BX Options History — April 2009 In April 2009, BX traded between $7.24 and $9.79. ATM implied volatility averaged 89.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 14.3% (HV 20d: 103.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2009-04-09 : Highest Volume — 22,122 contracts2009-04-07 : Largest IV spike — 96.5% change2009-04-13 : Highest IV Rank — 32.5%2009-04-13 : Largest Expected Move — 32.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.15 $7.24 $9.79 $7.33 $9.79 Max Pain $7.31 $5.00 $7.50 $5.00 $7.50 ATM IV 89.2% 45.7% 112.4% 67.5% 59.9% Expected Move 26.4% 17.2% 32.2% 19.3% 17.2% HV 20d 103.5% 85.0% 121.9% 118.3% 91.0% HV 60d 122.0% 117.4% 126.7% 126.7% 118.5% IV Rank 22.7% 4.4% 32.5% 13.6% 10.4% IV Percentile 51.4% 17.1% 67.5% 48.0% 36.5% Term Structure -14.3% -57.2% 12.3% 12.3% -7.1% VWIV 98.9% 69.8% 125.2% 82.3% 74.4% Skew 25d 15.5% -35.7% 43.8% 7.1% 25.0% Skew 10d 40.6% 11.8% 66.4% 28.6% 38.5% Call IV 25d 88.3% 62.2% 116.9% 91.5% 74.9% Put IV 25d 103.8% 80.7% 117.1% 98.6% 99.9% Bid-Ask Spread % 19.74 14.37 28.16 17.09 22.53 Gamma HHI 0.40 0.35 0.55 0.40 0.48 Net GEX 473.3K 369.9K 744.5K 381.2K 485.6K Net DEX -53.4M -72.2M -41.0M -48.2M -72.2M Net VEX -238.8K -271.8K -215.0K -232.0K -252.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.11 5.58 0.56 0.18 Total Volume 6,275.381 1,682 22,122 3,245 11,292 Total OI 194,564.952 181,570 205,848 200,550 186,851
Daily Data (21 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 2009-04-01 $7.33 $5.00 67.5% 19.3% 118.3% 13.6% 82.3% 7.1% 12.3% 381.2K -48.2M -232.0K 0.56 17.09 N/A N/A 2,080 1,165 145,496 55,054 2009-04-02 $7.83 $6.00 97.1% 27.8% 109.6% 26.0% 122.7% -35.7% -47.6% 397.4K -55.4M -241.6K 0.48 18.25 N/A N/A 4,028 1,944 145,650 55,424 2009-04-03 $8.07 $7.50 95.7% 28.7% 106.7% 25.4% 99.5% 31.5% -12.3% 446.5K -61.6M -271.8K 0.23 28.16 N/A N/A 5,503 1,251 145,626 56,204 2009-04-06 $7.79 $7.50 45.7% 27.3% 105.2% 4.4% 90.3% 19.0% -2.2% 475.7K -54.3M -234.6K 0.31 21.63 N/A N/A 2,676 837 144,936 56,266 2009-04-07 $7.24 $7.50 89.8% 26.8% 108.2% 23.0% 91.1% 22.2% 5.0% 402.0K -44.6M -238.7K 0.52 14.37 N/A N/A 1,361 710 145,269 56,606 2009-04-08 $7.27 $7.50 92.2% 27.8% 108.1% 24.0% 97.9% 21.5% -1.8% 376.1K -47.1M -239.9K 0.24 15.38 N/A N/A 4,989 1,188 145,406 56,593 2009-04-09 $7.63 $7.50 101.3% 29.0% 109.0% 27.8% 100.2% 23.2% -5.4% 523.6K -51.0M -231.0K 5.58 21.30 N/A N/A 3,363 18,759 147,056 56,740 2009-04-13 $7.80 $7.50 112.4% 32.2% 108.3% 32.5% 118.3% -9.8% -57.2% 468.9K -53.9M -249.2K 0.11 21.46 N/A N/A 9,435 1,083 147,240 57,159 2009-04-14 $8.37 $7.50 91.2% 26.1% 110.1% 23.6% 96.7% 27.8% -6.0% 487.8K -59.4M -251.6K 0.20 21.16 N/A N/A 11,044 2,238 143,025 57,819 2009-04-15 $8.86 $7.50 91.0% 26.1% 110.4% 23.5% 92.0% 28.8% -6.2% 744.5K -60.0M -244.4K 0.17 24.21 N/A N/A 3,880 679 147,062 58,786 2009-04-16 $8.90 $7.50 87.9% 25.2% 110.5% 22.2% 102.9% 31.6% -10.3% 617.9K -65.5M -253.5K 0.20 21.10 N/A N/A 4,381 891 145,872 56,866 2009-04-17 $8.67 $7.50 82.6% 23.7% 110.0% 20.0% 97.9% 24.8% -4.8% 674.4K -58.1M -225.4K 0.17 15.65 N/A N/A 2,705 468 146,654 57,241 2009-04-20 $7.55 $7.50 109.3% 31.3% 121.9% 31.1% 105.8% 17.9% -18.9% 426.2K -41.0M -215.0K 0.53 19.43 N/A N/A 3,444 1,810 133,095 51,078 2009-04-21 $7.65 $7.50 101.5% 29.1% 94.7% 27.9% 125.2% -24.3% -43.5% 369.9K -42.5M -231.1K 0.11 19.53 N/A N/A 7,396 800 132,742 51,697 2009-04-22 $7.88 $7.50 108.1% 31.0% 93.6% 30.6% 109.9% -24.6% -55.1% 393.6K -42.9M -229.4K 0.54 17.71 N/A N/A 1,182 637 129,582 51,988 2009-04-23 $8.31 $7.50 87.2% 25.0% 93.6% 21.9% 96.1% 38.1% -8.6% 396.1K -54.1M -234.8K 0.62 15.26 N/A N/A 1,039 643 130,053 52,237 2009-04-24 $8.75 $7.50 82.7% 23.7% 95.1% 20.0% 91.1% 25.5% -3.2% 504.6K -50.2M -236.4K 0.20 24.91 N/A N/A 2,834 572 130,604 52,605 2009-04-27 $8.25 $7.50 108.7% 31.2% 97.5% 30.9% 115.4% 8.8% -26.3% 452.9K -48.5M -231.3K 0.45 15.83 N/A N/A 2,829 1,287 131,153 52,850 2009-04-28 $8.30 $7.50 86.9% 24.9% 85.0% 21.8% 97.4% 22.5% -2.5% 426.7K -49.8M -234.1K 0.42 20.99 N/A N/A 3,424 1,453 130,552 53,700 2009-04-29 $8.92 $7.50 74.8% 21.4% 86.2% 16.7% 69.8% 43.8% 0.1% 488.7K -60.9M -236.9K 1.02 18.64 N/A N/A 2,221 2,262 131,266 53,761 2009-04-30 $9.79 $7.50 59.9% 17.2% 91.0% 10.4% 74.4% 25.0% -7.1% 485.6K -72.2M -252.9K 0.18 22.53 N/A N/A 9,597 1,695 132,025 54,826
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