BX Options History — September 2012

In September 2012, BX traded between $13.18 and $15.29. ATM implied volatility averaged 27.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.6% (HV 20d: 29.3%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.47.

Notable Days

2012-09-14: Highest Volume — 91,141 contracts
2012-09-06: Largest IV drop — 20.5% change
2012-09-26: Highest IV Rank — 29.2%
2012-09-26: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.45	$13.18	$15.29	$13.23	$14.28
Max Pain	$13.42	$13.00	$14.00	$13.00	$14.00
ATM IV	27.6%	21.1%	33.5%	27.1%	32.1%
Expected Move	8.1%	6.3%	9.6%	7.8%	9.2%
HV 20d	29.3%	17.9%	35.6%	17.9%	35.6%
HV 60d	24.3%	21.9%	25.9%	22.2%	25.0%
IV Rank	20.2%	10.1%	29.2%	19.4%	27.0%
IV Percentile	24.5%	1.6%	52.0%	16.7%	47.2%
Term Structure	2.4%	0.2%	4.5%	3.0%	2.4%
VWIV	27.8%	20.0%	32.0%	25.5%	31.6%
Skew 25d	3.9%	1.5%	7.5%	5.2%	1.5%
Skew 10d	11.9%	-1.1%	52.8%	11.7%	-1.1%
Call IV 25d	26.1%	19.7%	31.4%	25.0%	31.1%
Put IV 25d	30.1%	25.9%	33.6%	30.2%	32.7%
Bid-Ask Spread %	6.93	5.21	8.32	6.46	6.77
Gamma HHI	0.29	0.25	0.38	0.25	0.26
Net GEX	5.6M	4.3M	6.6M	4.4M	5.0M
Net DEX	-160.9M	-245.2M	-69.2M	-74.4M	-138.7M
Net VEX	-1.2M	-1.4M	-902.2K	-916.9K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.05	2.40	0.78	0.21
Total Volume	8,101.684	1,316	91,141	5,407	2,053
Total OI	347,251.211	309,633	398,726	309,633	356,090

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
2012-09-04	$13.23	$13.00	27.1%	7.8%	17.9%	19.4%	25.5%	5.2%	3.0%	4.4M	-74.4M	-916.9K	0.78	6.46	N/A	N/A	3,040	2,367	257,993	51,640
2012-09-05	$13.18	$13.00	27.6%	7.9%	17.9%	20.2%	26.8%	4.4%	1.8%	4.3M	-69.2M	-902.2K	2.40	5.59	N/A	N/A	866	2,076	258,060	53,577
2012-09-06	$13.70	$13.00	22.0%	6.3%	23.0%	11.5%	20.0%	5.2%	3.2%	5.4M	-94.8M	-949.2K	0.26	6.67	N/A	N/A	3,401	883	258,214	55,491
2012-09-07	$14.19	$14.00	21.1%	7.0%	25.7%	10.1%	23.6%	4.3%	4.5%	5.8M	-130.0M	-1.0M	0.17	8.32	N/A	N/A	4,888	852	259,691	55,769
2012-09-10	$13.85	$14.00	22.9%	7.2%	26.8%	12.9%	25.0%	4.6%	3.8%	5.7M	-111.9M	-978.0K	0.19	6.93	N/A	N/A	2,074	390	261,154	56,027
2012-09-11	$13.99	$14.00	22.6%	7.3%	25.2%	12.5%	28.6%	4.8%	3.8%	5.9M	-119.8M	-985.0K	0.13	8.02	N/A	N/A	3,957	528	262,024	56,124
2012-09-12	$14.20	$13.00	22.7%	7.3%	25.3%	12.5%	24.4%	4.7%	3.0%	6.0M	-134.2M	-1.0M	0.44	7.19	N/A	N/A	911	405	263,731	56,400
2012-09-13	$14.48	$13.00	26.0%	7.5%	26.1%	17.7%	24.4%	7.5%	2.7%	5.6M	-154.0M	-1.0M	0.25	7.45	N/A	N/A	2,734	693	263,825	56,407
2012-09-14	$15.22	$13.00	28.0%	8.0%	30.9%	20.7%	28.6%	4.0%	2.6%	4.6M	-201.1M	-1.1M	0.05	6.74	N/A	N/A	87,056	4,085	264,548	56,415
2012-09-17	$14.95	$13.00	28.3%	8.1%	31.8%	21.2%	29.0%	3.3%	2.0%	6.4M	-225.7M	-1.4M	0.29	8.28	N/A	N/A	3,595	1,045	338,342	59,338
2012-09-18	$15.23	$13.00	30.1%	8.6%	32.1%	24.0%	29.4%	3.5%	1.2%	6.3M	-245.2M	-1.4M	0.30	7.89	N/A	N/A	2,863	845	339,394	59,257
2012-09-19	$15.10	$13.00	30.2%	8.7%	32.4%	24.1%	29.4%	4.0%	0.2%	6.2M	-237.5M	-1.4M	0.13	7.10	N/A	N/A	1,930	248	339,711	58,866
2012-09-20	$15.02	$13.00	29.4%	8.4%	32.5%	22.9%	29.9%	3.8%	0.5%	6.6M	-231.6M	-1.4M	0.14	7.58	N/A	N/A	1,652	228	339,820	58,906
2012-09-21	$15.29	$13.00	28.6%	8.2%	32.6%	21.7%	28.3%	5.5%	2.1%	6.0M	-243.3M	-1.4M	0.45	6.41	N/A	N/A	3,266	1,465	334,059	58,174
2012-09-24	$14.88	$14.00	30.0%	8.6%	34.6%	23.9%	30.1%	2.4%	1.9%	5.6M	-174.7M	-1.4M	0.73	6.50	N/A	N/A	3,491	2,546	299,636	48,162
2012-09-25	$14.73	$14.00	30.3%	8.7%	34.8%	24.2%	31.1%	2.1%	2.5%	5.5M	-166.3M	-1.3M	0.90	5.84	N/A	N/A	1,413	1,275	301,670	50,363
2012-09-26	$14.48	$14.00	33.5%	9.6%	35.4%	29.2%	32.0%	2.1%	2.1%	5.2M	-153.9M	-1.3M	0.31	5.21	N/A	N/A	1,882	586	302,610	51,458
2012-09-27	$14.46	$14.00	32.7%	9.4%	35.5%	27.9%	31.0%	1.6%	2.3%	5.2M	-151.1M	-1.3M	0.73	6.70	N/A	N/A	1,357	986	303,146	51,681
2012-09-28	$14.28	$14.00	32.1%	9.2%	35.6%	27.0%	31.6%	1.5%	2.4%	5.0M	-138.7M	-1.3M	0.21	6.77	N/A	N/A	1,701	352	303,520	52,570