BX Options History — July 2009 In July 2009, BX traded between $8.60 and $11.70. ATM implied volatility averaged 58.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 5.7% (HV 20d: 64.0%). 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 9 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2009-07-08 : Highest Volume — 13,781 contracts2009-07-16 : Largest IV spike — 21.0% change2009-07-13 : Highest IV Rank — 13.6%2009-07-10 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $10.40 $8.60 $11.70 $10.81 $11.26 Max Pain $10.55 $10.00 $11.00 $11.00 $11.00 ATM IV 58.3% 47.2% 69.3% 47.2% 61.1% Expected Move 17.6% 13.5% 20.6% 13.5% 17.5% HV 20d 64.0% 46.7% 72.2% 47.8% 72.2% HV 60d 75.6% 64.7% 82.3% 79.2% 64.7% IV Rank 8.9% 4.2% 13.6% 4.2% 10.1% IV Percentile 21.9% 9.1% 37.3% 9.1% 26.2% Term Structure 0.3% -4.2% 13.9% 13.9% -4.2% VWIV 61.3% 49.2% 72.0% 49.2% 60.7% Skew 25d 6.9% 0.4% 11.7% 7.5% 5.0% Skew 10d 15.6% 1.8% 38.3% 2.5% 26.8% Call IV 25d 58.8% 44.9% 72.1% 44.9% 59.0% Put IV 25d 65.7% 51.7% 80.1% 52.4% 64.0% Bid-Ask Spread % 14.18 9.21 19.95 10.36 10.69 Gamma HHI 0.17 0.15 0.22 0.18 0.15 Net GEX 482.4K 252.9K 654.8K 527.5K 615.5K Net DEX -21.4M -38.9M 2.8M -27.3M -32.7M Net VEX -269.6K -293.2K -217.1K -289.8K -281.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.07 1.59 1.18 1.38 Total Volume 4,403.273 1,324 13,781 3,954 2,685 Total OI 165,419.636 157,182 174,394 161,281 164,241
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 2009-07-01 $10.81 $11.00 47.2% 13.5% 47.8% 4.2% 49.2% 7.5% 13.9% 527.5K -27.3M -289.8K 1.18 10.36 N/A N/A 1,811 2,143 110,566 50,715 2009-07-02 $10.72 $11.00 48.4% 13.9% 46.7% 4.7% 49.2% 3.9% 13.8% 536.6K -27.7M -292.9K 1.04 19.95 N/A N/A 1,338 1,394 111,692 51,540 2009-07-06 $10.18 $11.00 55.6% 18.6% 49.8% 7.8% 64.1% 8.3% -2.0% 473.1K -17.3M -270.9K 0.18 18.03 N/A N/A 5,632 989 112,282 51,777 2009-07-07 $9.61 $11.00 59.1% 18.8% 52.8% 9.2% 68.7% 8.1% -3.9% 389.3K -9.7M -254.0K 0.76 17.85 N/A N/A 4,976 3,785 112,809 52,226 2009-07-08 $8.60 $11.00 62.8% 20.4% 64.4% 10.8% 72.0% 8.0% -1.6% 285.8K 1.9M -217.1K 1.59 18.67 N/A N/A 5,312 8,469 113,720 53,596 2009-07-09 $8.68 $11.00 65.3% 20.3% 64.8% 11.9% 70.1% 9.6% -2.8% 255.6K 2.4M -229.4K 0.61 16.03 N/A N/A 1,600 981 113,948 57,368 2009-07-10 $8.73 $11.00 58.7% 20.6% 57.8% 9.1% 71.3% 9.0% -4.2% 252.9K 2.8M -226.8K 0.58 13.08 N/A N/A 2,011 1,158 113,975 57,806 2009-07-13 $9.13 $10.00 69.3% 19.7% 61.6% 13.6% 66.7% 11.7% -1.9% 283.5K -1.6M -242.0K 0.25 9.21 N/A N/A 2,733 675 114,731 57,561 2009-07-14 $9.48 $10.00 58.2% 19.7% 63.8% 8.9% 65.0% 8.9% -1.5% 325.0K -6.6M -259.9K 0.39 15.18 N/A N/A 3,537 1,381 115,550 57,704 2009-07-15 $9.97 $10.00 51.7% 18.1% 67.1% 6.1% 62.1% 10.0% 0.4% 331.5K -13.9M -268.5K 0.43 19.31 N/A N/A 2,107 896 115,929 57,868 2009-07-16 $10.58 $10.00 62.6% 17.9% 70.8% 10.7% 63.1% 6.7% -1.8% 445.3K -25.1M -293.2K 0.40 14.34 N/A N/A 2,779 1,119 116,409 57,985 2009-07-17 $10.39 $10.00 63.6% 18.2% 70.8% 11.2% 61.1% 7.5% 0.7% 444.3K -21.2M -270.2K 0.31 17.80 N/A N/A 3,779 1,157 115,314 56,655 2009-07-20 $10.64 $10.00 56.8% 16.3% 66.6% 8.3% 57.6% 7.6% 0.6% 544.4K -26.6M -271.0K 0.93 11.67 N/A N/A 2,497 2,334 108,120 49,062 2009-07-21 $10.48 $10.00 61.0% 17.5% 65.0% 10.1% 59.2% 9.0% -2.6% 541.4K -24.5M -275.6K 0.44 9.80 N/A N/A 3,367 1,492 109,609 50,570 2009-07-22 $10.86 $10.00 56.9% 16.3% 65.7% 8.3% 54.9% 4.5% -1.2% 590.1K -30.2M -281.5K 0.46 14.30 N/A N/A 1,472 678 109,972 51,153 2009-07-23 $11.60 $10.00 54.7% 15.7% 69.7% 7.4% 55.9% 4.8% 1.4% 654.8K -37.6M -288.7K 0.56 14.47 N/A N/A 5,149 2,887 107,533 51,436 2009-07-24 $11.58 $10.00 56.1% 16.1% 69.5% 8.0% 59.6% 2.9% 3.3% 637.5K -37.4M -289.1K 0.38 14.92 N/A N/A 1,213 457 108,302 52,434 2009-07-27 $11.70 $11.00 56.4% 16.2% 69.2% 8.1% 58.5% 5.0% 2.3% 654.3K -38.9M -288.4K 0.55 12.35 N/A N/A 954 522 108,410 52,590 2009-07-28 $11.53 $11.00 55.8% 16.0% 69.4% 7.9% 57.9% 8.7% 2.4% 635.4K -36.2M -283.6K 0.31 9.42 N/A N/A 1,009 315 108,325 52,462 2009-07-29 $10.96 $11.00 60.1% 17.2% 71.2% 9.7% 60.5% 0.4% -1.7% 564.3K -28.4M -273.0K 0.49 13.57 N/A N/A 3,640 1,783 108,650 52,619 2009-07-30 $11.42 $11.00 61.9% 17.7% 72.1% 10.5% 61.0% 4.5% -3.4% 625.1K -35.3M -284.6K 0.07 10.90 N/A N/A 2,486 170 110,173 53,845 2009-07-31 $11.26 $11.00 61.1% 17.5% 72.2% 10.1% 60.7% 5.0% -4.2% 615.5K -32.7M -281.6K 1.38 10.69 N/A N/A 1,129 1,556 110,292 53,949
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