BX Options History — February 2011

In February 2011, BX traded between $16.32 and $17.80. ATM implied volatility averaged 34.9%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 0.8% (HV 20d: 34.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2011-02-02: Highest Volume — 68,766 contracts
2011-02-03: Largest IV drop — 18.7% change
2011-02-14: Highest IV Rank — 38.4%
2011-02-14: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.27	$16.32	$17.80	$16.32	$17.80
Max Pain	$14.37	$14.00	$15.00	$15.00	$15.00
ATM IV	34.9%	30.7%	38.0%	36.3%	37.1%
Expected Move	10.2%	8.8%	10.9%	10.4%	10.6%
HV 20d	34.1%	30.0%	38.1%	33.1%	30.0%
HV 60d	32.6%	31.6%	33.5%	32.4%	32.3%
IV Rank	29.0%	16.2%	38.4%	33.3%	35.6%
IV Percentile	44.1%	16.3%	65.1%	52.4%	59.9%
Term Structure	0.1%	-4.2%	3.3%	-1.9%	-3.6%
VWIV	37.9%	31.1%	45.4%	37.0%	41.6%
Skew 25d	5.7%	2.6%	14.6%	5.6%	2.6%
Skew 10d	14.1%	6.6%	25.6%	10.9%	6.6%
Call IV 25d	32.9%	25.1%	38.1%	33.7%	35.8%
Put IV 25d	38.6%	33.3%	43.4%	39.3%	38.4%
Bid-Ask Spread %	5.81	4.63	8.33	6.45	6.35
Gamma HHI	0.28	0.22	0.43	0.43	0.25
Net GEX	3.9M	1.8M	5.4M	1.8M	4.3M
Net DEX	-187.9M	-242.4M	-131.2M	-131.2M	-197.9M
Net VEX	-1.0M	-1.3M	-675.4K	-697.7K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.04	2.20	0.18	0.40
Total Volume	19,589.632	2,097	68,766	16,297	3,230
Total OI	281,317.211	194,851	351,505	195,724	279,627

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
2011-02-01	$16.32	$15.00	36.3%	10.4%	33.1%	33.3%	37.0%	5.6%	-1.9%	1.8M	-131.2M	-697.7K	0.18	6.45	N/A	N/A	13,803	2,494	137,700	58,024
2011-02-02	$16.67	$15.00	38.0%	10.9%	33.5%	38.3%	41.5%	5.3%	1.2%	1.8M	-138.9M	-675.4K	0.04	8.33	N/A	N/A	65,808	2,958	137,126	57,725
2011-02-03	$17.36	$15.00	30.9%	8.8%	35.7%	16.8%	31.1%	3.1%	3.2%	4.4M	-196.8M	-829.5K	0.47	4.77	N/A	N/A	17,834	8,453	194,553	57,780
2011-02-04	$17.20	$14.00	31.1%	9.5%	36.1%	17.4%	34.0%	4.8%	0.5%	4.1M	-186.9M	-866.6K	0.49	5.02	N/A	N/A	9,168	4,456	198,591	65,133
2011-02-07	$17.17	$14.00	30.7%	9.2%	36.0%	16.2%	33.5%	5.7%	1.3%	4.0M	-178.4M	-850.6K	0.66	4.63	N/A	N/A	6,663	4,366	197,890	68,916
2011-02-08	$17.30	$14.00	31.9%	9.4%	35.4%	19.9%	33.7%	5.9%	1.5%	3.8M	-179.3M	-846.2K	0.96	5.40	N/A	N/A	5,312	5,084	195,112	71,271
2011-02-09	$16.75	$14.00	31.4%	10.8%	38.1%	18.4%	34.8%	6.8%	-4.1%	3.6M	-148.9M	-858.0K	2.20	6.83	N/A	N/A	3,459	7,600	197,910	75,820
2011-02-10	$17.06	$14.00	33.0%	9.4%	37.9%	23.1%	34.8%	6.8%	2.1%	3.8M	-165.4M	-850.7K	1.74	5.52	N/A	N/A	3,216	5,605	198,148	76,781
2011-02-11	$17.16	$14.00	33.6%	9.6%	37.1%	25.2%	37.9%	7.9%	2.3%	3.7M	-168.0M	-895.6K	0.04	5.61	N/A	N/A	25,930	992	198,491	81,945
2011-02-14	$17.49	$14.00	38.0%	10.9%	37.2%	38.4%	39.4%	4.2%	-1.4%	3.6M	-202.9M	-1.0M	0.04	5.84	N/A	N/A	60,074	2,667	216,073	81,256
2011-02-15	$17.69	$14.00	37.1%	10.6%	33.0%	35.6%	45.4%	5.8%	-1.0%	4.8M	-241.5M	-1.3M	0.09	5.75	N/A	N/A	6,297	572	263,121	82,004
2011-02-16	$17.70	$14.00	36.2%	10.4%	32.3%	33.0%	39.4%	6.3%	-1.4%	4.9M	-242.4M	-1.3M	1.74	5.44	N/A	N/A	2,714	4,735	264,323	82,286
2011-02-17	$17.63	$14.00	35.5%	10.2%	32.4%	30.8%	38.8%	5.2%	-0.7%	4.9M	-238.2M	-1.3M	0.56	5.64	N/A	N/A	1,748	982	265,156	85,873
2011-02-18	$17.65	$14.00	33.6%	9.6%	30.0%	24.9%	33.4%	6.2%	1.2%	5.4M	-238.4M	-1.3M	0.18	4.69	N/A	N/A	42,333	7,707	265,357	86,148
2011-02-22	$17.13	$14.00	37.3%	10.7%	32.4%	36.3%	41.0%	3.9%	1.2%	4.2M	-185.4M	-1.2M	0.09	5.98	N/A	N/A	22,888	1,985	224,450	57,946
2011-02-23	$16.97	$15.00	37.6%	10.8%	32.3%	37.1%	42.8%	5.2%	2.2%	3.9M	-161.7M	-1.1M	0.30	5.59	N/A	N/A	5,269	1,577	212,845	59,660
2011-02-24	$17.30	$15.00	35.9%	10.3%	32.8%	32.1%	41.2%	14.6%	3.3%	3.9M	-174.3M	-1.1M	0.41	6.12	N/A	N/A	1,482	615	214,176	60,401
2011-02-25	$17.76	$15.00	38.0%	10.9%	33.3%	38.4%	38.7%	2.9%	-4.2%	4.0M	-194.5M	-1.1M	0.07	6.50	N/A	N/A	11,364	763	214,619	60,790
2011-02-28	$17.80	$15.00	37.1%	10.6%	30.0%	35.6%	41.6%	2.6%	-3.6%	4.3M	-197.9M	-1.1M	0.40	6.35	N/A	N/A	2,303	927	218,423	61,204