BX Options History — September 2009 In September 2009, BX traded between $12.03 and $15.05. ATM implied volatility averaged 52.9%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 9.3% (HV 20d: 43.7%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.75.
Notable Days 2009-09-18 : Highest Volume — 19,737 contracts2009-09-11 : Largest IV drop — 8.2% change2009-09-02 : Highest IV Rank — 7.3%2009-09-04 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $13.71 $12.03 $15.05 $12.25 $14.20 Max Pain $14.05 $12.00 $15.00 $14.00 $15.00 ATM IV 52.9% 47.0% 59.7% 57.6% 47.8% Expected Move 15.4% 13.5% 17.6% 16.5% 13.7% HV 20d 43.7% 36.4% 73.8% 73.8% 36.9% HV 60d 74.8% 72.5% 76.4% 76.3% 72.5% IV Rank 3.4% 0.6% 7.3% 7.1% 0.9% IV Percentile 6.5% 0.4% 21.4% 15.1% 1.2% Term Structure 6.9% 2.8% 10.8% 6.3% 10.4% VWIV 53.7% 46.4% 60.2% 60.2% 46.7% Skew 25d 5.6% 0.8% 9.1% 4.2% 4.9% Skew 10d 13.6% 4.5% 25.4% 6.0% 17.1% Call IV 25d 51.7% 44.1% 61.1% 58.5% 45.5% Put IV 25d 57.3% 49.9% 65.4% 62.7% 50.3% Bid-Ask Spread % 13.78 7.80 20.50 13.06 8.94 Gamma HHI 0.19 0.11 0.77 0.14 0.13 Net GEX 932.3K 417.5K 5.5M 504.0K 567.7K Net DEX -41.7M -78.1M -13.4M -18.6M -45.6M Net VEX -368.9K -392.5K -340.4K -340.4K -369.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.12 6.31 2.18 0.30 Total Volume 7,929.381 1,696 19,737 12,024 3,626 Total OI 192,971.143 176,128 213,634 183,928 188,438
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 2009-09-01 $12.25 $14.00 57.6% 16.5% 73.8% 7.1% 60.2% 4.2% 6.3% 504.0K -18.6M -340.4K 2.18 13.06 N/A N/A 3,784 8,240 108,037 75,891 2009-09-02 $12.03 $14.00 58.0% 16.6% 48.7% 7.3% 57.9% 0.8% 5.2% 417.5K -13.4M -342.6K 0.29 8.54 N/A N/A 3,547 1,034 108,821 82,026 2009-09-03 $12.19 $14.00 55.1% 15.8% 44.7% 5.1% 57.1% 6.9% 7.9% 470.4K -15.4M -348.5K 0.27 8.46 N/A N/A 1,334 362 111,470 82,241 2009-09-04 $12.28 $12.00 52.9% 17.6% 43.9% 3.4% 59.9% 9.1% 4.2% 538.3K -17.9M -348.6K 0.47 18.46 N/A N/A 3,701 1,749 111,789 82,322 2009-09-08 $12.68 $12.00 56.8% 17.4% 42.6% 4.9% 60.2% 8.1% 2.8% 662.7K -24.5M -351.5K 0.32 18.73 N/A N/A 2,961 961 112,773 83,191 2009-09-09 $12.98 $12.00 56.1% 16.5% 43.1% 4.6% 58.0% 5.0% 5.6% 741.1K -30.0M -356.7K 0.56 20.08 N/A N/A 3,295 1,858 112,611 83,492 2009-09-10 $13.50 $13.00 59.7% 17.1% 45.7% 6.1% 56.9% 7.8% 3.1% 876.1K -42.5M -364.3K 0.53 13.34 N/A N/A 7,768 4,098 113,401 83,711 2009-09-11 $13.57 $13.00 54.7% 15.7% 45.8% 4.0% 56.9% 6.2% 5.7% 866.7K -40.7M -364.7K 0.20 20.50 N/A N/A 6,697 1,370 114,727 86,298 2009-09-14 $13.94 $13.00 55.2% 15.8% 46.1% 4.2% 56.4% 7.3% 4.5% 971.3K -48.2M -364.3K 0.23 15.72 N/A N/A 7,563 1,737 113,527 86,445 2009-09-15 $13.99 $13.00 55.3% 15.8% 36.4% 4.2% 54.1% 6.5% 4.3% 1.1M -48.6M -371.3K 6.31 18.60 N/A N/A 2,105 13,280 115,226 87,608 2009-09-16 $14.68 $15.00 53.8% 15.4% 39.6% 3.6% 55.3% 6.8% 3.7% 1.2M -65.6M -378.3K 0.18 16.22 N/A N/A 14,635 2,692 115,368 91,295 2009-09-17 $15.05 $15.00 53.8% 15.4% 40.0% 3.6% 54.3% 6.2% 5.3% 1.7M -78.1M -387.8K 0.60 16.01 N/A N/A 8,849 5,288 117,713 92,257 2009-09-18 $15.00 $15.00 50.4% 14.5% 39.8% 2.1% 50.3% 4.5% 6.4% 5.5M -73.4M -390.2K 0.48 17.13 N/A N/A 13,362 6,375 118,107 95,527 2009-09-21 $14.45 $15.00 51.5% 14.8% 42.5% 2.6% 51.2% 6.3% 9.7% 444.1K -49.1M -388.1K 0.43 9.78 N/A N/A 4,843 2,098 103,265 72,863 2009-09-22 $14.66 $15.00 48.3% 13.9% 39.5% 1.2% 48.4% 2.8% 9.5% 473.0K -54.7M -392.5K 0.25 14.55 N/A N/A 5,860 1,478 105,721 74,180 2009-09-23 $14.53 $15.00 47.0% 13.5% 39.1% 0.6% 47.8% 6.2% 10.5% 460.9K -50.2M -387.5K 0.25 11.74 N/A N/A 2,684 680 105,779 75,215 2009-09-24 $14.00 $15.00 50.8% 14.6% 41.7% 2.3% 51.6% 5.5% 9.5% 482.7K -40.2M -377.9K 0.46 10.91 N/A N/A 4,171 1,926 106,804 75,230 2009-09-25 $13.79 $15.00 49.2% 14.1% 42.1% 1.6% 50.4% 3.2% 10.0% 487.0K -36.5M -375.0K 1.09 11.85 N/A N/A 1,422 1,555 108,635 76,366 2009-09-28 $14.11 $15.00 49.6% 14.2% 42.8% 1.7% 46.7% 5.7% 10.5% 498.3K -43.0M -372.3K 0.12 7.80 N/A N/A 3,653 425 109,349 77,034 2009-09-29 $14.05 $15.00 48.2% 13.8% 42.2% 1.1% 46.4% 3.7% 10.8% 545.3K -40.6M -374.4K 0.29 8.89 N/A N/A 2,679 772 110,616 77,025 2009-09-30 $14.20 $15.00 47.8% 13.7% 36.9% 0.9% 46.7% 4.9% 10.4% 567.7K -45.6M -369.3K 0.30 8.94 N/A N/A 2,779 847 111,275 77,163
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