BX Options History — November 2008

In November 2008, BX traded between $4.65 and $9.03. ATM implied volatility averaged 131.8%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 37.5%. IV traded below realized volatility by 22.9% (HV 20d: 154.7%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2008-11-12: Highest Volume — 8,098 contracts
  • 2008-11-24: Largest IV drop — 29.0% change
  • 2008-11-21: Highest IV Rank — 55.6%
  • 2008-11-21: Largest Expected Move — 47.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.87$4.65$9.03$8.61$6.26
Max Pain$13.68$10.00$15.00$10.00$12.50
ATM IV131.8%105.8%167.1%148.4%106.9%
Expected Move37.5%30.3%47.9%42.6%30.7%
HV 20d154.7%116.4%212.3%210.8%155.9%
HV 60d139.6%131.4%157.0%131.4%157.0%
IV Rank40.8%30.0%55.6%47.8%30.4%
IV Percentile93.5%85.3%98.8%97.6%85.7%
Term Structure-3.7%-23.0%16.2%-18.5%8.0%
VWIV133.1%110.1%176.7%140.4%110.1%
Skew 25d32.0%20.0%49.4%26.4%35.5%
Skew 10d69.8%23.1%131.1%50.0%28.8%
Call IV 25d120.0%94.8%156.5%127.5%112.4%
Put IV 25d152.0%134.2%206.0%153.9%147.9%
Bid-Ask Spread %16.6610.2224.2216.6113.03
Gamma HHI0.470.310.620.320.61
Net GEX146.9K94.2K199.5K189.3K139.1K
Net DEX-657.8K-17.9M7.5M-15.4M2.0M
Net VEX-259.7K-364.3K-156.8K-364.2K-226.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.165.172.182.08
Total Volume3,130.2118408,098918840
Total OI206,967.316200,206211,730205,162200,300

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$8.61$10.00148.4%42.6%210.8%47.8%140.4%26.4%-18.5%189.3K-15.4M-364.2K2.1816.61N/AN/A289629143,61461,548
2008-11-04$9.03$10.00113.2%32.4%212.3%33.0%132.1%29.8%-6.4%186.3K-17.9M-364.3K1.6317.96N/AN/A7721,262143,70661,786
2008-11-05$8.60$10.00143.8%41.2%212.2%45.8%136.4%34.7%-17.8%199.5K-11.3M-356.2K0.3417.23N/AN/A1,887647143,89761,350
2008-11-06$7.55$10.00135.5%38.9%171.1%42.4%129.2%28.0%-14.4%154.3K-5.4M-293.6K0.8715.55N/AN/A3,5653,117143,85061,485
2008-11-07$7.51$15.00130.1%35.3%168.6%40.1%122.2%30.3%-4.1%156.3K-4.2M-286.1K1.3216.71N/AN/A1,1521,522144,72062,510
2008-11-10$7.57$15.00116.9%34.1%152.4%34.6%117.5%25.9%-4.7%156.9K-2.0M-282.4K0.7011.52N/AN/A650458144,42262,833
2008-11-11$7.31$15.00126.4%34.2%144.6%38.6%123.7%32.9%-1.9%160.1K1.3M-276.0K1.4216.95N/AN/A1,0941,555144,54862,789
2008-11-12$7.01$15.00130.4%36.1%134.2%40.2%125.9%23.1%-3.5%147.3K-174.3K-269.3K5.1710.22N/AN/A1,3136,785144,94063,560
2008-11-13$7.22$15.00117.6%33.7%134.7%34.9%135.6%30.7%-0.8%140.9K1.1M-267.3K2.2017.29N/AN/A1,5753,459145,26264,672
2008-11-14$6.50$15.00125.9%36.1%123.6%38.4%129.6%21.8%-5.4%139.9K3.5M-240.7K0.5216.83N/AN/A1,523795145,36864,836
2008-11-17$6.34$15.00128.0%36.7%123.3%39.2%126.9%24.6%1.5%141.6K3.0M-236.5K0.1619.58N/AN/A4,509726146,21564,888
2008-11-18$6.49$15.00125.9%36.1%116.4%38.4%130.8%20.0%4.9%152.9K5.7M-242.1K1.3618.72N/AN/A1,2341,681146,43065,300
2008-11-19$5.95$15.00154.7%44.3%119.0%50.4%146.9%26.4%-9.0%127.9K3.6M-213.3K0.6520.32N/AN/A1,9041,247146,08364,886
2008-11-20$5.10$15.00162.3%46.5%128.0%53.6%167.4%39.1%2.5%94.2K5.6M-182.0K2.7424.22N/AN/A1,0592,900146,49265,057
2008-11-21$4.65$15.00167.1%47.9%129.0%55.6%176.7%49.4%-3.4%102.9K7.5M-156.8K1.0316.91N/AN/A1,7591,811145,36366,052
2008-11-24$6.43$15.00118.6%34.0%174.6%35.3%129.9%42.6%16.2%138.6K4.5M-225.8K0.6017.25N/AN/A1,9921,192139,77761,658
2008-11-25$6.14$15.00146.8%42.1%173.4%47.1%114.7%44.9%-23.0%126.6K3.3M-224.3K0.2519.01N/AN/A1,289322140,56061,416
2008-11-26$6.29$12.50105.8%30.3%155.9%30.0%133.2%42.2%9.4%137.1K2.7M-226.4K0.9010.69N/AN/A506454140,85859,348
2008-11-28$6.26$12.50106.9%30.7%155.9%30.4%110.1%35.5%8.0%139.1K2.0M-226.5K2.0813.03N/AN/A273567140,99659,304