BX Options History — August 2009 In August 2009, BX traded between $12.87 and $14.96. ATM implied volatility averaged 61.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 37.9% (HV 20d: 99.6%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2009-08-26 : Highest Volume — 214,775 contracts2009-08-06 : Largest IV drop — 25.7% change2009-08-05 : Highest IV Rank — 19.6%2009-08-05 : Largest Expected Move — 23.9%Monthly Statistics Metric Avg Min Max Open Close Price $13.65 $12.87 $14.96 $13.64 $12.89 Max Pain $11.14 $10.00 $14.00 $11.00 $14.00 ATM IV 61.7% 51.1% 83.4% 78.5% 55.8% Expected Move 17.7% 14.7% 23.9% 22.5% 16.0% HV 20d 99.6% 74.0% 105.3% 95.8% 74.0% HV 60d 75.8% 73.0% 77.9% 75.2% 75.5% IV Rank 10.4% 5.9% 19.6% 17.5% 7.9% IV Percentile 22.0% 6.0% 42.1% 39.3% 11.5% Term Structure -0.5% -12.9% 5.4% -12.9% 3.2% VWIV 61.2% 38.9% 83.5% 79.8% 53.5% Skew 25d 5.2% -0.3% 8.9% 0.3% 8.0% Skew 10d 9.6% -2.3% 19.5% 4.0% 9.3% Call IV 25d 59.9% 50.6% 81.2% 80.3% 51.9% Put IV 25d 65.1% 54.6% 86.2% 80.6% 59.9% Bid-Ask Spread % 12.53 7.91 18.12 11.76 7.91 Gamma HHI 0.18 0.15 0.23 0.15 0.15 Net GEX 922.0K 639.6K 1.3M 819.8K 639.6K Net DEX -65.8M -100.1M -27.4M -73.1M -27.4M Net VEX -351.5K -381.6K -318.7K -323.4K -351.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.01 2.29 0.28 0.52 Total Volume 21,439.714 1,644 214,775 43,940 1,644 Total OI 190,869.143 164,571 204,741 164,571 183,799
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 2009-08-03 $13.64 $11.00 78.5% 22.5% 95.8% 17.5% 79.8% 0.3% -12.9% 819.8K -73.1M -323.4K 0.28 11.76 N/A N/A 34,462 9,478 110,763 53,808 2009-08-04 $12.93 $11.00 76.2% 21.8% 95.4% 16.5% 80.3% -0.3% -6.7% 857.0K -61.6M -318.7K 0.48 9.67 N/A N/A 8,216 3,928 115,897 58,838 2009-08-05 $14.96 $11.00 83.4% 23.9% 94.1% 19.6% 83.5% 5.0% -12.1% 914.0K -99.2M -345.0K 0.29 8.91 N/A N/A 30,606 8,740 115,833 59,593 2009-08-06 $14.00 $11.00 62.0% 17.8% 99.7% 10.5% 61.8% 1.2% 0.1% 1.0M -79.4M -341.6K 0.32 12.30 N/A N/A 16,215 5,125 120,574 63,291 2009-08-07 $14.29 $10.00 59.3% 17.8% 99.5% 9.4% 62.1% 6.6% -2.3% 1.1M -85.9M -357.2K 0.37 13.67 N/A N/A 9,516 3,476 124,528 65,734 2009-08-10 $14.90 $10.00 64.6% 18.1% 99.4% 11.6% 64.3% 7.6% 0.1% 1.2M -100.1M -369.8K 0.39 18.12 N/A N/A 10,814 4,166 126,286 66,814 2009-08-11 $14.46 $10.00 61.7% 18.2% 101.1% 10.3% 61.9% 6.2% -2.2% 1.2M -91.9M -381.6K 0.33 11.21 N/A N/A 4,423 1,462 130,538 69,701 2009-08-12 $14.58 $10.00 58.5% 17.2% 100.6% 9.0% 63.0% 6.3% 1.3% 1.3M -93.1M -378.3K 0.34 16.90 N/A N/A 3,552 1,220 130,485 70,579 2009-08-13 $14.41 $10.00 61.1% 17.5% 99.9% 10.1% 62.0% 5.8% -0.6% 1.3M -88.3M -369.5K 0.36 14.87 N/A N/A 2,660 947 130,162 70,948 2009-08-14 $14.05 $10.00 59.8% 17.2% 100.3% 9.6% 59.5% 4.2% 0.3% 1.2M -79.8M -366.1K 0.43 13.37 N/A N/A 3,869 1,670 130,140 70,673 2009-08-17 $13.02 $10.00 65.5% 18.8% 105.3% 12.0% 65.2% 5.5% -1.8% 882.0K -54.1M -344.7K 0.67 9.45 N/A N/A 5,981 3,982 131,691 71,162 2009-08-18 $13.21 $11.00 62.5% 17.9% 104.9% 10.7% 58.7% 5.5% -1.4% 914.0K -59.5M -348.7K 0.27 11.90 N/A N/A 5,155 1,371 131,523 71,990 2009-08-19 $13.16 $11.00 60.5% 17.3% 104.6% 9.8% 60.0% 7.3% 0.2% 852.5K -56.4M -340.2K 1.53 14.08 N/A N/A 2,257 3,460 130,198 72,137 2009-08-20 $13.45 $10.00 57.6% 16.5% 102.6% 8.6% 57.8% 4.9% 4.3% 781.2K -61.8M -349.5K 1.63 15.09 N/A N/A 2,571 4,199 128,527 73,927 2009-08-21 $13.60 $10.00 54.5% 15.6% 102.6% 7.3% 54.2% 7.8% 4.6% 881.4K -63.7M -351.6K 0.39 8.74 N/A N/A 5,892 2,285 129,194 75,547 2009-08-24 $13.07 $11.00 56.9% 16.3% 103.9% 8.3% 55.8% 8.9% 4.2% 678.0K -47.4M -334.1K 0.47 13.89 N/A N/A 10,925 5,132 113,069 66,649 2009-08-25 $12.87 $12.50 57.0% 16.4% 104.0% 8.4% 58.0% 6.0% 2.0% 699.2K -44.5M -344.7K 1.01 13.32 N/A N/A 2,406 2,442 118,836 70,239 2009-08-26 $13.10 $12.50 51.1% 14.7% 101.9% 5.9% 38.9% 2.5% 5.4% 784.1K -48.6M -346.6K 0.01 14.42 N/A N/A 212,744 2,031 119,416 71,692 2009-08-27 $13.06 $14.00 54.0% 15.5% 101.2% 7.1% 53.0% 4.2% 3.6% 705.4K -34.2M -359.3K 2.29 11.34 N/A N/A 2,463 5,644 107,149 72,832 2009-08-28 $13.10 $14.00 55.3% 15.8% 100.9% 7.6% 51.7% 6.1% 1.1% 686.4K -32.3M -359.0K 0.45 12.16 N/A N/A 2,139 966 107,693 75,797 2009-08-31 $12.89 $14.00 55.8% 16.0% 74.0% 7.9% 53.5% 8.0% 3.2% 639.6K -27.4M -351.3K 0.52 7.91 N/A N/A 1,085 559 107,857 75,942
« Jul 2009 | All History | Sep 2009 » Home BX History August 2009