BX Options History — October 2009 In October 2009, BX traded between $12.90 and $17.11. ATM implied volatility averaged 52.6%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 0.5% (HV 20d: 52.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.41.
Notable Days 2009-10-14 : Highest Volume — 45,094 contracts2009-10-12 : Largest IV spike — 27.0% change2009-10-30 : Highest IV Rank — 17.7%2009-10-30 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.04 $12.90 $17.11 $13.81 $13.42 Max Pain $14.73 $14.00 $15.00 $15.00 $15.00 ATM IV 52.6% 40.6% 69.1% 49.1% 69.1% Expected Move 15.9% 14.0% 19.8% 14.1% 19.8% HV 20d 52.1% 37.9% 75.0% 37.9% 75.0% HV 60d 67.3% 55.0% 70.5% 68.6% 55.0% IV Rank 6.4% 0.0% 17.7% 1.5% 17.7% IV Percentile 13.0% 0.0% 44.8% 2.8% 44.8% Term Structure 1.5% -4.6% 12.2% 10.2% -0.2% VWIV 55.9% 46.7% 69.6% 49.6% 69.6% Skew 25d 5.0% 0.5% 8.5% 3.6% 5.5% Skew 10d 9.9% -2.3% 17.5% 1.9% 12.8% Call IV 25d 54.0% 45.4% 68.6% 48.0% 68.6% Put IV 25d 59.0% 50.2% 74.1% 51.6% 74.1% Bid-Ask Spread % 15.44 9.48 21.38 12.00 19.79 Gamma HHI 0.15 0.11 0.22 0.11 0.13 Net GEX 1.1M 596.6K 1.6M 613.0K 1.1M Net DEX -69.7M -128.9M -18.0M -37.2M -35.1M Net VEX -382.1K -418.0K -347.4K -366.1K -416.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.13 1.02 0.80 0.53 Total Volume 10,855.136 2,037 45,094 3,537 4,813 Total OI 208,522.591 190,632 237,575 190,632 237,575
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 2009-10-01 $13.81 $15.00 49.1% 14.1% 37.9% 1.5% 49.6% 3.6% 10.2% 613.0K -37.2M -366.1K 0.80 12.00 N/A N/A 1,966 1,571 113,153 77,479 2009-10-02 $13.45 $15.00 48.9% 14.0% 39.6% 1.4% 46.7% 3.9% 12.2% 596.6K -28.0M -353.8K 0.73 15.54 N/A N/A 2,480 1,811 113,586 77,477 2009-10-05 $13.68 $14.00 48.4% 16.7% 39.8% 1.2% 56.7% 8.2% -0.9% 616.0K -33.6M -347.4K 1.02 19.59 N/A N/A 1,907 1,953 113,551 77,818 2009-10-06 $14.53 $14.00 47.9% 15.9% 43.4% 1.0% 57.4% 7.6% -1.2% 690.7K -53.6M -363.2K 0.42 21.38 N/A N/A 7,307 3,097 114,352 78,177 2009-10-07 $14.61 $14.00 44.9% 15.7% 43.0% 0.0% 55.6% 6.1% 0.3% 848.9K -54.4M -356.7K 0.17 21.15 N/A N/A 5,301 908 116,379 79,052 2009-10-08 $14.89 $14.00 44.9% 15.6% 41.5% 0.0% 54.3% 5.8% 0.1% 916.5K -64.4M -364.1K 0.32 19.44 N/A N/A 3,088 992 118,905 79,362 2009-10-09 $14.85 $14.00 40.6% 15.1% 41.6% 0.0% 53.4% 8.5% 0.2% 948.4K -62.9M -350.4K 0.74 16.14 N/A N/A 1,173 864 118,234 78,807 2009-10-12 $16.08 $14.00 51.5% 15.6% 48.9% 4.7% 54.4% 6.1% -0.4% 1.0M -99.8M -347.7K 0.23 15.56 N/A N/A 16,609 3,819 118,525 79,203 2009-10-13 $15.90 $15.00 50.1% 15.7% 49.3% 5.9% 54.9% 4.8% -0.6% 1.0M -94.4M -350.3K 0.24 11.00 N/A N/A 5,919 1,421 120,824 80,956 2009-10-14 $17.11 $15.00 46.1% 16.0% 52.8% 3.4% 55.8% 3.5% 1.0% 1.4M -128.9M -349.4K 0.23 9.48 N/A N/A 36,564 8,530 123,170 81,619 2009-10-15 $16.73 $15.00 57.0% 16.3% 53.4% 10.1% 58.1% 5.0% 1.5% 1.5M -123.3M -405.5K 0.57 19.05 N/A N/A 8,463 4,838 135,832 85,991 2009-10-16 $16.24 $15.00 56.8% 16.3% 54.8% 10.0% 56.6% 3.1% 2.4% 1.3M -111.0M -413.1K 0.18 13.39 N/A N/A 13,580 2,424 138,752 88,676 2009-10-19 $15.87 $15.00 52.9% 15.2% 53.6% 7.6% 54.7% 5.5% 3.9% 1.3M -85.0M -413.8K 0.29 13.06 N/A N/A 11,277 3,312 128,686 73,620 2009-10-20 $15.87 $15.00 51.0% 14.6% 53.5% 6.5% 51.7% 5.0% 2.5% 1.4M -84.5M -415.1K 0.13 12.78 N/A N/A 8,889 1,146 130,914 75,574 2009-10-21 $15.60 $15.00 51.6% 14.8% 53.8% 6.8% 52.9% 2.8% 2.4% 1.4M -77.8M -410.4K 0.20 10.70 N/A N/A 7,776 1,573 132,208 76,160 2009-10-22 $16.09 $15.00 49.7% 14.2% 52.4% 5.6% 49.0% 7.0% 3.1% 1.6M -91.5M -409.0K 0.15 12.17 N/A N/A 10,108 1,560 134,234 76,911 2009-10-23 $15.82 $15.00 48.8% 14.0% 52.5% 5.1% 49.3% 4.3% 4.5% 1.6M -88.4M -418.0K 0.49 15.95 N/A N/A 4,020 1,969 139,030 77,972 2009-10-26 $15.10 $15.00 57.7% 16.5% 55.4% 10.6% 57.8% 3.5% -1.8% 1.4M -68.4M -398.9K 0.20 15.72 N/A N/A 6,337 1,251 140,358 78,617 2009-10-27 $14.39 $15.00 58.2% 16.7% 58.3% 10.9% 58.4% 0.5% 0.2% 1.4M -52.4M -387.5K 0.39 15.40 N/A N/A 4,785 1,883 143,223 79,114 2009-10-28 $12.90 $15.00 67.9% 19.5% 70.1% 16.9% 67.8% 4.2% -4.6% 869.7K -18.0M -359.1K 0.66 15.69 N/A N/A 9,240 6,083 144,016 80,177 2009-10-29 $13.87 $15.00 64.4% 18.5% 74.6% 14.7% 64.8% 5.8% -1.0% 1.1M -41.3M -410.4K 0.20 14.71 N/A N/A 13,520 2,686 145,834 83,394 2009-10-30 $13.42 $15.00 69.1% 19.8% 75.0% 17.7% 69.6% 5.5% -0.2% 1.1M -35.1M -416.2K 0.53 19.79 N/A N/A 3,136 1,677 153,013 84,562
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