BX Options History — March 2010 In March 2010, BX traded between $13.96 and $14.90. ATM implied volatility averaged 30.8%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.4% (HV 20d: 25.4%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.76.
Notable Days 2010-03-10 : Highest Volume — 943,825 contracts2010-03-05 : Largest IV drop — 13.2% change2010-03-15 : Highest IV Rank — 4.1%2010-03-15 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $14.45 $13.96 $14.90 $14.11 $14.00 Max Pain $14.00 $14.00 $14.00 $14.00 $14.00 ATM IV 30.8% 26.3% 34.1% 32.0% 29.0% Expected Move 8.9% 7.6% 9.8% 9.2% 8.3% HV 20d 25.4% 20.4% 35.1% 35.1% 28.1% HV 60d 31.9% 31.4% 32.6% 31.5% 31.6% IV Rank 2.1% 0.0% 4.1% 1.6% 3.1% IV Percentile 2.9% 0.0% 8.7% 2.0% 2.0% Term Structure 4.0% -1.6% 5.9% 3.4% 5.9% VWIV 32.1% 27.5% 50.9% 33.4% 29.3% Skew 25d 5.6% 3.2% 7.2% 7.1% 3.6% Skew 10d 11.9% 7.0% 16.1% 11.7% 7.0% Call IV 25d 29.4% 25.4% 31.3% 29.5% 29.0% Put IV 25d 35.0% 31.4% 38.3% 36.7% 32.6% Bid-Ask Spread % 5.35 2.54 7.68 4.56 4.20 Gamma HHI 0.30 0.21 0.65 0.32 0.31 Net GEX 1.1M -3.0M 2.1M 1.5M 881.2K Net DEX -21.4M -50.8M 10.0M -23.1M -5.2M Net VEX -447.0K -494.5K -407.2K -412.1K -490.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.00 5.38 0.42 0.60 Total Volume 50,878.087 4,925 943,825 5,969 8,003 Total OI 217,334.913 155,177 248,992 235,614 192,203
Daily Data (23 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 2010-03-01 $14.11 $14.00 32.0% 9.2% 35.1% 1.6% 33.4% 7.1% 3.4% 1.5M -23.1M -412.1K 0.42 4.56 N/A N/A 4,214 1,755 149,046 86,568 2010-03-02 $14.11 $14.00 31.7% 9.1% 28.7% 1.5% 33.3% 6.3% 3.0% 1.6M -21.9M -407.2K 0.93 5.39 N/A N/A 3,466 3,228 149,467 87,237 2010-03-03 $14.23 $14.00 33.5% 9.6% 26.8% 2.5% 32.8% 4.8% -0.1% 1.6M -27.1M -414.8K 0.23 5.15 N/A N/A 14,312 3,256 149,470 87,319 2010-03-04 $14.32 $14.00 33.3% 9.6% 26.4% 2.4% 35.6% 3.2% -1.6% 1.6M -28.0M -424.2K 0.67 2.54 N/A N/A 3,771 2,508 152,222 89,308 2010-03-05 $14.90 $14.00 28.9% 8.8% 24.4% 0.0% 31.4% 7.2% 5.4% 1.9M -50.8M -447.9K 0.30 6.62 N/A N/A 16,679 5,080 153,647 90,660 2010-03-08 $14.65 $14.00 32.5% 9.1% 25.8% 2.1% 33.0% 6.6% 4.5% 1.9M -40.5M -441.3K 0.24 7.68 N/A N/A 8,487 2,008 156,864 90,322 2010-03-09 $14.85 $14.00 31.0% 9.2% 24.0% 1.2% 33.7% 7.2% 4.8% 2.0M -47.0M -450.2K 0.57 7.04 N/A N/A 4,453 2,544 157,585 91,407 2010-03-10 $14.84 $14.00 31.7% 9.2% 24.0% 1.6% 50.9% 7.1% 4.1% 2.1M -45.2M -443.4K 0.00 5.65 N/A N/A 940,343 3,482 156,374 92,412 2010-03-11 $14.90 $14.00 32.5% 9.3% 21.6% 2.2% 33.5% 6.6% 4.2% 1.7M -33.6M -457.3K 0.46 5.31 N/A N/A 10,752 4,988 140,108 93,198 2010-03-12 $14.65 $14.00 31.1% 8.9% 23.5% 1.6% 32.8% 6.7% 4.3% 1.1M -20.5M -444.5K 0.44 6.81 N/A N/A 6,853 2,986 138,761 93,550 2010-03-15 $14.43 $14.00 34.1% 9.8% 24.0% 4.1% 31.9% 5.8% 3.0% 836.2K -11.0M -433.3K 0.44 5.10 N/A N/A 6,115 2,669 140,176 94,521 2010-03-16 $14.43 $14.00 33.3% 9.5% 20.4% 3.5% 31.6% 6.2% 3.3% 872.7K -11.6M -431.5K 0.68 5.10 N/A N/A 2,935 1,990 142,332 95,085 2010-03-17 $14.65 $14.00 30.5% 8.7% 20.8% 1.3% 32.3% 5.7% 3.5% 1.3M -18.0M -438.3K 0.27 6.74 N/A N/A 6,244 1,690 143,292 95,811 2010-03-18 $14.50 $14.00 32.2% 9.2% 21.3% 2.9% 31.2% 5.5% 3.7% 933.8K -11.1M -432.2K 5.38 4.44 N/A N/A 3,148 16,950 143,014 95,635 2010-03-19 $13.96 $14.00 31.9% 9.1% 25.2% 3.4% 31.9% 5.0% 3.2% -3.0M 10.0M -428.5K 1.38 4.66 N/A N/A 3,750 5,169 143,909 103,423 2010-03-22 $14.12 $14.00 30.6% 8.8% 25.4% 1.9% 30.5% 5.4% 4.7% 606.8K -8.5M -424.3K 0.78 5.94 N/A N/A 7,012 5,441 89,310 65,867 2010-03-23 $14.39 $14.00 28.9% 8.3% 26.2% 0.0% 27.5% 6.0% 5.9% 832.5K -13.4M -448.1K 0.40 4.93 N/A N/A 4,194 1,681 93,972 69,840 2010-03-24 $14.52 $14.00 26.3% 7.6% 26.0% 0.0% 27.8% 4.9% 5.9% 962.2K -18.7M -464.6K 0.64 4.98 N/A N/A 4,052 2,613 96,010 70,430 2010-03-25 $14.69 $14.00 27.2% 7.8% 26.1% 1.0% 28.1% 4.4% 5.8% 1.1M -25.0M -478.9K 0.51 5.23 N/A N/A 11,885 6,080 98,581 72,016 2010-03-26 $14.53 $14.00 28.2% 8.1% 26.5% 2.1% 28.8% 4.7% 5.2% 1.1M -18.9M -485.3K 0.42 4.45 N/A N/A 5,050 2,103 103,380 74,541 2010-03-29 $14.27 $14.00 29.9% 8.6% 27.3% 4.1% 29.2% 4.4% 5.5% 1.1M -11.6M -488.4K 0.73 5.83 N/A N/A 5,136 3,748 106,860 76,131 2010-03-30 $14.29 $14.00 29.2% 8.4% 27.3% 3.4% 28.3% 4.9% 5.4% 1.1M -11.2M -494.5K 1.06 4.79 N/A N/A 3,580 3,793 108,877 77,962 2010-03-31 $14.00 $14.00 29.0% 8.3% 28.1% 3.1% 29.3% 3.6% 5.9% 881.2K -5.2M -490.0K 0.60 4.20 N/A N/A 4,997 3,006 111,053 81,150
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