BX Options History — December 2010

In December 2010, BX traded between $13.15 and $14.55. ATM implied volatility averaged 31.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 2.3% (HV 20d: 33.8%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2010-12-07: Highest Volume — 17,564 contracts
2010-12-13: Largest IV spike — 18.5% change
2010-12-14: Highest IV Rank — 38.2%
2010-12-01: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.94	$13.15	$14.55	$13.15	$14.15
Max Pain	$12.70	$12.50	$14.00	$13.00	$12.50
ATM IV	31.4%	26.4%	38.0%	34.4%	29.8%
Expected Move	8.9%	7.6%	9.9%	9.9%	8.5%
HV 20d	33.8%	24.4%	36.6%	26.4%	24.4%
HV 60d	31.5%	29.1%	33.6%	31.1%	29.2%
IV Rank	18.6%	3.5%	38.2%	27.4%	13.5%
IV Percentile	18.3%	1.6%	57.5%	31.0%	10.7%
Term Structure	4.4%	1.2%	9.8%	2.5%	5.3%
VWIV	31.6%	26.7%	36.3%	34.1%	29.6%
Skew 25d	5.5%	3.1%	8.4%	5.1%	6.6%
Skew 10d	4.9%	-7.3%	15.9%	15.9%	7.7%
Call IV 25d	29.7%	26.3%	32.7%	32.5%	28.3%
Put IV 25d	35.3%	31.8%	37.7%	37.5%	34.9%
Bid-Ask Spread %	4.39	3.30	5.43	4.41	4.98
Gamma HHI	0.42	0.32	0.55	0.34	0.50
Net GEX	2.1M	1.5M	2.4M	2.2M	2.1M
Net DEX	-77.3M	-97.9M	-56.1M	-56.1M	-86.6M
Net VEX	-713.4K	-740.1K	-668.1K	-688.2K	-708.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.09	1.96	0.31	0.29
Total Volume	5,211.682	1,475	17,564	5,998	4,824
Total OI	254,228.318	227,979	274,024	257,023	245,659

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
2010-12-01	$13.15	$13.00	34.4%	9.9%	26.4%	27.4%	34.1%	5.1%	2.5%	2.2M	-56.1M	-688.2K	0.31	4.41	N/A	N/A	4,572	1,426	188,084	68,939
2010-12-02	$14.07	$13.00	30.8%	8.8%	36.1%	16.7%	31.3%	4.4%	1.7%	2.2M	-89.8M	-737.6K	0.23	4.84	N/A	N/A	4,348	991	185,570	69,408
2010-12-03	$13.85	$13.00	31.9%	9.2%	36.5%	20.0%	34.1%	3.4%	1.2%	2.3M	-81.2M	-732.6K	0.48	5.43	N/A	N/A	1,886	898	186,687	69,589
2010-12-06	$13.96	$12.50	33.2%	9.5%	36.6%	23.7%	33.3%	5.7%	4.8%	2.3M	-83.5M	-723.1K	0.09	4.09	N/A	N/A	4,692	416	187,036	70,027
2010-12-07	$13.98	$12.50	34.3%	9.8%	36.6%	27.2%	36.3%	5.1%	3.8%	2.3M	-86.3M	-740.1K	1.72	4.65	N/A	N/A	6,468	11,096	189,652	72,517
2010-12-08	$13.89	$12.50	33.9%	9.3%	36.4%	26.0%	33.0%	5.2%	4.7%	2.1M	-76.7M	-731.2K	1.11	4.10	N/A	N/A	699	776	189,541	79,477
2010-12-09	$13.82	$12.50	33.0%	9.3%	36.0%	23.2%	33.7%	4.8%	4.9%	2.1M	-73.0M	-726.6K	1.96	3.47	N/A	N/A	819	1,605	188,983	79,697
2010-12-10	$13.99	$12.50	31.6%	9.2%	35.1%	19.1%	33.5%	5.0%	4.6%	2.2M	-78.6M	-722.2K	0.17	3.48	N/A	N/A	4,152	702	189,050	79,639
2010-12-13	$13.77	$12.50	37.5%	9.5%	34.2%	36.7%	34.7%	5.4%	4.2%	2.3M	-69.1M	-702.0K	0.49	3.30	N/A	N/A	2,354	1,154	189,189	79,807
2010-12-14	$13.83	$14.00	38.0%	9.3%	34.2%	38.2%	33.6%	4.9%	4.5%	2.4M	-71.9M	-707.4K	1.02	3.54	N/A	N/A	2,517	2,571	189,615	80,148
2010-12-15	$13.80	$12.50	32.4%	9.3%	31.3%	21.4%	33.6%	4.4%	5.0%	2.4M	-72.2M	-702.3K	0.24	3.37	N/A	N/A	2,313	557	190,591	80,464
2010-12-16	$13.41	$12.50	32.2%	9.2%	32.8%	20.9%	34.8%	3.1%	5.9%	1.9M	-56.5M	-683.6K	0.66	4.39	N/A	N/A	2,341	1,550	191,062	80,916
2010-12-17	$13.46	$12.50	28.2%	8.1%	32.8%	8.9%	29.4%	3.9%	9.8%	1.5M	-57.8M	-677.8K	0.42	4.27	N/A	N/A	2,997	1,264	191,955	82,069
2010-12-20	$13.56	$14.00	26.8%	7.7%	32.5%	4.5%	27.2%	4.5%	4.0%	1.5M	-57.0M	-668.1K	0.17	4.79	N/A	N/A	2,750	466	168,144	65,400
2010-12-21	$14.08	$12.50	28.2%	8.1%	35.0%	8.9%	28.7%	7.0%	3.5%	1.8M	-74.8M	-708.4K	0.31	4.67	N/A	N/A	4,589	1,424	169,047	65,140
2010-12-22	$14.30	$12.50	29.8%	8.5%	33.7%	13.6%	29.2%	8.4%	2.8%	2.0M	-84.6M	-728.8K	0.12	4.54	N/A	N/A	8,192	997	171,766	66,121
2010-12-23	$14.55	$12.50	26.4%	7.6%	33.9%	3.5%	27.8%	6.6%	4.0%	2.1M	-97.9M	-729.4K	0.17	4.56	N/A	N/A	14,122	2,349	162,293	65,686
2010-12-27	$14.29	$12.50	29.8%	8.5%	34.8%	13.6%	28.7%	6.9%	4.2%	2.1M	-87.2M	-722.9K	0.35	4.68	N/A	N/A	1,675	592	175,254	67,008
2010-12-28	$14.13	$12.50	29.7%	8.5%	35.3%	13.3%	30.5%	7.4%	5.3%	2.0M	-79.8M	-710.3K	0.72	4.81	N/A	N/A	1,829	1,318	175,544	67,309
2010-12-29	$14.36	$12.50	30.6%	8.8%	34.6%	16.0%	31.0%	6.3%	4.4%	2.0M	-92.0M	-733.2K	0.43	5.38	N/A	N/A	1,786	776	176,543	68,426
2010-12-30	$14.27	$12.50	29.3%	8.4%	33.9%	12.0%	26.7%	7.4%	5.3%	2.2M	-88.0M	-711.4K	0.26	4.85	N/A	N/A	1,437	367	165,882	68,089
2010-12-31	$14.15	$12.50	29.8%	8.5%	24.4%	13.5%	29.6%	6.6%	5.3%	2.1M	-86.6M	-708.5K	0.29	4.98	N/A	N/A	3,727	1,097	177,114	68,545