BX Options History — October 2008 In October 2008, BX traded between $7.00 and $15.34. ATM implied volatility averaged 137.4%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 37.9%. IV traded below realized volatility by 24.4% (HV 20d: 161.8%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.61.
Notable Days 2008-10-14 : Highest Volume — 18,184 contracts2008-10-09 : Largest IV spike — 84.7% change2008-10-06 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 64.5%Monthly Statistics Metric Avg Min Max Open Close Price $10.33 $7.00 $15.34 $15.02 $9.14 Max Pain $12.17 $10.00 $17.50 $17.50 $10.00 ATM IV 137.4% 76.6% 273.3% 81.1% 123.1% Expected Move 37.9% 22.0% 64.5% 23.3% 35.3% HV 20d 161.8% 77.9% 213.8% 77.9% 212.9% HV 60d 103.0% 60.0% 131.1% 60.1% 131.0% IV Rank 60.5% 37.1% 100.0% 82.8% 37.2% IV Percentile 98.2% 94.0% 100.0% 98.0% 94.0% Term Structure -13.6% -44.6% -1.3% -7.7% -8.8% VWIV 131.3% 75.1% 219.6% 76.3% 131.8% Skew 25d 28.4% 3.9% 45.0% 17.8% 29.6% Skew 10d 46.7% -10.8% 125.8% 45.1% 57.7% Call IV 25d 116.5% 66.3% 199.6% 66.3% 121.1% Put IV 25d 144.9% 84.1% 238.6% 84.1% 150.7% Bid-Ask Spread % 26.38 12.95 48.20 23.42 12.95 Gamma HHI 0.27 0.19 0.42 0.20 0.33 Net GEX 244.9K 147.4K 461.3K 457.2K 221.5K Net DEX -30.2M -67.6M -6.0M -67.6M -15.4M Net VEX -459.0K -674.4K -309.0K -657.2K -396.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.13 1.32 0.25 0.76 Total Volume 5,604.217 392 18,184 392 1,771 Total OI 198,761 193,603 205,291 193,603 205,291
Daily Data (23 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 2008-10-01 $15.02 $17.50 81.1% 23.3% 77.9% 82.8% 76.3% 17.8% -7.7% 457.2K -67.6M -657.2K 0.25 23.42 N/A N/A 313 79 135,485 58,118 2008-10-02 $14.60 $17.50 83.8% 24.0% 78.0% 87.6% 86.1% 16.9% -5.1% 422.5K -59.7M -656.3K 0.99 17.74 N/A N/A 400 398 135,551 58,127 2008-10-03 $15.34 $17.50 76.6% 22.0% 80.4% 74.9% 75.1% 18.2% -1.3% 461.3K -67.0M -674.4K 0.69 34.65 N/A N/A 944 654 135,574 58,245 2008-10-06 $13.70 $17.50 116.4% 28.3% 88.6% 100.0% 92.2% 25.9% -8.7% 352.7K -52.2M -619.7K 1.11 41.45 N/A N/A 1,014 1,130 135,890 58,197 2008-10-07 $13.39 $17.50 106.8% 28.0% 87.7% 88.4% 96.9% 21.6% -13.8% 293.4K -43.7M -596.1K 1.03 39.56 N/A N/A 4,213 4,325 136,364 57,889 2008-10-08 $12.70 $17.50 117.9% 28.8% 88.8% 100.0% 97.0% 24.7% -9.2% 269.8K -36.7M -576.5K 0.69 45.92 N/A N/A 3,751 2,575 137,752 59,907 2008-10-09 $8.71 $15.00 217.6% 54.2% 157.1% 100.0% 169.1% 31.8% -44.6% 181.7K -18.7M -407.2K 1.08 48.20 N/A N/A 6,697 7,216 138,428 59,742 2008-10-10 $7.99 $10.00 273.3% 64.5% 158.0% 100.0% 219.6% 39.1% -23.2% 147.4K -20.6M -389.3K 1.32 45.77 N/A N/A 4,166 5,509 137,484 62,166 2008-10-13 $9.67 $10.00 195.3% 50.5% 175.8% 67.4% 174.2% 39.9% -14.8% 161.1K -34.1M -448.2K 0.45 34.37 N/A N/A 11,350 5,151 137,899 61,307 2008-10-14 $10.87 $10.00 128.0% 39.1% 182.8% 39.2% 135.4% 36.6% -13.3% 235.8K -31.7M -511.9K 0.23 35.85 N/A N/A 14,799 3,385 139,129 60,653 2008-10-15 $9.20 $10.00 128.3% 39.2% 188.1% 39.4% 139.5% 45.0% -14.5% 281.0K -19.3M -408.6K 0.58 26.35 N/A N/A 1,326 774 141,903 59,551 2008-10-16 $9.36 $10.00 134.0% 38.4% 180.3% 41.8% 142.0% 41.6% -13.0% 296.6K -19.6M -403.0K 0.23 20.02 N/A N/A 3,412 782 140,773 59,256 2008-10-17 $10.88 $10.00 134.0% 38.4% 190.0% 41.8% 132.2% 38.0% -18.1% 213.5K -36.4M -468.6K 0.13 34.92 N/A N/A 10,784 1,397 141,788 58,570 2008-10-20 $10.36 $10.00 122.9% 35.2% 188.8% 37.1% 111.0% 37.4% -11.4% 216.7K -33.9M -452.9K 0.18 16.23 N/A N/A 1,636 301 138,851 57,009 2008-10-21 $9.00 $10.00 123.4% 35.4% 192.8% 37.3% 128.2% 24.0% -7.4% 197.0K -23.0M -398.0K 0.70 14.50 N/A N/A 1,673 1,164 139,785 56,929 2008-10-22 $8.90 $10.00 130.5% 37.4% 192.0% 40.3% 137.7% 33.6% -12.3% 148.4K -26.7M -369.3K 0.25 15.92 N/A N/A 1,170 297 140,612 57,307 2008-10-23 $8.50 $10.00 154.6% 44.3% 191.9% 50.4% 139.3% 25.0% -16.0% 177.3K -19.7M -375.6K 0.19 14.39 N/A N/A 1,058 198 141,303 57,452 2008-10-24 $7.89 $10.00 142.7% 40.9% 191.6% 45.4% 140.5% 5.3% -7.0% 154.1K -15.8M -335.4K 0.32 19.60 N/A N/A 3,196 1,007 141,469 57,580 2008-10-27 $7.00 $10.00 157.5% 45.2% 193.6% 51.6% 157.0% 3.9% -16.3% 171.5K -6.0M -309.0K 0.80 17.62 N/A N/A 2,887 2,312 142,195 58,118 2008-10-28 $7.45 $10.00 158.0% 45.3% 196.9% 51.8% 155.5% 37.5% -20.7% 167.4K -7.4M -327.6K 0.51 15.01 N/A N/A 2,705 1,374 142,780 59,611 2008-10-29 $9.08 $10.00 126.9% 36.4% 213.8% 38.8% 138.5% 30.2% -13.0% 203.9K -22.0M -394.5K 0.29 15.18 N/A N/A 5,461 1,602 144,767 60,439 2008-10-30 $8.91 $10.00 127.6% 36.6% 213.8% 39.1% 144.3% 30.5% -12.2% 202.0K -17.5M -380.9K 1.21 17.16 N/A N/A 1,148 1,393 143,418 60,839 2008-10-31 $9.14 $10.00 123.1% 35.3% 212.9% 37.2% 131.8% 29.6% -8.8% 221.5K -15.4M -396.1K 0.76 12.95 N/A N/A 1,004 767 143,553 61,738
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