BX Options History — January 2009 In January 2009, BX traded between $4.20 and $8.10. ATM implied volatility averaged 103.9%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded above realized volatility by 9.6% (HV 20d: 94.4%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.78.
Notable Days 2009-01-21 : Highest Volume — 5,753 contracts2009-01-14 : Largest IV spike — 15.6% change2009-01-20 : Highest IV Rank — 37.9%2009-01-20 : Largest Expected Move — 35.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.73 $4.20 $8.10 $7.14 $4.51 Max Pain $6.75 $5.00 $10.00 $10.00 $5.00 ATM IV 103.9% 86.3% 125.3% 86.3% 102.5% Expected Move 29.9% 24.7% 35.9% 24.7% 29.4% HV 20d 94.4% 74.8% 118.9% 79.7% 117.1% HV 60d 132.8% 118.9% 160.9% 160.6% 124.1% IV Rank 28.9% 21.5% 37.9% 21.5% 28.3% IV Percentile 77.4% 72.6% 86.1% 74.6% 73.0% Term Structure 5.7% -11.5% 15.9% 7.0% 10.1% VWIV 102.0% 80.1% 126.5% 85.4% 102.4% Skew 25d 25.3% 11.1% 43.1% 43.1% 30.3% Skew 10d 52.3% 17.3% 84.2% 67.7% 68.1% Call IV 25d 95.3% 72.3% 112.0% 72.3% 102.6% Put IV 25d 120.6% 87.2% 143.6% 115.4% 132.9% Bid-Ask Spread % 14.49 4.23 27.37 4.23 15.64 Gamma HHI 0.55 0.40 0.82 0.45 0.52 Net GEX 193.6K 132.9K 287.6K 200.0K 154.1K Net DEX -18.7M -31.3M -8.0M -23.6M -16.3M Net VEX -160.4K -225.9K -112.0K -203.9K -125.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.15 2.92 0.27 0.59 Total Volume 2,887.55 629 5,753 1,152 1,720 Total OI 153,660.8 123,083 177,107 169,172 132,833
Daily Data (20 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 2009-01-02 $7.14 $10.00 86.3% 24.7% 79.7% 21.5% 85.4% 43.1% 7.0% 200.0K -23.6M -203.9K 0.27 4.23 N/A N/A 908 244 134,074 35,098 2009-01-05 $7.50 $7.50 96.8% 26.9% 77.6% 25.9% 89.0% 19.9% 3.9% 209.7K -27.6M -201.8K 0.48 15.62 N/A N/A 2,035 986 134,590 35,211 2009-01-06 $8.10 $7.50 90.7% 26.1% 76.0% 23.3% 80.1% 16.5% 15.9% 223.1K -31.3M -225.9K 0.20 14.72 N/A N/A 4,490 918 135,720 35,677 2009-01-07 $7.41 $7.50 93.7% 27.6% 77.7% 24.6% 93.3% 11.1% 3.6% 261.7K -23.4M -216.1K 2.92 21.30 N/A N/A 708 2,070 137,661 35,425 2009-01-08 $7.50 $7.50 87.8% 27.0% 77.6% 22.1% 93.9% 20.4% 7.2% 287.6K -23.5M -212.0K 1.19 21.94 N/A N/A 1,268 1,512 138,018 35,765 2009-01-09 $7.28 $7.50 89.7% 26.6% 74.8% 22.9% 100.1% 17.3% 4.6% 264.7K -23.6M -216.3K 1.49 18.80 N/A N/A 634 945 138,327 34,891 2009-01-12 $6.44 $7.50 103.6% 26.2% 87.1% 28.7% 99.9% 28.7% 11.2% 180.9K -20.3M -170.0K 0.73 14.57 N/A N/A 1,024 751 138,619 35,410 2009-01-13 $6.12 $7.50 104.0% 32.9% 87.9% 28.9% 101.0% 26.8% 15.6% 287.2K -8.0M -153.7K 0.15 11.87 N/A N/A 4,976 739 139,030 34,810 2009-01-14 $5.67 $7.50 120.2% 33.8% 91.9% 35.7% 97.8% 28.4% 7.0% 219.5K -12.0M -166.2K 0.30 11.82 N/A N/A 4,021 1,189 142,189 34,918 2009-01-15 $5.34 $7.50 119.0% 34.1% 93.7% 35.2% 114.9% 19.5% 10.5% 186.7K -16.6M -152.6K 0.49 16.85 N/A N/A 1,530 750 141,255 34,752 2009-01-16 $5.20 $7.50 113.3% 32.5% 93.6% 32.8% 108.7% 23.9% 4.0% 136.9K -15.4M -149.5K 1.21 14.68 N/A N/A 284 345 140,307 34,643 2009-01-20 $4.62 $7.50 125.3% 35.9% 101.6% 37.9% 126.5% 30.8% -1.9% 148.3K -16.6M -125.0K 0.30 27.37 N/A N/A 3,456 1,042 98,332 24,751 2009-01-21 $4.40 $7.50 111.5% 32.0% 101.5% 32.1% 111.8% 15.1% 8.1% 132.9K -17.0M -113.7K 0.61 11.90 N/A N/A 3,567 2,186 98,697 25,610 2009-01-22 $4.20 $5.00 118.4% 33.9% 102.0% 35.0% 118.6% 12.5% -11.5% 139.1K -13.2M -112.0K 1.07 12.61 N/A N/A 2,057 2,198 100,903 26,604 2009-01-23 $4.51 $5.00 106.1% 30.4% 106.2% 29.8% 106.7% 35.0% 1.4% 142.2K -16.4M -133.6K 0.49 10.76 N/A N/A 1,808 892 102,379 28,384 2009-01-26 $4.56 $5.00 107.6% 30.9% 106.1% 30.4% 107.9% 18.8% 0.5% 217.1K -11.4M -122.7K 0.17 11.35 N/A N/A 1,700 297 103,218 27,997 2009-01-27 $4.47 $5.00 103.7% 29.7% 104.9% 28.8% 104.0% 41.2% 2.3% 140.7K -18.8M -129.9K 1.12 13.49 N/A N/A 501 561 104,216 27,961 2009-01-28 $5.10 $5.00 96.7% 27.7% 112.0% 25.8% 96.6% 36.0% 11.9% 190.5K -21.0M -145.2K 1.45 11.65 N/A N/A 754 1,096 104,127 27,973 2009-01-29 $4.50 $5.00 102.1% 29.3% 118.9% 28.1% 102.1% 30.6% 3.4% 149.4K -17.4M -132.8K 0.30 8.60 N/A N/A 1,222 367 104,459 28,382 2009-01-30 $4.51 $5.00 102.5% 29.4% 117.1% 28.3% 102.4% 30.3% 10.1% 154.1K -16.3M -125.2K 0.59 15.64 N/A N/A 1,084 636 104,191 28,642
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