BX Options History — March 2011

In March 2011, BX traded between $16.11 and $18.93. ATM implied volatility averaged 35.0%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.5% (HV 20d: 33.5%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.28.

Notable Days

2011-03-10: Highest Volume — 891,378 contracts
2011-03-18: Largest IV drop — 13.4% change
2011-03-16: Highest IV Rank — 51.5%
2011-03-16: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.65	$16.11	$18.93	$17.51	$17.88
Max Pain	$16.17	$15.00	$17.00	$15.00	$16.00
ATM IV	35.0%	28.5%	42.4%	35.5%	31.9%
Expected Move	10.0%	8.2%	12.1%	10.2%	9.1%
HV 20d	33.5%	28.7%	39.0%	31.0%	36.1%
HV 60d	32.3%	29.6%	34.1%	29.8%	33.5%
IV Rank	29.4%	9.6%	51.5%	30.9%	19.9%
IV Percentile	43.5%	8.7%	82.5%	50.0%	20.2%
Term Structure	1.7%	-0.3%	4.0%	2.0%	1.7%
VWIV	37.2%	31.1%	50.2%	35.0%	32.3%
Skew 25d	5.7%	3.1%	7.4%	3.1%	3.4%
Skew 10d	10.7%	-11.1%	18.8%	-11.1%	9.9%
Call IV 25d	33.5%	28.0%	40.4%	35.8%	31.9%
Put IV 25d	39.2%	32.5%	47.1%	39.0%	35.4%
Bid-Ask Spread %	6.73	5.13	11.96	5.13	5.97
Gamma HHI	0.21	0.15	0.29	0.26	0.16
Net GEX	2.8M	1.2M	4.3M	4.3M	2.4M
Net DEX	-134.3M	-209.2M	-60.3M	-183.7M	-114.7M
Net VEX	-856.0K	-1.1M	-695.5K	-1.1M	-722.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.00	0.76	0.07	0.30
Total Volume	48,626.739	2,198	891,378	21,265	3,534
Total OI	223,781.565	174,925	281,574	279,968	186,227

