BX Options History — September 2008

In September 2008, BX traded between $15.00 and $17.72. ATM implied volatility averaged 57.0%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 7.2% (HV 20d: 49.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2008-09-18: Highest Volume — 8,475 contracts
  • 2008-09-29: Largest IV spike — 54.3% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.45$15.00$17.72$17.49$15.34
Max Pain$17.86$17.50$20.00$20.00$17.50
ATM IV57.0%41.0%90.9%41.9%82.2%
Expected Move16.1%11.8%26.0%12.0%23.6%
HV 20d49.7%27.4%77.9%29.3%77.9%
HV 60d51.3%45.0%60.3%46.0%60.2%
IV Rank41.2%12.5%100.0%14.2%84.8%
IV Percentile67.1%24.2%100.0%28.2%98.4%
Term Structure-1.1%-12.6%3.2%0.5%-12.6%
VWIV56.8%33.9%91.8%33.9%75.8%
Skew 25d11.8%1.8%22.1%3.8%14.3%
Skew 10d30.0%-8.4%74.4%6.4%51.4%
Call IV 25d51.5%38.3%67.9%43.2%64.9%
Put IV 25d63.3%47.1%87.4%47.1%79.2%
Bid-Ask Spread %31.495.8271.135.8224.04
Gamma HHI0.200.170.220.210.21
Net GEX460.8K134.6K660.0K628.8K485.7K
Net DEX-71.3M-95.5M-47.4M-82.2M-69.0M
Net VEX-695.1K-753.5K-633.4K-744.0K-666.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.212.762.080.86
Total Volume3,563.8571,2928,4753,0921,766
Total OI207,246.381188,644220,630211,644193,773

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$17.49$20.0041.9%12.0%29.3%14.2%33.9%3.8%0.5%628.8K-82.2M-744.0K2.085.82N/AN/A1,0052,087138,34973,295
2008-09-03$17.16$20.0041.0%11.8%29.4%12.5%45.3%2.9%1.3%580.9K-75.9M-730.9K2.7613.54N/AN/A4791,322138,40573,911
2008-09-04$16.74$20.0043.2%12.4%27.4%16.5%46.4%5.5%0.7%455.4K-68.0M-697.9K2.298.83N/AN/A9972,288138,63674,019
2008-09-05$16.43$17.5045.3%12.5%27.5%20.2%45.7%2.4%2.4%421.0K-65.0M-685.0K1.8228.18N/AN/A1,3152,398139,19173,802
2008-09-08$16.80$17.5046.2%12.5%28.9%21.9%44.8%9.4%2.0%532.5K-67.2M-704.7K0.8533.68N/AN/A843716139,81373,907
2008-09-09$16.03$17.5065.4%16.1%31.6%56.7%54.1%11.5%-1.5%348.9K-58.1M-664.9K0.4928.68N/AN/A4,0071,960140,01473,542
2008-09-10$16.12$17.5058.7%15.9%31.1%44.6%50.3%5.3%-2.1%409.6K-58.2M-685.7K2.3225.91N/AN/A2,0114,668141,11773,632
2008-09-11$15.96$17.5055.2%15.8%30.4%38.2%52.8%1.8%-0.5%284.9K-52.7M-668.8K0.2328.28N/AN/A1,347304140,33174,466
2008-09-12$15.91$17.5055.1%15.8%30.4%38.0%51.2%7.9%0.4%277.7K-52.5M-649.6K0.2728.85N/AN/A1,018274141,43273,801
2008-09-15$16.44$17.5050.8%14.6%33.2%30.2%51.0%16.6%1.7%367.4K-66.5M-688.4K1.0927.42N/AN/A3,1163,390142,70773,631
2008-09-16$16.57$17.5049.5%14.2%32.5%27.9%58.0%19.1%0.7%408.4K-69.4M-700.3K0.3432.16N/AN/A3,1371,052143,92073,848
2008-09-17$15.00$17.5067.5%19.3%47.5%60.5%70.1%15.7%-2.5%134.6K-47.4M-633.4K1.0818.25N/AN/A1,7291,861144,56773,845
2008-09-18$17.02$17.5059.0%16.9%66.8%45.0%67.0%9.8%0.1%434.5K-81.0M-753.5K1.0471.13N/AN/A4,1574,318145,53074,042
2008-09-19$17.72$17.5056.7%16.3%68.3%41.0%56.8%22.1%-6.5%472.7K-95.5M-727.2K0.2654.85N/AN/A5,4921,452145,81974,811
2008-09-22$16.24$17.5064.8%18.6%74.6%55.6%62.6%14.8%-6.8%540.6K-80.3M-687.6K0.7530.41N/AN/A742559131,24157,442
2008-09-23$16.48$17.5054.1%15.5%74.9%36.3%56.3%12.2%2.0%549.0K-82.4M-692.9K0.4645.74N/AN/A1,885870130,71757,927
2008-09-24$16.82$17.5052.0%14.9%75.3%32.4%53.6%13.9%3.2%608.5K-88.0M-710.4K1.4144.01N/AN/A9101,279131,70858,235
2008-09-25$16.60$17.5058.4%16.7%75.4%44.0%58.7%17.8%-3.1%626.4K-84.5M-712.5K0.2131.43N/AN/A4,134854132,26258,071
2008-09-26$16.81$17.5058.9%16.9%74.6%44.9%65.6%22.1%-2.2%660.0K-86.7M-712.4K0.8749.24N/AN/A736642134,75858,262
2008-09-29$15.70$17.5090.9%26.0%77.8%100.0%91.8%19.6%-1.0%448.9K-67.8M-679.5K0.7730.77N/AN/A970751135,23958,156
2008-09-30$15.34$17.5082.2%23.6%77.9%84.8%75.8%14.3%-12.6%485.7K-69.0M-666.8K0.8624.04N/AN/A951815135,54958,224