BX Options History — February 2012

In February 2012, BX traded between $15.55 and $16.81. ATM implied volatility averaged 31.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.4% (HV 20d: 29.2%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2012-02-07: Highest Volume — 32,289 contracts
2012-02-02: Largest IV drop — 20.2% change
2012-02-13: Highest IV Rank — 18.7%
2012-02-13: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.09	$15.55	$16.81	$16.64	$15.62
Max Pain	$14.95	$14.00	$15.00	$14.00	$15.00
ATM IV	31.6%	27.2%	36.5%	35.0%	29.8%
Expected Move	9.3%	8.0%	10.5%	10.0%	8.6%
HV 20d	29.2%	25.2%	32.4%	26.5%	31.6%
HV 60d	39.3%	33.2%	44.6%	44.6%	33.2%
IV Rank	10.9%	3.8%	18.7%	16.4%	8.0%
IV Percentile	19.0%	0.8%	46.0%	36.5%	9.1%
Term Structure	0.1%	-2.3%	2.2%	-2.3%	1.1%
VWIV	33.5%	29.5%	37.7%	33.4%	30.3%
Skew 25d	6.8%	3.0%	9.5%	4.5%	7.2%
Skew 10d	11.2%	-1.5%	24.4%	13.0%	4.9%
Call IV 25d	29.4%	25.5%	32.5%	32.5%	28.2%
Put IV 25d	36.1%	30.6%	41.6%	37.0%	35.4%
Bid-Ask Spread %	5.20	3.62	9.06	9.06	4.06
Gamma HHI	0.23	0.20	0.52	0.27	0.21
Net GEX	2.5M	1.9M	7.2M	1.9M	2.1M
Net DEX	-89.7M	-108.5M	-76.2M	-92.6M	-77.1M
Net VEX	-747.8K	-825.6K	-623.0K	-624.9K	-785.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.03	1.71	0.23	0.29
Total Volume	6,065	1,255	32,289	11,592	1,255
Total OI	177,471.05	150,709	194,268	150,709	185,570

Daily Data (20 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
2012-02-01	$16.64	$14.00	35.0%	10.0%	26.5%	16.4%	33.4%	4.5%	-2.3%	1.9M	-92.6M	-624.9K	0.23	9.06	N/A	N/A	9,391	2,201	111,052	39,657
2012-02-02	$16.68	$15.00	28.0%	8.0%	25.6%	5.0%	29.9%	3.0%	2.2%	2.1M	-96.0M	-623.0K	0.71	3.62	N/A	N/A	7,962	5,647	112,993	40,444
2012-02-03	$16.81	$15.00	27.2%	9.3%	25.6%	3.8%	34.4%	8.3%	0.3%	2.1M	-99.3M	-631.4K	0.32	5.75	N/A	N/A	3,038	987	115,160	43,348
2012-02-06	$16.80	$15.00	28.8%	9.2%	25.2%	6.3%	33.4%	7.8%	-0.0%	2.2M	-99.9M	-626.7K	0.79	5.78	N/A	N/A	928	734	116,155	43,318
2012-02-07	$16.69	$15.00	27.9%	9.1%	25.5%	4.8%	33.0%	7.1%	0.3%	2.2M	-97.1M	-626.7K	0.03	4.03	N/A	N/A	31,275	1,014	116,382	43,539
2012-02-08	$16.37	$15.00	30.3%	9.9%	25.8%	8.8%	36.9%	6.8%	-0.6%	2.5M	-96.7M	-737.4K	0.14	4.60	N/A	N/A	3,818	540	131,536	43,543
2012-02-09	$16.59	$15.00	31.5%	9.0%	26.0%	10.7%	33.1%	7.2%	2.1%	2.5M	-108.5M	-752.8K	0.11	4.68	N/A	N/A	9,065	965	133,551	43,819
2012-02-10	$16.04	$15.00	35.9%	10.3%	28.2%	17.8%	35.3%	6.5%	-0.6%	2.5M	-96.7M	-794.2K	1.41	5.15	N/A	N/A	694	978	141,859	43,995
2012-02-13	$16.10	$15.00	36.5%	10.5%	28.2%	18.7%	36.3%	6.9%	-2.0%	2.5M	-98.3M	-787.7K	0.39	5.49	N/A	N/A	1,947	759	142,109	44,323
2012-02-14	$15.56	$15.00	35.8%	10.3%	31.0%	17.6%	37.7%	9.5%	-0.1%	2.3M	-82.2M	-774.7K	0.11	5.42	N/A	N/A	9,662	1,050	142,938	44,725
2012-02-15	$15.55	$15.00	35.2%	10.1%	31.0%	16.6%	35.7%	8.8%	-0.2%	2.3M	-83.5M	-795.2K	0.28	5.46	N/A	N/A	1,322	366	148,673	45,122
2012-02-16	$15.96	$15.00	34.3%	9.8%	31.9%	15.2%	36.3%	7.6%	-0.6%	2.9M	-96.4M	-825.6K	0.14	5.86	N/A	N/A	2,144	298	148,834	45,146
2012-02-17	$15.97	$15.00	32.6%	9.3%	31.5%	12.4%	32.9%	6.3%	0.1%	7.2M	-93.7M	-822.9K	0.25	4.81	N/A	N/A	2,615	654	149,113	45,155
2012-02-21	$15.62	$15.00	32.4%	9.3%	32.4%	12.1%	34.1%	6.2%	-0.3%	1.9M	-77.7M	-782.3K	1.71	5.64	N/A	N/A	2,084	3,573	138,626	38,938
2012-02-22	$15.64	$15.00	31.4%	9.0%	31.8%	10.5%	32.3%	6.4%	1.0%	1.9M	-77.9M	-792.3K	0.28	5.99	N/A	N/A	1,716	484	139,096	40,682
2012-02-23	$15.61	$15.00	29.5%	8.5%	31.0%	7.5%	33.2%	6.0%	0.9%	1.9M	-76.2M	-783.8K	0.66	5.17	N/A	N/A	1,376	908	139,920	41,090
2012-02-24	$15.98	$15.00	29.1%	8.3%	31.8%	6.8%	29.5%	6.7%	0.4%	2.1M	-84.2M	-796.8K	0.26	4.06	N/A	N/A	2,870	746	140,140	41,544
2012-02-27	$15.80	$15.00	31.2%	8.9%	32.1%	10.1%	32.4%	6.4%	-0.8%	2.1M	-80.8M	-803.8K	0.75	5.29	N/A	N/A	2,700	2,014	141,204	41,467
2012-02-28	$15.71	$15.00	30.0%	8.6%	31.5%	8.2%	30.8%	6.0%	0.7%	2.1M	-79.1M	-788.9K	0.41	4.06	N/A	N/A	1,081	439	142,929	41,726
2012-02-29	$15.62	$15.00	29.8%	8.6%	31.6%	8.0%	30.3%	7.2%	1.1%	2.1M	-77.1M	-785.6K	0.29	4.06	N/A	N/A	976	279	143,536	42,034