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
2011-03-01	$17.51	$15.00	35.5%	10.2%	31.0%	30.9%	35.0%	3.1%	2.0%	4.3M	-183.7M	-1.1M	0.07	5.13	N/A	N/A	19,808	1,457	218,077	61,891
2011-03-02	$17.56	$15.00	36.6%	10.5%	28.7%	34.1%	50.2%	5.2%	1.1%	4.2M	-176.6M	-1.1M	0.24	5.36	N/A	N/A	2,516	609	211,468	62,257
2011-03-03	$18.33	$15.00	34.3%	9.8%	31.4%	27.2%	41.2%	7.4%	4.0%	4.0M	-209.2M	-1.1M	0.32	5.48	N/A	N/A	19,475	6,188	212,367	62,683
2011-03-04	$18.18	$17.00	37.0%	10.3%	28.7%	35.2%	36.6%	5.3%	2.1%	3.9M	-202.5M	-1.1M	0.29	7.39	N/A	N/A	9,955	2,883	211,307	66,051
2011-03-07	$17.59	$17.00	37.8%	10.5%	31.1%	37.6%	39.2%	5.2%	0.8%	4.0M	-180.2M	-1.1M	0.21	6.63	N/A	N/A	7,143	1,501	214,353	67,211
2011-03-08	$17.65	$17.00	36.3%	10.2%	31.1%	33.2%	35.8%	5.2%	1.3%	4.0M	-181.0M	-1.1M	0.01	7.74	N/A	N/A	31,208	459	213,892	67,682
2011-03-09	$17.93	$17.00	35.5%	9.9%	31.4%	30.9%	35.6%	5.3%	1.7%	4.1M	-191.3M	-1.1M	0.13	8.74	N/A	N/A	1,939	259	209,641	67,799
2011-03-10	$17.56	$17.00	35.0%	10.0%	30.0%	29.3%	40.8%	5.9%	1.9%	4.2M	-148.0M	-873.9K	0.00	6.90	N/A	N/A	890,674	704	182,645	67,694
2011-03-11	$17.30	$17.00	36.9%	10.6%	30.0%	35.1%	36.4%	6.3%	1.6%	3.6M	-111.8M	-860.8K	0.41	9.07	N/A	N/A	7,995	3,283	160,126	67,935
2011-03-14	$16.98	$17.00	36.5%	10.5%	30.7%	33.9%	39.0%	7.1%	1.5%	3.2M	-98.3M	-839.9K	0.04	8.16	N/A	N/A	18,085	670	159,029	68,472
2011-03-15	$16.58	$16.00	38.8%	11.1%	30.8%	40.7%	40.1%	7.0%	0.3%	2.4M	-83.7M	-801.4K	0.34	11.96	N/A	N/A	11,215	3,847	158,855	68,668
2011-03-16	$16.11	$16.00	42.4%	12.1%	31.7%	51.5%	43.9%	6.7%	-0.3%	1.3M	-60.3M	-695.5K	0.45	7.58	N/A	N/A	11,063	5,002	142,098	69,880
2011-03-17	$16.35	$16.00	41.8%	12.0%	32.4%	49.6%	42.3%	6.5%	0.0%	1.2M	-65.9M	-707.1K	0.48	5.74	N/A	N/A	2,513	1,213	142,948	71,466
2011-03-18	$16.63	$16.00	36.1%	10.4%	33.2%	32.8%	39.6%	6.8%	2.5%	1.5M	-74.3M	-711.8K	0.21	6.18	N/A	N/A	3,822	819	142,703	70,866
2011-03-21	$17.45	$16.00	35.4%	10.1%	37.8%	30.5%	35.7%	7.0%	1.5%	1.9M	-102.9M	-721.6K	0.52	5.61	N/A	N/A	4,652	2,405	123,568	51,357
2011-03-22	$17.54	$16.00	31.6%	9.0%	36.3%	18.9%	34.4%	7.1%	3.4%	2.0M	-107.8M	-729.9K	0.47	6.31	N/A	N/A	1,603	751	126,185	52,301
2011-03-23	$18.20	$16.00	31.0%	8.9%	38.1%	17.3%	31.3%	5.2%	2.8%	2.1M	-125.3M	-739.5K	0.27	5.29	N/A	N/A	4,571	1,213	126,413	52,512
2011-03-24	$18.56	$16.00	28.5%	8.2%	38.2%	9.6%	31.7%	5.6%	3.3%	2.2M	-135.2M	-707.3K	0.76	5.54	N/A	N/A	2,116	1,601	127,434	52,848
2011-03-25	$18.74	$16.00	28.6%	8.2%	37.3%	10.0%	31.1%	4.5%	2.9%	2.1M	-136.9M	-725.9K	0.33	7.52	N/A	N/A	5,171	1,705	125,172	53,419
2011-03-28	$18.93	$16.00	30.3%	8.7%	37.4%	15.1%	35.8%	5.6%	2.0%	2.2M	-142.5M	-713.8K	0.13	5.91	N/A	N/A	7,723	991	126,308	53,284
2011-03-29	$18.40	$16.00	34.1%	9.8%	38.4%	26.6%	33.0%	5.3%	1.0%	2.3M	-132.6M	-734.1K	0.29	5.26	N/A	N/A	5,289	1,516	130,251	53,704
2011-03-30	$18.10	$16.00	34.0%	9.7%	39.0%	26.1%	33.8%	4.8%	0.3%	2.3M	-124.9M	-734.8K	0.05	5.34	N/A	N/A	6,922	347	131,433	54,496
2011-03-31	$17.88	$16.00	31.9%	9.1%	36.1%	19.9%	32.3%	3.4%	1.7%	2.4M	-114.7M	-722.6K	0.30	5.97	N/A	N/A	2,712	822	131,744	54,483