BX Options History — August 2011 In August 2011, BX traded between $11.53 and $16.61. ATM implied volatility averaged 59.1%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 17.0% (HV 20d: 76.2%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.65.
Notable Days 2011-08-09 : Highest Volume — 113,248 contracts2011-08-04 : Largest IV spike — 45.7% change2011-08-04 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 20.8%Monthly Statistics Metric Avg Min Max Open Close Price $13.21 $11.53 $16.61 $16.61 $13.71 Max Pain $17.09 $16.00 $18.00 $16.00 $17.00 ATM IV 59.1% 38.8% 87.1% 38.8% 40.9% Expected Move 16.5% 11.1% 20.8% 11.1% 11.7% HV 20d 76.2% 37.0% 96.6% 37.0% 96.6% HV 60d 50.4% 30.3% 61.9% 30.3% 61.9% IV Rank 64.6% 25.8% 100.0% 63.2% 25.8% IV Percentile 96.9% 87.3% 100.0% 87.3% 89.7% Term Structure -2.2% -10.8% 6.0% -0.1% 6.0% VWIV 58.3% 39.9% 73.6% 39.9% 47.9% Skew 25d 12.8% 5.0% 18.8% 6.8% 12.1% Skew 10d 18.7% -11.1% 36.7% -4.0% 30.9% Call IV 25d 53.6% 37.9% 69.5% 37.9% 39.5% Put IV 25d 66.4% 44.7% 83.5% 44.7% 51.6% Bid-Ask Spread % 9.22 5.14 18.17 6.63 5.97 Gamma HHI 0.25 0.22 0.30 0.23 0.26 Net GEX 1.2M 675.9K 2.7M 2.7M 1.3M Net DEX -14.8M -94.0M 15.0M -94.0M -24.1M Net VEX -764.8K -1.1M -593.1K -1.1M -732.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.02 2.63 0.18 0.53 Total Volume 13,202.043 3,063 113,248 3,397 9,960 Total OI 302,909.174 287,827 332,372 297,479 294,966
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 2011-08-01 $16.61 $16.00 38.8% 11.1% 37.0% 63.2% 39.9% 6.8% -0.1% 2.7M -94.0M -1.1M 0.18 6.63 N/A N/A 2,886 511 223,179 74,300 2011-08-02 $16.00 $16.00 41.7% 11.9% 38.2% 76.2% 44.6% 5.0% -1.2% 2.3M -71.7M -1.1M 0.41 7.26 N/A N/A 3,297 1,351 224,914 74,303 2011-08-03 $15.38 $16.00 42.4% 12.1% 40.3% 79.3% 41.2% 5.6% -0.8% 1.9M -45.5M -968.1K 0.88 6.35 N/A N/A 2,982 2,616 225,558 74,426 2011-08-04 $13.72 $16.00 61.7% 17.7% 55.2% 100.0% 63.7% 7.3% -6.8% 1.3M -10.8M -851.8K 0.48 7.57 N/A N/A 9,577 4,631 227,145 76,138 2011-08-05 $13.60 $18.00 59.7% 15.7% 55.2% 94.7% 56.2% 8.6% -3.6% 1.3M -11.1M -840.1K 0.31 10.05 N/A N/A 13,411 4,111 230,670 77,341 2011-08-08 $12.04 $18.00 87.0% 20.8% 67.6% 100.0% 73.6% 11.3% -9.9% 965.0K 3.0M -756.0K 0.35 16.37 N/A N/A 19,521 6,913 239,384 78,367 2011-08-09 $13.00 $18.00 60.5% 16.5% 75.2% 57.4% 57.0% 11.9% -3.4% 1.2M -8.5M -869.2K 0.02 13.94 N/A N/A 110,896 2,352 249,634 82,738 2011-08-10 $12.32 $18.00 87.1% 20.8% 76.5% 100.0% 70.5% 11.6% -10.8% 882.9K -758.3K -700.6K 0.65 18.17 N/A N/A 7,116 4,624 220,472 82,668 2011-08-11 $12.84 $18.00 66.2% 19.0% 79.0% 66.5% 67.9% 12.9% -7.6% 1.0M -10.8M -747.4K 0.64 12.27 N/A N/A 4,848 3,107 222,583 84,477 2011-08-12 $13.05 $18.00 59.5% 17.0% 79.6% 55.6% 64.1% 14.6% -4.3% 1.0M -9.5M -732.2K 0.89 10.02 N/A N/A 5,981 5,317 223,099 84,489 2011-08-15 $13.75 $17.00 52.1% 14.9% 82.1% 43.8% 54.1% 13.3% 0.4% 1.2M -22.2M -789.6K 0.23 7.18 N/A N/A 5,385 1,249 223,921 88,055 2011-08-16 $13.73 $17.00 51.1% 14.7% 81.2% 42.2% 62.7% 13.6% 1.3% 1.1M -22.2M -784.9K 2.63 6.54 N/A N/A 1,991 5,231 223,588 87,442 2011-08-17 $13.74 $17.00 49.7% 14.3% 80.2% 39.9% 49.9% 13.1% 2.1% 1.2M -21.6M -770.0K 1.47 6.36 N/A N/A 2,618 3,836 224,303 85,303 2011-08-18 $12.19 $17.00 71.8% 20.6% 86.7% 75.3% 70.1% 17.1% -8.1% 753.5K 5.2M -669.9K 0.52 13.39 N/A N/A 5,125 2,652 222,485 87,307 2011-08-19 $11.64 $17.00 70.1% 20.1% 85.0% 72.6% 66.4% 16.6% -7.9% 681.1K 15.0M -604.2K 0.16 11.20 N/A N/A 3,711 609 224,121 87,744 2011-08-22 $11.53 $17.00 68.6% 19.7% 85.0% 70.3% 68.4% 18.8% -2.1% 675.9K 10.9M -593.1K 2.08 6.59 N/A N/A 2,756 5,736 206,913 80,914 2011-08-23 $11.90 $17.00 62.0% 17.8% 85.8% 59.7% 63.1% 18.1% 0.8% 768.3K 6.9M -625.6K 0.46 12.26 N/A N/A 6,551 2,983 207,629 80,750 2011-08-24 $12.48 $17.00 62.2% 17.8% 89.1% 60.0% 56.8% 17.4% -0.5% 931.5K -2.3M -665.2K 0.24 6.46 N/A N/A 2,521 600 209,871 81,784 2011-08-25 $11.79 $17.00 65.6% 18.8% 90.2% 65.4% 64.7% 16.0% -2.0% 754.0K 5.3M -633.6K 0.44 5.14 N/A N/A 2,667 1,181 208,887 81,843 2011-08-26 $12.32 $17.00 60.4% 17.3% 92.8% 57.0% 60.8% 15.9% 0.6% 897.3K -595.3K -655.4K 0.50 9.77 N/A N/A 2,039 1,024 210,110 82,304 2011-08-29 $13.07 $17.00 51.1% 14.7% 96.4% 42.2% 50.4% 13.6% 3.3% 1.1M -11.8M -697.1K 0.75 6.27 N/A N/A 3,745 2,822 210,887 82,805 2011-08-30 $13.38 $17.00 49.3% 14.1% 96.6% 39.2% 47.4% 13.0% 3.4% 1.2M -18.3M -726.6K 0.18 6.20 N/A N/A 8,974 1,633 212,627 84,467 2011-08-31 $13.71 $17.00 40.9% 11.7% 96.6% 25.8% 47.9% 12.1% 6.0% 1.3M -24.1M -732.1K 0.53 5.97 N/A N/A 6,530 3,430 211,099 83,867
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