BX Options History — June 2009 In June 2009, BX traded between $10.46 and $11.92. ATM implied volatility averaged 59.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 3.6% (HV 20d: 55.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2009-06-19 : Highest Volume — 11,733 contracts2009-06-11 : Largest IV spike — 13.2% change2009-06-01 : Highest IV Rank — 13.5%2009-06-01 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.09 $10.46 $11.92 $11.03 $10.54 Max Pain $10.86 $10.00 $11.00 $11.00 $11.00 ATM IV 59.0% 49.9% 67.3% 67.3% 51.7% Expected Move 17.2% 14.3% 19.3% 19.3% 14.8% HV 20d 55.4% 43.0% 81.2% 81.2% 48.3% HV 60d 89.5% 79.4% 97.2% 97.2% 79.5% IV Rank 9.8% 5.4% 13.5% 13.5% 6.1% IV Percentile 24.6% 10.7% 34.9% 34.9% 12.3% Term Structure 5.6% 1.3% 11.0% 6.3% 10.2% VWIV 60.5% 50.6% 68.2% 67.1% 52.9% Skew 25d 6.3% 2.4% 11.1% 5.2% 4.5% Skew 10d 10.7% -16.6% 26.0% 1.2% 16.8% Call IV 25d 58.0% 48.7% 70.2% 66.6% 50.1% Put IV 25d 64.3% 51.1% 74.8% 71.8% 54.6% Bid-Ask Spread % 15.78 7.24 23.97 14.48 10.34 Gamma HHI 0.24 0.16 0.35 0.32 0.18 Net GEX 470.7K 403.1K 558.9K 448.0K 465.4K Net DEX -31.4M -45.1M -23.7M -32.4M -23.7M Net VEX -289.9K -308.2K -270.4K -295.1K -282.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.08 2.72 1.36 0.30 Total Volume 5,518.364 1,620 11,733 4,077 6,389 Total OI 160,975.5 147,785 176,058 157,414 157,908
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 2009-06-01 $11.03 $11.00 67.3% 19.3% 81.2% 13.5% 67.1% 5.2% 6.3% 448.0K -32.4M -295.1K 1.36 14.48 N/A N/A 1,731 2,346 102,170 55,244 2009-06-02 $10.80 $11.00 65.3% 18.7% 78.9% 12.7% 67.3% 4.6% 6.4% 418.1K -28.5M -288.9K 0.60 11.34 N/A N/A 2,058 1,243 102,347 56,530 2009-06-03 $10.46 $11.00 67.0% 19.2% 78.8% 13.4% 66.8% 2.6% 6.4% 403.1K -24.4M -284.2K 1.24 12.73 N/A N/A 724 896 102,517 56,889 2009-06-04 $10.77 $11.00 62.2% 17.8% 73.3% 11.4% 63.2% 6.7% 4.0% 437.1K -27.2M -282.9K 0.42 7.24 N/A N/A 3,952 1,652 102,755 57,212 2009-06-05 $10.92 $10.00 59.1% 18.6% 72.0% 10.1% 68.2% 10.3% 2.2% 460.0K -29.9M -290.4K 0.49 21.94 N/A N/A 2,469 1,213 103,923 57,494 2009-06-08 $11.08 $10.00 62.4% 18.7% 60.0% 11.3% 64.0% 8.1% 2.3% 458.9K -31.4M -276.7K 0.23 16.86 N/A N/A 5,039 1,161 100,686 57,595 2009-06-09 $11.00 $10.00 59.1% 18.5% 52.2% 9.9% 64.1% 8.6% 2.0% 434.0K -27.7M -270.8K 0.28 18.53 N/A N/A 3,649 1,008 99,907 58,067 2009-06-10 $10.95 $11.00 53.2% 17.8% 52.1% 7.5% 60.5% 11.1% 2.4% 438.0K -27.1M -270.4K 0.56 23.79 N/A N/A 5,630 3,131 100,652 58,490 2009-06-11 $11.74 $11.00 60.3% 17.3% 50.2% 10.4% 61.8% 8.5% 5.7% 551.5K -41.5M -292.9K 0.25 23.97 N/A N/A 8,689 2,181 105,146 60,036 2009-06-12 $11.61 $11.00 58.0% 16.6% 50.4% 9.5% 60.2% 7.6% 7.2% 534.4K -38.5M -298.4K 0.14 14.92 N/A N/A 7,519 1,072 109,241 61,948 2009-06-15 $11.33 $11.00 62.9% 18.0% 51.1% 11.5% 63.1% 8.0% 3.7% 524.2K -34.6M -291.9K 0.37 20.13 N/A N/A 6,752 2,513 109,559 61,580 2009-06-16 $11.17 $11.00 62.9% 18.0% 46.9% 11.5% 62.3% 5.0% 3.3% 558.9K -33.3M -296.3K 0.08 19.45 N/A N/A 6,454 515 113,906 62,152 2009-06-17 $10.99 $11.00 62.7% 18.0% 44.0% 11.4% 63.0% 6.6% 1.3% 527.3K -29.4M -286.4K 0.66 19.85 N/A N/A 1,851 1,218 112,251 62,264 2009-06-18 $11.15 $11.00 58.1% 16.7% 43.0% 9.5% 59.1% 6.0% 4.7% 534.0K -32.2M -288.4K 0.16 13.13 N/A N/A 4,347 710 112,381 61,976 2009-06-19 $11.92 $11.00 54.8% 15.7% 46.6% 8.1% 55.4% 5.4% 6.9% 485.8K -45.1M -301.3K 0.27 15.79 N/A N/A 9,240 2,493 112,541 61,922 2009-06-22 $11.38 $11.00 60.5% 17.4% 48.3% 10.5% 60.6% 6.8% 3.3% 503.3K -36.6M -308.2K 2.42 23.77 N/A N/A 1,173 2,844 100,678 47,107 2009-06-23 $11.04 $11.00 58.7% 16.8% 48.8% 9.8% 58.7% 5.0% 7.9% 414.6K -29.7M -298.5K 0.45 13.81 N/A N/A 1,718 771 100,264 49,493 2009-06-24 $11.20 $11.00 56.9% 16.3% 48.1% 9.0% 56.3% 4.7% 7.2% 425.8K -31.8M -302.0K 0.80 11.32 N/A N/A 1,106 882 100,748 49,714 2009-06-25 $11.08 $11.00 54.1% 15.5% 48.2% 7.8% 51.9% 7.8% 8.2% 419.0K -30.0M -297.6K 2.72 10.94 N/A N/A 978 2,664 101,322 50,318 2009-06-26 $10.88 $11.00 51.2% 14.7% 47.9% 5.9% 52.7% 2.5% 10.0% 448.8K -28.4M -290.6K 0.20 11.92 N/A N/A 3,378 660 101,752 49,027 2009-06-29 $10.85 $11.00 49.9% 14.3% 47.8% 5.4% 50.6% 2.4% 11.0% 465.8K -27.5M -283.8K 0.17 10.91 N/A N/A 4,591 794 104,340 49,409 2009-06-30 $10.54 $11.00 51.7% 14.8% 48.3% 6.1% 52.9% 4.5% 10.2% 465.4K -23.7M -282.9K 0.30 10.34 N/A N/A 4,924 1,465 108,145 49,763
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