BX Options History — February 2009 In February 2009, BX traded between $3.87 and $5.37. ATM implied volatility averaged 120.5%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 33.8%. IV traded above realized volatility by 4.3% (HV 20d: 116.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.74.
Notable Days 2009-02-27 : Highest Volume — 24,787 contracts2009-02-18 : Largest IV spike — 22.9% change2009-02-26 : Highest IV Rank — 48.8%2009-02-26 : Largest Expected Move — 43.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.50 $3.87 $5.37 $4.29 $4.87 Max Pain $6.97 $5.00 $7.50 $5.00 $7.50 ATM IV 120.5% 103.1% 151.4% 106.0% 117.8% Expected Move 33.8% 19.5% 43.4% 30.4% 33.8% HV 20d 116.3% 107.1% 132.1% 110.3% 132.1% HV 60d 120.2% 102.3% 128.0% 123.8% 113.2% IV Rank 35.9% 28.5% 48.8% 29.8% 34.7% IV Percentile 81.9% 71.8% 95.2% 74.6% 78.2% Term Structure -11.0% -56.0% 22.1% 2.6% 17.5% VWIV 117.4% 63.8% 144.9% 105.6% 112.2% Skew 25d 20.5% -33.8% 63.6% 34.6% 38.2% Skew 10d 49.4% -13.9% 85.6% 66.4% 58.3% Call IV 25d 116.5% 84.5% 185.7% 107.2% 121.5% Put IV 25d 137.0% 95.6% 174.8% 141.8% 159.7% Bid-Ask Spread % 9.29 4.67 14.39 12.63 5.54 Gamma HHI 0.45 0.37 0.67 0.46 0.42 Net GEX 132.9K 48.4K 226.9K 104.9K 154.3K Net DEX -19.2M -26.9M 5.2M -20.7M -23.9M Net VEX -112.7K -153.8K -22.1K -115.3K -129.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.05 4.06 0.45 0.14 Total Volume 2,609.579 523 24,787 1,605 24,787 Total OI 136,830.632 133,068 141,015 133,885 135,434
Daily Data (19 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 2009-02-02 $4.29 $5.00 106.0% 30.4% 110.3% 29.8% 105.6% 34.6% 2.6% 104.9K -20.7M -115.3K 0.45 12.63 N/A N/A 1,104 501 104,915 28,970 2009-02-03 $4.43 $5.00 113.9% 32.7% 108.9% 33.1% 113.9% -5.2% -10.4% 102.9K -22.2M -114.1K 0.31 14.39 N/A N/A 400 123 105,413 29,113 2009-02-04 $4.80 $5.00 105.1% 30.1% 109.4% 29.4% 105.1% 30.0% 4.9% 108.1K -25.5M -125.0K 0.56 12.91 N/A N/A 713 399 105,618 29,137 2009-02-05 $4.80 $5.00 103.1% 29.6% 107.1% 28.5% 103.1% 21.8% 7.9% 153.3K -21.1M -139.3K 0.16 9.52 N/A N/A 1,246 200 105,918 29,232 2009-02-06 $5.37 $7.50 104.4% 31.6% 116.8% 29.1% 106.0% 21.7% -10.5% 217.4K -23.7M -153.8K 0.59 9.56 N/A N/A 1,546 915 105,930 29,209 2009-02-09 $4.94 $7.50 107.8% 31.0% 119.1% 30.5% 110.1% 18.7% 0.4% 175.7K -21.8M -140.0K 0.52 6.53 N/A N/A 2,148 1,115 106,472 29,494 2009-02-10 $4.45 $7.50 121.8% 29.9% 117.2% 36.4% 108.2% 63.6% -10.5% 101.7K -23.5M -109.6K 0.42 8.51 N/A N/A 844 358 107,816 30,083 2009-02-11 $4.61 $7.50 105.5% 19.5% 118.0% 29.6% 63.8% 11.1% 22.1% 226.9K -11.0M -115.1K 1.73 6.28 N/A N/A 501 868 108,326 30,237 2009-02-12 $4.88 $7.50 108.5% 31.1% 118.2% 30.8% 108.4% 29.3% -3.3% 107.7K -26.9M -123.2K 0.21 13.95 N/A N/A 814 172 108,622 30,814 2009-02-13 $5.03 $7.50 108.6% 31.1% 117.2% 30.9% 107.3% 24.6% -9.6% 170.2K -22.7M -145.2K 0.27 8.37 N/A N/A 694 187 108,969 30,877 2009-02-17 $4.55 $7.50 112.4% 32.2% 122.0% 32.5% 112.4% 44.0% -33.6% 177.8K -17.8M -124.2K 2.90 5.56 N/A N/A 249 723 109,343 31,019 2009-02-18 $4.23 $7.50 138.2% 39.6% 117.5% 43.3% 141.7% -4.7% -56.0% 92.2K -22.0M -100.0K 0.17 4.67 N/A N/A 870 144 109,518 31,129 2009-02-19 $4.05 $7.50 135.5% 38.9% 117.2% 42.2% 136.4% -5.4% -23.3% 97.1K -20.1M -95.6K 0.16 6.09 N/A N/A 1,222 199 109,592 31,147 2009-02-20 $3.96 $7.50 133.9% 38.4% 116.4% 41.5% 135.5% -8.4% -16.1% 150.7K -9.1M -91.2K 0.37 13.65 N/A N/A 430 157 109,836 31,179 2009-02-23 $3.89 $7.50 144.7% 41.5% 113.1% 46.0% 144.9% 41.6% -16.4% 48.4K 5.2M -22.1K 0.05 9.72 N/A N/A 1,164 55 103,637 29,431 2009-02-24 $4.29 $7.50 130.5% 37.4% 119.0% 40.1% 131.6% 62.6% -21.5% 128.0K -20.2M -106.5K 0.41 13.29 N/A N/A 1,556 635 104,395 29,374 2009-02-25 $4.12 $7.50 141.1% 40.4% 119.6% 44.5% 141.1% -33.8% -23.5% 102.5K -18.6M -97.2K 0.64 5.50 N/A N/A 1,028 655 104,703 29,760 2009-02-26 $3.87 $7.50 151.4% 43.4% 109.8% 48.8% 142.7% 5.8% -29.1% 104.5K -18.8M -94.9K 4.06 9.90 N/A N/A 170 690 105,381 29,739 2009-02-27 $4.87 $7.50 117.8% 33.8% 132.1% 34.7% 112.2% 38.2% 17.5% 154.3K -23.9M -129.7K 0.14 5.54 N/A N/A 21,768 3,019 105,462 29,972
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