BX Options History — June 2011

In June 2011, BX traded between $16.02 and $17.02. ATM implied volatility averaged 32.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.6% (HV 20d: 24.7%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2011-06-16: Highest Volume — 10,039 contracts
2011-06-21: Largest IV drop — 19.4% change
2011-06-20: Highest IV Rank — 39.8%
2011-06-06: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.49	$16.02	$17.02	$16.90	$16.56
Max Pain	$16.09	$16.00	$17.00	$17.00	$16.00
ATM IV	32.3%	24.9%	35.9%	29.9%	24.9%
Expected Move	9.4%	7.1%	10.6%	8.6%	7.1%
HV 20d	24.7%	23.1%	26.8%	26.8%	23.3%
HV 60d	28.5%	25.6%	30.4%	30.4%	25.7%
IV Rank	24.8%	0.0%	39.8%	12.5%	0.0%
IV Percentile	27.7%	0.0%	57.5%	9.1%	0.0%
Term Structure	1.6%	-0.2%	4.1%	2.6%	3.6%
VWIV	33.4%	25.3%	38.0%	29.6%	25.3%
Skew 25d	6.9%	2.7%	8.8%	4.1%	6.6%
Skew 10d	8.9%	-1.2%	25.8%	1.0%	11.6%
Call IV 25d	30.3%	24.9%	34.2%	28.4%	24.9%
Put IV 25d	37.1%	31.4%	40.9%	32.6%	31.4%
Bid-Ask Spread %	6.37	5.22	9.22	5.82	7.12
Gamma HHI	0.16	0.14	0.18	0.16	0.18
Net GEX	1.1M	913.9K	1.4M	1.2M	1.2M
Net DEX	-39.4M	-56.1M	-26.7M	-48.7M	-40.9M
Net VEX	-628.9K	-674.7K	-582.4K	-674.7K	-582.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.10	1.01	0.86	0.78
Total Volume	2,991.409	714	10,039	3,755	2,448
Total OI	208,737.136	190,642	224,023	213,762	199,497

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
2011-06-01	$16.90	$17.00	29.9%	8.6%	26.8%	12.5%	29.6%	4.1%	2.6%	1.2M	-48.7M	-674.7K	0.86	5.82	N/A	N/A	2,021	1,734	137,803	75,959
2011-06-02	$16.74	$17.00	29.2%	8.4%	26.1%	10.0%	30.8%	2.7%	3.5%	1.2M	-44.2M	-661.5K	0.30	5.36	N/A	N/A	1,719	518	139,055	76,787
2011-06-03	$16.47	$16.00	32.0%	10.4%	25.1%	19.4%	35.7%	6.4%	0.5%	1.2M	-38.0M	-646.5K	0.21	7.48	N/A	N/A	1,103	229	139,656	75,781
2011-06-06	$16.16	$16.00	34.7%	10.6%	25.5%	28.5%	37.0%	6.8%	-0.2%	950.4K	-29.5M	-627.2K	0.93	6.47	N/A	N/A	2,762	2,570	140,265	75,904
2011-06-07	$16.18	$16.00	33.0%	10.3%	24.5%	28.0%	34.4%	6.4%	0.5%	984.0K	-29.4M	-628.3K	0.94	7.08	N/A	N/A	1,903	1,795	140,825	75,137
2011-06-08	$16.18	$16.00	32.8%	10.5%	23.6%	27.1%	34.9%	6.6%	0.1%	913.9K	-26.7M	-628.6K	0.67	5.89	N/A	N/A	930	625	141,424	76,204
2011-06-09	$16.71	$16.00	33.8%	9.7%	25.6%	31.3%	35.9%	7.2%	-0.1%	1.2M	-46.3M	-660.6K	0.75	7.53	N/A	N/A	2,450	1,826	141,822	76,081
2011-06-10	$16.60	$16.00	33.1%	9.5%	25.4%	28.3%	32.8%	7.0%	1.7%	1.2M	-42.6M	-658.5K	0.34	9.22	N/A	N/A	854	287	142,284	75,945
2011-06-13	$16.60	$16.00	34.2%	9.8%	25.3%	33.0%	33.1%	6.4%	0.6%	1.2M	-42.2M	-644.0K	0.20	6.59	N/A	N/A	595	119	142,404	75,879
2011-06-14	$17.02	$16.00	32.6%	9.3%	24.2%	26.3%	36.0%	8.8%	1.1%	1.4M	-56.1M	-653.6K	0.39	6.49	N/A	N/A	2,258	890	142,515	75,864
2011-06-15	$16.59	$16.00	34.3%	9.8%	25.9%	33.4%	38.0%	6.5%	1.1%	1.2M	-41.9M	-642.0K	0.88	6.96	N/A	N/A	1,162	1,027	142,429	76,045
2011-06-16	$16.76	$16.00	33.4%	9.6%	25.4%	29.7%	34.7%	8.7%	2.0%	1.3M	-47.1M	-634.3K	0.85	5.92	N/A	N/A	5,429	4,610	142,439	75,359
2011-06-17	$16.63	$16.00	33.3%	9.5%	25.4%	29.2%	35.6%	8.6%	1.3%	1.2M	-40.7M	-647.4K	1.01	6.52	N/A	N/A	2,207	2,234	145,952	78,071
2011-06-20	$16.45	$16.00	35.9%	10.3%	25.1%	39.8%	34.0%	8.2%	1.1%	1.1M	-41.0M	-627.6K	0.38	5.57	N/A	N/A	2,721	1,030	126,493	64,149
2011-06-21	$16.56	$16.00	28.9%	8.3%	23.8%	11.3%	31.6%	6.7%	4.1%	1.1M	-42.2M	-623.2K	0.24	5.46	N/A	N/A	2,297	547	127,533	64,856
2011-06-22	$16.41	$16.00	33.6%	9.6%	24.0%	30.3%	33.2%	7.2%	1.6%	1.2M	-39.6M	-615.8K	0.20	6.31	N/A	N/A	2,437	482	129,196	65,238
2011-06-23	$16.26	$16.00	32.3%	9.2%	23.3%	25.0%	33.6%	7.3%	2.6%	1.1M	-34.1M	-613.2K	0.34	5.22	N/A	N/A	1,332	451	130,094	65,463
2011-06-24	$16.02	$16.00	34.5%	9.9%	23.7%	34.4%	34.0%	7.2%	1.0%	972.4K	-28.9M	-589.0K	0.37	5.26	N/A	N/A	1,115	408	130,609	65,723
2011-06-27	$16.25	$16.00	32.6%	9.3%	24.2%	26.2%	32.4%	7.7%	2.1%	1.1M	-32.8M	-586.2K	0.10	6.14	N/A	N/A	3,644	373	131,209	66,014
2011-06-28	$16.39	$16.00	32.1%	9.2%	24.0%	24.4%	29.9%	7.2%	2.2%	1.2M	-37.3M	-603.2K	0.14	6.21	N/A	N/A	1,256	178	132,874	66,102
2011-06-29	$16.38	$16.00	30.6%	8.8%	23.1%	18.0%	32.1%	6.7%	2.7%	1.2M	-36.9M	-587.5K	0.38	5.42	N/A	N/A	895	340	133,208	66,070
2011-06-30	$16.56	$16.00	24.9%	7.1%	23.3%	0.0%	25.3%	6.6%	3.6%	1.2M	-40.9M	-582.4K	0.78	7.12	N/A	N/A	1,379	1,069	133,270	66,227