BX Options History — June 2010

In June 2010, BX traded between $9.52 and $10.64. ATM implied volatility averaged 44.6%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.4% (HV 20d: 44.2%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.83.

Notable Days

2010-06-17: Highest Volume — 17,436 contracts
2010-06-08: Largest IV drop — 19.8% change
2010-06-07: Highest IV Rank — 53.1%
2010-06-07: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.21	$9.52	$10.64	$10.23	$9.56
Max Pain	$11.18	$10.00	$14.00	$14.00	$10.00
ATM IV	44.6%	38.2%	56.1%	54.5%	44.4%
Expected Move	12.8%	10.9%	15.7%	15.6%	12.7%
HV 20d	44.2%	37.0%	55.8%	54.1%	38.3%
HV 60d	41.7%	39.9%	43.4%	39.9%	43.3%
IV Rank	33.3%	22.2%	53.1%	50.4%	32.9%
IV Percentile	44.8%	31.0%	76.2%	69.0%	46.0%
Term Structure	2.9%	-0.4%	6.2%	0.4%	2.4%
VWIV	44.2%	37.2%	55.1%	54.7%	45.8%
Skew 25d	9.1%	5.5%	13.6%	9.1%	8.1%
Skew 10d	18.1%	11.6%	27.5%	21.8%	17.2%
Call IV 25d	42.2%	35.1%	52.3%	52.3%	45.9%
Put IV 25d	51.3%	42.8%	62.2%	61.4%	54.1%
Bid-Ask Spread %	7.09	5.02	9.49	6.01	7.61
Gamma HHI	0.14	0.11	0.17	0.13	0.17
Net GEX	75.7K	-92.8K	316.1K	-77.0K	91.4K
Net DEX	43.6M	32.9M	53.5M	47.4M	37.9M
Net VEX	-274.2K	-299.1K	-242.5K	-294.9K	-248.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.07	26.42	0.25	0.17
Total Volume	6,141.182	1,756	17,436	2,894	6,796
Total OI	214,078.818	172,927	244,022	220,245	195,759

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
2010-06-01	$10.23	$14.00	54.5%	15.6%	54.1%	50.4%	54.7%	9.1%	0.4%	-77.0K	47.4M	-294.9K	0.25	6.01	N/A	N/A	2,311	583	124,879	95,366
2010-06-02	$10.53	$14.00	44.5%	12.8%	55.8%	33.2%	46.5%	6.9%	2.5%	-92.8K	47.4M	-299.1K	0.57	6.47	N/A	N/A	1,258	715	125,355	95,762
2010-06-03	$10.49	$14.00	49.2%	14.1%	54.8%	41.2%	46.4%	6.2%	1.4%	-88.4K	47.9M	-296.1K	0.07	6.00	N/A	N/A	5,747	417	125,667	96,205
2010-06-04	$10.12	$11.00	52.4%	15.0%	53.4%	46.6%	50.0%	11.2%	0.9%	-17.0K	48.1M	-287.1K	0.47	7.86	N/A	N/A	3,432	1,613	130,841	96,003
2010-06-07	$9.86	$11.00	56.1%	15.7%	52.9%	53.1%	55.1%	10.5%	-0.4%	-21.6K	50.4M	-272.9K	1.46	6.96	N/A	N/A	3,162	4,611	131,030	96,539
2010-06-08	$9.96	$11.00	45.0%	13.7%	41.8%	34.0%	44.5%	13.6%	3.0%	-3.5K	47.7M	-258.7K	2.78	6.71	N/A	N/A	3,327	9,263	131,353	91,710
2010-06-09	$9.95	$11.00	46.2%	13.8%	42.1%	35.9%	47.7%	12.0%	3.4%	-42.8K	53.5M	-267.7K	0.20	6.64	N/A	N/A	3,276	639	131,936	98,678
2010-06-10	$10.40	$11.00	47.0%	13.5%	46.7%	37.4%	43.1%	10.1%	3.6%	37.2K	49.2M	-287.8K	0.07	6.33	N/A	N/A	3,086	217	133,305	98,271
2010-06-11	$10.56	$11.00	41.6%	11.9%	47.4%	28.0%	41.2%	8.8%	5.1%	82.1K	48.0M	-291.3K	0.20	7.37	N/A	N/A	2,531	517	134,709	98,213
2010-06-14	$10.39	$11.00	48.0%	13.8%	43.9%	39.1%	43.9%	10.3%	2.2%	106.0K	50.4M	-278.7K	0.85	6.13	N/A	N/A	5,357	4,557	135,499	98,254
2010-06-15	$10.64	$11.00	40.8%	11.7%	45.2%	26.8%	42.5%	9.1%	4.4%	202.7K	43.7M	-288.1K	0.61	7.56	N/A	N/A	3,814	2,332	136,927	96,126
2010-06-16	$10.60	$11.00	38.2%	10.9%	43.7%	22.2%	38.5%	9.6%	5.0%	256.5K	43.5M	-281.4K	0.27	7.18	N/A	N/A	3,496	961	138,267	96,172
2010-06-17	$10.48	$11.00	43.0%	12.3%	43.7%	30.5%	40.9%	9.0%	3.5%	316.1K	46.7M	-268.8K	26.42	6.78	N/A	N/A	636	16,800	140,354	96,707
2010-06-18	$10.43	$11.00	39.1%	11.2%	40.5%	23.9%	37.2%	6.9%	6.2%	191.3K	50.2M	-292.6K	1.33	5.02	N/A	N/A	1,578	2,104	140,357	103,665
2010-06-21	$10.37	$11.00	40.9%	11.7%	40.4%	26.9%	39.3%	8.4%	4.2%	144.8K	32.9M	-266.5K	0.49	9.49	N/A	N/A	6,050	2,972	98,017	74,910
2010-06-22	$10.09	$11.00	40.6%	11.6%	37.1%	26.3%	42.5%	8.1%	3.5%	79.2K	36.0M	-254.6K	0.17	7.50	N/A	N/A	6,993	1,209	99,892	77,011
2010-06-23	$10.17	$11.00	42.6%	12.2%	37.0%	29.9%	42.4%	8.8%	1.8%	157.4K	34.6M	-262.4K	1.91	7.00	N/A	N/A	2,853	5,451	105,708	77,998
2010-06-24	$9.89	$10.00	41.2%	11.8%	37.4%	27.4%	42.0%	5.5%	3.6%	59.7K	37.1M	-254.5K	0.90	7.73	N/A	N/A	1,164	1,042	107,637	82,272
2010-06-25	$10.25	$10.00	41.5%	11.9%	39.1%	27.9%	40.7%	11.9%	2.5%	137.2K	33.7M	-273.9K	0.11	8.05	N/A	N/A	2,242	252	108,250	82,002
2010-06-28	$10.05	$10.00	40.6%	11.6%	37.9%	26.4%	40.6%	7.1%	3.0%	109.9K	34.3M	-263.5K	0.58	6.47	N/A	N/A	1,110	646	109,064	82,097
2010-06-29	$9.52	$10.00	44.4%	12.7%	40.0%	33.0%	46.6%	8.9%	2.1%	35.8K	38.3M	-242.5K	0.39	9.10	N/A	N/A	5,734	2,252	108,817	82,150
2010-06-30	$9.56	$10.00	44.4%	12.7%	38.3%	32.9%	45.8%	8.1%	2.4%	91.4K	37.9M	-248.5K	0.17	7.61	N/A	N/A	5,785	1,011	112,461	83,298