BX Options History — March 2009 In March 2009, BX traded between $4.77 and $8.20. ATM implied volatility averaged 137.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 38.6%. IV traded below realized volatility by 2.5% (HV 20d: 140.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2009-03-23 : Highest Volume — 58,672 contracts2009-03-03 : Largest IV spike — 40.7% change2009-03-10 : Highest IV Rank — 70.1%2009-03-04 : Largest Expected Move — 51.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.46 $4.77 $8.20 $4.77 $7.25 Max Pain $5.23 $5.00 $7.50 $5.00 $5.00 ATM IV 137.6% 63.1% 202.1% 119.6% 63.1% Expected Move 38.6% 18.1% 51.5% 34.3% 18.1% HV 20d 140.2% 120.5% 153.9% 132.4% 120.5% HV 60d 120.1% 113.0% 127.9% 113.0% 127.1% IV Rank 43.1% 11.8% 70.1% 35.5% 11.8% IV Percentile 80.8% 44.8% 99.2% 80.6% 44.8% Term Structure -22.9% -100.5% 24.1% 10.7% 24.1% VWIV 133.8% 81.0% 195.0% 120.9% 81.0% Skew 25d -9.1% -94.2% 78.1% 0.1% 6.9% Skew 10d 53.6% -45.8% 124.2% 9.3% 32.7% Call IV 25d 125.8% 51.1% 195.8% 128.2% 87.3% Put IV 25d 116.7% 94.1% 149.2% 128.4% 94.2% Bid-Ask Spread % 17.76 5.42 29.08 12.53 16.65 Gamma HHI 0.38 0.33 0.48 0.39 0.40 Net GEX 244.0K 166.7K 388.8K 166.7K 388.8K Net DEX -41.1M -62.6M -29.2M -29.2M -46.8M Net VEX -196.7K -261.9K -131.8K -131.8K -249.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.11 2.72 0.31 0.34 Total Volume 9,459.773 1,022 58,672 2,575 3,454 Total OI 172,581.045 148,657 199,736 149,585 199,736
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 2009-03-02 $4.77 $5.00 119.6% 34.3% 132.4% 35.5% 120.9% 0.1% 10.7% 166.7K -29.2M -131.8K 0.31 12.53 N/A N/A 1,970 605 118,060 31,525 2009-03-03 $5.69 $5.00 168.3% 48.3% 144.3% 55.9% 182.5% -78.2% -83.2% 177.1K -35.1M -162.1K 0.30 10.09 N/A N/A 16,006 4,775 118,165 31,529 2009-03-04 $6.13 $7.50 179.8% 51.5% 145.8% 60.7% 157.5% -42.8% -38.1% 205.3K -31.4M -188.8K 0.42 5.42 N/A N/A 14,340 6,058 120,083 34,697 2009-03-05 $5.44 $7.50 160.5% 46.0% 151.3% 52.6% 195.0% -94.2% -70.3% 176.5K -37.2M -154.7K 0.74 8.37 N/A N/A 1,701 1,254 127,533 38,944 2009-03-06 $5.93 $5.00 159.0% 46.8% 153.9% 52.0% 157.4% -56.9% -1.8% 192.0K -37.5M -181.2K 0.40 27.96 N/A N/A 3,372 1,347 124,555 38,899 2009-03-09 $5.61 $5.00 171.6% 49.6% 150.6% 57.3% 176.4% -28.9% -100.5% 172.8K -36.7M -167.1K 0.24 29.08 N/A N/A 825 197 126,769 39,821 2009-03-10 $5.98 $5.00 202.1% 45.0% 148.6% 70.1% 139.0% -48.9% -30.5% 213.5K -35.5M -165.7K 2.06 17.39 N/A N/A 674 1,390 126,924 39,834 2009-03-11 $6.10 $5.00 192.1% 48.2% 142.4% 65.9% 147.4% -80.0% -25.6% 208.0K -37.9M -184.7K 1.49 15.01 N/A N/A 2,493 3,706 125,862 39,967 2009-03-12 $6.10 $5.00 162.9% 46.7% 142.3% 53.7% 142.7% -76.1% -24.9% 207.6K -33.8M -164.6K 0.13 16.29 N/A N/A 3,928 498 126,330 42,056 2009-03-13 $5.96 $5.00 149.7% 42.9% 141.9% 48.1% 143.6% -61.1% -44.3% 222.5K -37.2M -182.3K 2.72 20.38 N/A N/A 489 1,331 129,190 42,303 2009-03-16 $6.06 $5.00 150.6% 43.2% 141.7% 48.5% 146.7% 40.8% -47.3% 226.4K -35.2M -167.5K 1.11 21.74 N/A N/A 1,500 1,659 129,386 42,493 2009-03-17 $5.97 $5.00 154.5% 44.3% 136.1% 50.1% 144.6% 64.0% -40.8% 219.2K -32.6M -189.9K 1.19 22.15 N/A N/A 920 1,096 129,578 43,762 2009-03-18 $6.07 $5.00 143.2% 41.0% 132.2% 45.4% 116.2% 78.1% -9.9% 224.8K -38.7M -186.3K 0.11 25.12 N/A N/A 3,713 392 129,875 44,452 2009-03-19 $6.50 $5.00 109.1% 31.3% 131.3% 31.1% 113.4% 22.6% 1.8% 231.5K -40.8M -182.8K 0.14 26.23 N/A N/A 9,944 1,422 131,659 44,546 2009-03-20 $6.30 $5.00 107.7% 30.9% 131.7% 30.5% 113.6% 34.4% -7.6% 243.6K -35.7M -182.6K 0.58 9.62 N/A N/A 2,687 1,569 131,749 45,107 2009-03-23 $7.81 $5.00 118.1% 33.9% 147.1% 34.8% 127.6% 27.5% 6.1% 269.2K -51.0M -233.2K 0.40 18.60 N/A N/A 42,045 16,627 112,909 35,748 2009-03-24 $8.20 $5.00 112.4% 32.2% 145.3% 32.4% 111.3% 35.0% -1.3% 383.7K -55.4M -251.8K 0.17 7.10 N/A N/A 18,786 3,214 135,581 49,425 2009-03-25 $7.79 $5.00 103.2% 29.6% 146.1% 28.6% 112.2% 16.0% -33.9% 317.2K -53.8M -240.3K 0.58 23.16 N/A N/A 6,337 3,659 136,565 50,936 2009-03-26 $7.90 $5.00 101.7% 29.1% 142.0% 28.0% 102.5% 36.1% 0.3% 307.2K -62.6M -261.9K 0.30 23.97 N/A N/A 3,836 1,147 138,402 53,038 2009-03-27 $7.75 $5.00 98.8% 28.3% 123.1% 26.8% 100.5% -14.4% 6.7% 302.7K -59.8M -257.5K 0.20 17.58 N/A N/A 5,554 1,100 140,001 53,482 2009-03-30 $6.84 $5.00 100.4% 28.8% 133.2% 27.4% 112.4% 19.3% 7.1% 311.1K -41.3M -241.5K 0.16 16.24 N/A N/A 9,084 1,411 141,416 53,891 2009-03-31 $7.25 $5.00 63.1% 18.1% 120.5% 11.8% 81.0% 6.9% 24.1% 388.8K -46.8M -249.8K 0.34 16.65 N/A N/A 2,578 876 144,999 54,737
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