BX Options History — December 2009 In December 2009, BX traded between $13.11 and $13.87. ATM implied volatility averaged 41.5%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.9% (HV 20d: 35.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2009-12-16 : Highest Volume — 19,834 contracts2009-12-21 : Largest IV drop — 24.4% change2009-12-01 : Highest IV Rank — 6.0%2009-12-01 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.41 $13.11 $13.87 $13.61 $13.12 Max Pain $14.23 $14.00 $15.00 $15.00 $14.00 ATM IV 41.5% 33.8% 50.2% 50.2% 35.5% Expected Move 12.2% 9.7% 14.4% 14.4% 10.2% HV 20d 35.6% 22.5% 48.0% 48.0% 22.5% HV 60d 53.6% 50.7% 55.7% 55.7% 50.7% IV Rank 2.3% 0.0% 6.0% 6.0% 1.0% IV Percentile 2.1% 0.0% 9.5% 9.5% 0.4% Term Structure 6.7% 2.0% 11.9% 2.0% 7.0% VWIV 42.7% 34.2% 50.9% 50.9% 35.4% Skew 25d 4.0% -1.4% 10.8% 0.9% -1.1% Skew 10d 9.2% -7.9% 25.7% -3.9% 2.9% Call IV 25d 41.4% 32.7% 51.3% 51.3% 37.1% Put IV 25d 45.4% 36.0% 52.6% 52.2% 36.0% Bid-Ask Spread % 8.51 5.99 11.88 10.19 9.05 Gamma HHI 0.15 0.11 0.39 0.11 0.12 Net GEX 285.2K -1.2M 976.7K 905.7K 348.1K Net DEX 3.0M -5.9M 26.0M -3.7M -2.1M Net VEX -355.0K -401.2K -326.2K -388.2K -332.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.14 5.44 0.40 0.43 Total Volume 7,704.455 3,037 19,834 9,927 4,540 Total OI 247,035.591 195,519 284,486 253,051 220,248
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 2009-12-01 $13.61 $15.00 50.2% 14.4% 48.0% 6.0% 50.9% 0.9% 2.0% 905.7K -3.7M -388.2K 0.40 10.19 N/A N/A 7,089 2,838 150,902 102,149 2009-12-02 $13.55 $15.00 49.2% 14.1% 47.9% 5.3% 50.5% 2.3% 4.9% 917.3K -5.2M -401.2K 0.65 10.60 N/A N/A 2,358 1,524 154,852 103,279 2009-12-03 $13.54 $15.00 48.4% 13.9% 47.8% 4.8% 48.3% -1.4% 2.6% 892.0K -3.7M -391.1K 0.44 9.40 N/A N/A 3,266 1,427 155,776 104,215 2009-12-04 $13.69 $14.00 40.9% 13.7% 47.9% 0.2% 48.8% 4.0% 6.3% 976.7K -5.9M -390.3K 3.57 9.01 N/A N/A 2,891 10,321 155,373 104,507 2009-12-07 $13.65 $14.00 40.9% 13.3% 40.5% 0.2% 47.7% 2.9% 8.0% 539.7K -350.6K -381.9K 0.38 8.11 N/A N/A 2,999 1,131 156,195 109,372 2009-12-08 $13.34 $14.00 42.3% 13.7% 35.6% 1.0% 48.5% 4.6% 7.7% 369.0K 8.2M -366.2K 0.54 9.98 N/A N/A 3,751 2,043 157,451 109,344 2009-12-09 $13.37 $14.00 39.5% 13.0% 35.5% 0.0% 45.6% 6.4% 11.9% 275.8K 10.2M -359.1K 1.75 11.88 N/A N/A 2,779 4,858 157,771 109,859 2009-12-10 $13.87 $14.00 45.8% 13.1% 37.4% 3.8% 45.7% 4.9% 7.3% 575.8K -5.6M -380.4K 0.55 10.27 N/A N/A 3,640 1,997 158,817 111,649 2009-12-11 $13.71 $14.00 44.8% 12.8% 36.6% 3.2% 44.6% 1.2% 7.3% 415.5K 528.3K -366.7K 0.64 10.97 N/A N/A 1,853 1,184 159,225 112,072 2009-12-14 $13.70 $14.00 43.6% 12.5% 36.6% 2.5% 45.1% 2.7% 9.4% 345.1K 2.7M -353.2K 0.85 8.35 N/A N/A 2,488 2,118 159,973 112,634 2009-12-15 $13.42 $14.00 43.8% 12.6% 37.0% 2.6% 43.7% 4.3% 9.6% 91.1K 11.4M -337.7K 5.44 7.77 N/A N/A 2,115 11,515 160,194 112,104 2009-12-16 $13.39 $14.00 41.0% 11.8% 36.8% 0.9% 42.6% 6.2% 10.7% -188.4K 17.9M -339.8K 3.79 7.88 N/A N/A 4,139 15,695 160,358 117,105 2009-12-17 $13.23 $15.00 43.3% 12.4% 35.7% 2.3% 41.6% 3.6% 7.4% -773.4K 25.2M -331.7K 0.68 7.58 N/A N/A 2,570 1,738 161,656 121,796 2009-12-18 $13.17 $15.00 44.7% 12.8% 35.6% 3.2% 47.3% 10.8% 7.1% -1.2M 26.0M -326.2K 0.66 7.28 N/A N/A 7,766 5,157 162,658 121,828 2009-12-21 $13.50 $14.00 33.8% 9.7% 37.0% 0.0% 39.6% 6.7% 10.2% 130.9K -3.2M -343.2K 0.40 7.72 N/A N/A 7,179 2,848 112,718 82,801 2009-12-22 $13.24 $14.00 38.8% 11.1% 37.1% 2.9% 34.2% 7.7% 3.7% 169.9K 471.4K -341.3K 0.33 6.25 N/A N/A 6,602 2,163 116,976 84,878 2009-12-23 $13.18 $14.00 37.3% 10.7% 28.3% 2.1% 34.2% 5.4% 5.0% 271.8K -1.2M -346.7K 0.14 6.40 N/A N/A 6,978 1,002 121,235 86,274 2009-12-24 $13.17 $14.00 38.1% 10.9% 28.1% 2.6% 37.2% 5.4% 5.3% 270.9K -1.8M -332.7K 0.26 5.99 N/A N/A 3,258 833 121,454 86,324 2009-12-28 $13.19 $14.00 37.7% 10.8% 25.7% 2.3% 35.2% 4.3% 3.8% 333.5K -2.3M -326.5K 1.02 6.98 N/A N/A 4,091 4,154 122,941 86,842 2009-12-29 $13.11 $14.00 35.6% 10.2% 22.9% 1.1% 35.3% 2.6% 7.6% 302.6K -716.2K -335.6K 0.30 7.82 N/A N/A 3,520 1,070 124,934 88,898 2009-12-30 $13.19 $14.00 38.8% 11.1% 22.5% 3.0% 36.9% 3.5% 2.7% 293.7K -1.4M -338.1K 0.28 7.83 N/A N/A 6,249 1,761 125,594 89,552 2009-12-31 $13.12 $14.00 35.5% 10.2% 22.5% 1.0% 35.4% -1.1% 7.0% 348.1K -2.1M -332.3K 0.43 9.05 N/A N/A 3,170 1,370 129,475 90,773
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