BX Options History — December 2008

In December 2008, BX traded between $5.34 and $7.01. ATM implied volatility averaged 120.9%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 35.2%. IV traded below realized volatility by 22.5% (HV 20d: 143.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2008-12-08: Highest Volume — 4,545 contracts
2008-12-05: Largest IV drop — 42.1% change
2008-12-03: Highest IV Rank — 51.2%
2008-12-03: Largest Expected Move — 44.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.13	$5.34	$7.01	$5.56	$6.53
Max Pain	$13.41	$10.00	$15.00	$12.50	$10.00
ATM IV	120.9%	86.7%	156.5%	149.5%	86.9%
Expected Move	35.2%	24.9%	44.9%	42.9%	24.9%
HV 20d	143.4%	85.0%	169.5%	159.0%	85.0%
HV 60d	160.5%	158.2%	164.0%	158.4%	159.3%
IV Rank	36.2%	21.7%	51.2%	48.2%	21.7%
IV Percentile	86.2%	75.4%	97.2%	96.4%	75.4%
Term Structure	0.4%	-14.5%	10.2%	-7.7%	5.6%
VWIV	113.6%	87.2%	148.9%	143.0%	87.2%
Skew 25d	21.1%	-10.6%	49.0%	39.2%	16.9%
Skew 10d	48.1%	-7.8%	121.8%	121.8%	42.4%
Call IV 25d	109.4%	83.4%	161.7%	131.2%	83.4%
Put IV 25d	130.5%	99.0%	188.5%	170.4%	100.4%
Bid-Ask Spread %	11.11	4.35	19.85	19.85	4.35
Gamma HHI	0.60	0.52	0.66	0.56	0.56
Net GEX	152.5K	109.0K	191.4K	109.0K	191.4K
Net DEX	-6.7M	-12.8M	1.8M	884.7K	-12.7M
Net VEX	-207.2K	-247.9K	-185.2K	-192.2K	-217.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.16	5.09	1.60	0.72
Total Volume	1,338.818	383	4,545	763	1,448
Total OI	185,755.591	167,736	199,743	199,743	168,999

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
2008-12-01	$5.56	$12.50	149.5%	42.9%	159.0%	48.2%	143.0%	39.2%	-7.7%	109.0K	884.7K	-192.2K	1.60	19.85	N/A	N/A	293	470	141,098	58,645
2008-12-02	$5.34	$10.00	153.6%	44.0%	158.6%	49.9%	148.9%	49.0%	-8.5%	116.2K	1.8M	-185.2K	0.54	16.49	N/A	N/A	1,032	559	141,103	55,257
2008-12-03	$6.04	$10.00	156.5%	44.9%	165.2%	51.2%	110.6%	-10.6%	-14.5%	146.0K	-1.8M	-205.7K	0.94	13.65	N/A	N/A	835	784	141,369	51,646
2008-12-04	$5.73	$10.00	154.0%	44.2%	165.3%	50.1%	133.7%	33.8%	-11.1%	125.4K	-1.1M	-200.5K	0.77	16.34	N/A	N/A	525	403	141,740	51,370
2008-12-05	$6.27	$15.00	89.2%	32.3%	164.4%	23.0%	112.1%	32.9%	2.4%	144.7K	-5.5M	-211.0K	0.19	15.98	N/A	N/A	1,284	246	142,127	48,458
2008-12-08	$6.89	$15.00	108.8%	34.3%	168.5%	31.2%	114.7%	28.7%	0.2%	164.1K	-9.8M	-242.8K	0.16	12.67	N/A	N/A	3,921	624	142,867	48,536
2008-12-09	$7.01	$15.00	114.6%	33.7%	168.6%	33.6%	116.1%	21.4%	0.8%	176.2K	-12.5M	-247.9K	2.50	8.81	N/A	N/A	704	1,759	145,427	48,537
2008-12-10	$6.59	$15.00	112.3%	33.9%	169.5%	32.7%	117.7%	24.0%	2.2%	166.3K	-10.1M	-236.6K	1.11	11.00	N/A	N/A	271	300	145,644	47,551
2008-12-11	$6.43	$15.00	115.7%	33.2%	169.1%	34.1%	123.4%	21.5%	4.7%	159.3K	-8.0M	-219.2K	3.61	8.48	N/A	N/A	140	505	145,672	47,691
2008-12-12	$6.19	$15.00	135.9%	39.0%	169.0%	42.5%	116.6%	15.5%	-1.3%	156.9K	-6.5M	-217.3K	0.87	16.03	N/A	N/A	470	410	145,690	47,659
2008-12-15	$6.24	$15.00	142.0%	40.7%	165.1%	45.1%	125.4%	25.3%	-2.6%	158.5K	-6.2M	-213.4K	0.17	12.43	N/A	N/A	553	95	145,841	47,575
2008-12-16	$6.08	$15.00	130.9%	37.5%	165.1%	40.4%	119.5%	13.2%	6.2%	152.7K	-6.2M	-207.5K	0.44	12.12	N/A	N/A	564	248	146,104	47,592
2008-12-17	$5.90	$15.00	126.2%	36.2%	165.1%	38.5%	126.2%	15.4%	9.7%	144.6K	-6.1M	-198.3K	5.09	5.91	N/A	N/A	93	473	146,374	46,777
2008-12-18	$5.78	$15.00	122.4%	35.1%	162.4%	36.9%	121.0%	17.8%	7.1%	143.6K	-5.2M	-189.8K	1.77	7.32	N/A	N/A	316	560	146,365	46,449
2008-12-19	$5.93	$15.00	118.2%	33.9%	152.2%	35.1%	93.9%	21.6%	10.2%	149.0K	-4.4M	-192.3K	0.20	6.88	N/A	N/A	1,495	296	146,367	46,866
2008-12-22	$5.89	$15.00	115.1%	33.0%	147.7%	33.9%	90.3%	-1.5%	0.1%	159.9K	-5.5M	-187.1K	0.33	9.73	N/A	N/A	1,257	421	131,631	38,973
2008-12-23	$5.98	$15.00	112.7%	32.3%	90.9%	32.7%	95.4%	20.4%	-1.1%	147.7K	-8.1M	-197.7K	0.18	8.80	N/A	N/A	1,440	254	131,995	38,878
2008-12-24	$5.75	$12.50	115.3%	33.1%	90.5%	33.7%	109.2%	18.6%	-4.2%	145.8K	-8.4M	-187.5K	0.30	11.35	N/A	N/A	598	178	132,380	35,356
2008-12-26	$5.94	$12.50	118.2%	33.9%	90.9%	34.9%	101.6%	19.7%	-0.4%	157.9K	-8.5M	-192.8K	0.64	7.47	N/A	N/A	233	150	132,430	35,456
2008-12-29	$6.46	$12.50	86.7%	24.9%	95.9%	21.7%	95.5%	28.5%	8.2%	176.8K	-11.0M	-212.1K	1.01	10.15	N/A	N/A	917	928	132,575	35,523
2008-12-30	$6.26	$10.00	95.2%	27.3%	85.9%	25.2%	96.1%	11.9%	1.7%	163.4K	-12.8M	-204.0K	0.19	8.65	N/A	N/A	1,183	219	133,012	35,018
2008-12-31	$6.53	$10.00	86.9%	24.9%	85.0%	21.7%	87.2%	16.9%	5.6%	191.4K	-12.7M	-217.7K	0.72	4.35	N/A	N/A	843	605	133,892	35,107