BX Options History — February 2010

In February 2010, BX traded between $12.44 and $14.00. ATM implied volatility averaged 38.8%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 2.7% (HV 20d: 41.5%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2010-02-25: Highest Volume — 27,650 contracts
2010-02-09: Largest IV drop — 20.6% change
2010-02-08: Highest IV Rank — 9.1%
2010-02-05: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.23	$12.44	$14.00	$12.90	$13.98
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	38.8%	32.0%	44.9%	36.9%	32.0%
Expected Move	11.5%	9.2%	13.8%	10.6%	9.2%
HV 20d	41.5%	38.8%	45.3%	41.1%	38.8%
HV 60d	35.3%	31.6%	38.6%	38.0%	31.6%
IV Rank	5.6%	1.6%	9.1%	4.5%	1.6%
IV Percentile	10.8%	1.6%	17.5%	7.1%	1.6%
Term Structure	3.1%	-0.7%	8.0%	6.4%	3.7%
VWIV	40.4%	32.3%	50.2%	37.0%	32.3%
Skew 25d	5.9%	-0.3%	9.4%	2.3%	4.2%
Skew 10d	10.7%	-0.4%	15.3%	5.2%	8.7%
Call IV 25d	39.1%	30.4%	47.6%	36.7%	30.4%
Put IV 25d	45.0%	34.5%	53.2%	39.0%	34.5%
Bid-Ask Spread %	6.17	4.86	7.90	7.17	5.35
Gamma HHI	0.19	0.12	0.36	0.12	0.31
Net GEX	704.9K	243.6K	1.4M	311.0K	1.4M
Net DEX	-7.2M	-27.8M	11.6M	2.7M	-20.0M
Net VEX	-359.0K	-405.1K	-329.2K	-341.1K	-405.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.12	0.88	0.54	0.88
Total Volume	10,124.737	2,757	27,650	11,368	10,909
Total OI	215,800.105	197,263	231,151	197,263	231,151

Daily Data (19 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
2010-02-01	$12.90	$14.00	36.9%	10.6%	41.1%	4.5%	37.0%	2.3%	6.4%	311.0K	2.7M	-341.1K	0.54	7.17	N/A	N/A	7,376	3,992	122,121	75,142
2010-02-02	$13.33	$14.00	35.1%	10.1%	39.6%	3.5%	36.1%	-0.3%	8.0%	505.8K	-7.5M	-368.2K	0.32	5.85	N/A	N/A	6,980	2,230	122,770	76,551
2010-02-03	$13.21	$14.00	35.4%	10.2%	39.6%	3.6%	34.7%	3.1%	8.0%	496.8K	-4.1M	-356.5K	0.24	7.17	N/A	N/A	8,095	1,971	125,656	77,780
2010-02-04	$12.72	$14.00	39.2%	11.2%	40.8%	5.8%	40.7%	2.9%	7.2%	346.7K	5.1M	-351.7K	0.20	7.90	N/A	N/A	11,083	2,208	129,422	78,201
2010-02-05	$12.71	$14.00	40.7%	13.8%	40.7%	6.7%	50.2%	5.5%	-0.0%	473.1K	2.5M	-367.5K	0.81	7.19	N/A	N/A	3,804	3,095	136,503	79,174
2010-02-08	$12.48	$14.00	44.9%	13.6%	40.9%	9.1%	45.0%	8.5%	3.8%	314.9K	9.7M	-355.2K	0.12	6.06	N/A	N/A	10,115	1,181	137,265	80,007
2010-02-09	$12.70	$14.00	35.6%	12.8%	41.7%	3.7%	45.1%	8.6%	2.3%	243.6K	7.6M	-346.9K	0.24	7.14	N/A	N/A	6,879	1,682	134,720	80,591
2010-02-10	$12.44	$14.00	39.9%	13.6%	41.4%	6.2%	45.7%	9.4%	2.3%	297.0K	11.6M	-343.0K	0.50	6.02	N/A	N/A	6,863	3,462	138,536	81,494
2010-02-11	$12.51	$14.00	42.9%	12.3%	41.6%	7.9%	44.1%	9.0%	2.5%	276.6K	10.1M	-329.2K	0.58	5.80	N/A	N/A	1,745	1,012	138,553	80,687
2010-02-12	$12.82	$14.00	43.9%	12.6%	42.7%	8.5%	43.5%	7.1%	1.4%	384.2K	2.2M	-350.1K	0.17	5.82	N/A	N/A	3,112	515	139,165	81,322
2010-02-16	$13.34	$14.00	42.8%	12.3%	45.3%	7.9%	42.2%	5.9%	1.6%	699.1K	-11.5M	-353.3K	0.42	6.77	N/A	N/A	5,940	2,503	140,235	81,534
2010-02-17	$13.36	$14.00	42.5%	12.2%	45.0%	7.7%	41.7%	5.9%	1.8%	832.9K	-12.2M	-359.4K	0.30	5.16	N/A	N/A	3,337	995	142,092	82,065
2010-02-18	$13.49	$14.00	41.9%	12.0%	45.0%	7.3%	40.2%	5.9%	1.1%	982.5K	-15.7M	-363.5K	0.41	5.40	N/A	N/A	3,403	1,412	142,738	82,363
2010-02-19	$13.73	$14.00	37.2%	10.7%	44.9%	4.6%	37.9%	6.2%	3.1%	1.3M	-22.1M	-360.8K	0.56	5.04	N/A	N/A	5,232	2,914	144,134	82,567
2010-02-22	$13.84	$14.00	36.2%	10.4%	40.2%	4.1%	37.5%	7.6%	1.7%	979.1K	-22.0M	-359.2K	0.40	5.98	N/A	N/A	8,956	3,544	132,836	74,320
2010-02-23	$13.83	$14.00	39.1%	11.2%	40.0%	5.7%	40.0%	7.1%	-0.7%	1.1M	-24.2M	-369.9K	0.34	6.86	N/A	N/A	9,066	3,075	137,374	75,368
2010-02-24	$14.00	$14.00	38.3%	11.0%	39.4%	5.3%	38.8%	6.6%	0.3%	1.2M	-27.8M	-367.3K	0.53	5.74	N/A	N/A	10,501	5,533	139,594	76,183
2010-02-25	$13.92	$14.00	33.2%	9.5%	39.1%	2.3%	34.3%	6.9%	3.8%	1.2M	-20.6M	-372.5K	0.77	4.86	N/A	N/A	15,639	12,011	141,789	78,199
2010-02-26	$13.98	$14.00	32.0%	9.2%	38.8%	1.6%	32.3%	4.2%	3.7%	1.4M	-20.0M	-405.1K	0.88	5.35	N/A	N/A	5,804	5,105	147,471	83,680