.2% 64.1% 34.8% 45.5% 8.3% -0.5% 603.8K -101.8M -807.6K 0.64 21.47 N/A N/A 2,916 1,861 140,977 81,056 2008-08-08 $18.56 $20.00 45.3% 13.8% 60.6% 20.2% 45.3% 8.6% 0.1% 797.6K -108.4M -828.2K 0.41 13.82 N/A N/A 1,063 435 143,474 80,676 2008-08-11 $18.83 $20.00 46.4% 11.9% 55.9% 22.3% 44.0% 8.3% 2.0% 837.4K -113.8M -822.7K 1.73 14.67 N/A N/A 3,329 5,743 143,371 80,905 2008-08-12 $18.33 $20.00 68.9% 13.8% 57.0% 63.0% 45.1% 10.4% 0.3% 508.9K -98.9M -833.5K 0.82 9.33 N/A N/A 1,274 1,047 144,653 84,765 2008-08-13 $17.88 $20.00 63.9% 13.5% 42.8% 54.0% 45.5% 10.3% 2.6% 328.0K -86.8M -766.1K 0.50 11.07 N/A N/A 1,059 529 144,499 84,783 2008-08-14 $17.73 $20.00 45.3% 13.0% 41.4% 20.3% 45.2% 9.4% 3.1% 250.1K -81.5M -791.3K 1.25 9.45 N/A N/A 349 437 144,613 84,650 2008-08-15 $17.59 $20.00 42.7% 12.2% 41.2% 15.5% 42.3% 6.9% 5.6% -684.7K -78.7M -775.5K 1.82 9.41 N/A N/A 1,925 3,510 144,601 84,533 2008-08-18 $17.17 $20.00 42.4% 12.2% 41.9% 15.0% 43.0% 5.6% 3.0% 531.1K -72.5M -749.4K 0.79 10.90 N/A N/A 1,045 829 137,784 75,011 2008-08-19 $16.94 $20.00 42.6% 12.2% 42.1% 15.3% 43.9% 6.3% 4.1% 451.6K -68.6M -742.2K 0.46 19.65 N/A N/A 2,345 1,071 138,123 75,107 2008-08-20 $16.81 $20.00 43.5% 12.5% 40.4% 17.0% 45.6% 6.4% 1.9% 439.5K -66.9M -733.1K 0.83 15.01 N/A N/A 978 813 138,164 74,772 2008-08-21 $16.92 $20.00 41.2% 11.8% 35.6% 12.9% 46.6% 5.6% 4.2% 465.2K -71.8M -719.1K 0.17 6.73 N/A N/A 1,356 234 138,817 74,726 2008-08-22 $17.36 $20.00 40.8% 11.7% 36.6% 12.0% 41.0% 6.2% 2.8% 579.8K -76.5M -748.0K 0.54 8.92 N/A N/A 969 526 139,135 74,754 2008-08-25 $17.25 $20.00 41.5% 11.9% 36.2% 13.4% 44.7% 6.7% 3.1% 583.2K -74.0M -742.0K 0.47 10.17 N/A N/A 651 305 139,769 74,901 2008-08-26 $17.22 $20.00 41.3% 11.8% 31.5% 12.9% 60.3% 3.9% 2.3% 615.6K -75.1M -736.5K 0.01 8.01 N/A N/A 26,982 161 140,122 75,086 2008-08-27 $17.08 $20.00 37.7% 10.8% 31.3% 6.4% 43.2% 2.9% 4.2% 496.6K -75.2M -717.8K 1.30 8.18 N/A N/A 576 747 137,916 75,089 2008-08-28 $17.62 $20.00 37.4% 10.7% 29.0% 5.9% 37.4% 5.3% 3.1% 648.1K -84.4M -752.3K 1.27 6.80 N/A N/A 1,368 1,744 138,250 73,980 2008-08-29 $17.88 $20.00 37.2% 10.7% 29.5% 5.6% 38.2% 7.0% 4.7% 707.6K -89.8M -750.1K 0.73 7.73 N/A N/A 685 503 138,240 73,600
« Jul 2008 | All History | Sep 2008 » Home BX History August 2008