BX Options History — October 2012

In October 2012, BX traded between $14.03 and $15.81. ATM implied volatility averaged 33.0%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.1% (HV 20d: 29.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2012-10-18: Highest Volume — 13,136 contracts
2012-10-23: Largest IV spike — 10.6% change
2012-10-09: Highest IV Rank — 49.4%
2012-10-08: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.86	$14.03	$15.81	$14.31	$15.36
Max Pain	$14.19	$14.00	$15.00	$14.00	$15.00
ATM IV	33.0%	29.8%	36.7%	33.2%	33.6%
Expected Move	9.4%	8.5%	9.8%	9.5%	9.6%
HV 20d	29.9%	24.8%	34.8%	34.8%	31.1%
HV 60d	26.3%	24.9%	28.6%	24.9%	28.4%
IV Rank	39.1%	28.7%	49.4%	28.7%	42.5%
IV Percentile	51.9%	32.9%	65.9%	52.8%	59.1%
Term Structure	-1.1%	-2.8%	2.2%	1.6%	-2.3%
VWIV	32.7%	30.5%	35.3%	32.3%	32.1%
Skew 25d	2.8%	0.5%	5.6%	2.2%	3.0%
Skew 10d	4.8%	-9.6%	20.0%	1.8%	11.4%
Call IV 25d	30.6%	27.7%	32.8%	31.7%	30.7%
Put IV 25d	33.4%	31.1%	36.5%	33.9%	33.6%
Bid-Ask Spread %	6.92	5.41	10.76	6.51	10.76
Gamma HHI	0.26	0.23	0.27	0.26	0.24
Net GEX	5.8M	4.7M	7.3M	5.1M	6.5M
Net DEX	-173.6M	-230.3M	-122.2M	-139.4M	-201.2M
Net VEX	-1.3M	-1.4M	-1.2M	-1.3M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.03	6.96	0.11	0.03
Total Volume	5,543	1,345	13,136	6,535	4,538
Total OI	365,749.429	355,659	380,055	356,907	368,072

Daily Data (21 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
2012-10-01	$14.31	$14.00	33.2%	9.5%	34.8%	28.7%	32.3%	2.2%	1.6%	5.1M	-139.4M	-1.3M	0.11	6.51	N/A	N/A	5,867	668	304,084	52,823
2012-10-02	$14.03	$14.00	33.4%	9.6%	34.8%	29.0%	32.8%	1.4%	2.2%	4.7M	-122.2M	-1.2M	0.08	6.60	N/A	N/A	4,060	322	303,633	53,078
2012-10-03	$14.05	$14.00	33.9%	9.7%	34.7%	37.1%	33.8%	1.7%	0.4%	4.8M	-124.0M	-1.2M	0.54	6.47	N/A	N/A	8,235	4,443	302,379	53,280
2012-10-04	$14.12	$14.00	33.7%	9.7%	32.1%	38.2%	33.3%	0.8%	0.5%	4.9M	-131.2M	-1.2M	1.04	7.55	N/A	N/A	2,691	2,809	306,221	55,439
2012-10-05	$14.09	$14.00	33.2%	9.8%	29.5%	38.1%	35.3%	5.2%	-1.3%	4.9M	-128.9M	-1.2M	0.75	6.55	N/A	N/A	1,107	828	307,015	58,391
2012-10-08	$14.45	$14.00	36.1%	9.8%	29.4%	47.4%	34.7%	4.3%	-1.0%	5.3M	-148.1M	-1.3M	0.40	6.83	N/A	N/A	1,010	407	307,304	58,864
2012-10-09	$14.20	$14.00	36.7%	9.7%	30.1%	49.4%	34.8%	4.2%	-0.7%	5.0M	-135.1M	-1.2M	0.37	5.41	N/A	N/A	983	362	307,710	59,098
2012-10-10	$14.29	$14.00	35.6%	9.5%	29.7%	46.9%	34.0%	3.5%	-0.3%	5.1M	-138.8M	-1.2M	6.96	6.16	N/A	N/A	173	1,204	307,844	59,305
2012-10-11	$14.49	$14.00	32.6%	9.4%	29.3%	40.3%	33.1%	2.7%	-0.6%	5.5M	-151.7M	-1.3M	2.01	7.07	N/A	N/A	1,041	2,090	307,895	58,936
2012-10-12	$14.94	$14.00	32.0%	9.2%	25.5%	38.9%	31.8%	1.7%	-1.5%	6.0M	-180.3M	-1.3M	0.26	6.52	N/A	N/A	3,375	870	308,178	59,662
2012-10-15	$15.13	$14.00	32.0%	9.2%	25.1%	38.8%	31.7%	3.6%	-1.4%	6.3M	-192.5M	-1.3M	2.16	6.50	N/A	N/A	3,821	8,243	308,262	59,930
2012-10-16	$15.36	$14.00	32.5%	9.3%	24.8%	40.0%	32.7%	0.5%	-2.8%	6.7M	-208.9M	-1.3M	0.65	6.91	N/A	N/A	5,109	3,334	310,803	59,823
2012-10-17	$15.04	$14.00	31.7%	9.1%	25.8%	38.3%	31.8%	0.7%	-2.4%	6.3M	-185.3M	-1.3M	0.29	7.73	N/A	N/A	7,870	2,258	310,879	62,032
2012-10-18	$15.71	$14.00	29.8%	8.5%	30.0%	33.9%	30.7%	2.0%	-1.3%	7.3M	-230.3M	-1.4M	0.35	7.37	N/A	N/A	9,714	3,422	312,601	62,045
2012-10-19	$15.67	$14.00	30.4%	8.7%	29.4%	35.2%	30.9%	2.3%	-1.3%	6.7M	-229.3M	-1.4M	0.29	8.29	N/A	N/A	5,159	1,504	315,582	64,473
2012-10-22	$15.81	$14.00	30.1%	8.6%	27.5%	34.6%	30.5%	2.6%	-1.8%	6.5M	-225.4M	-1.4M	0.24	6.84	N/A	N/A	3,699	883	303,680	53,889
2012-10-23	$15.26	$14.00	33.3%	9.5%	30.5%	41.7%	33.5%	3.4%	-2.0%	6.2M	-194.9M	-1.3M	0.41	6.53	N/A	N/A	2,113	866	306,380	54,611
2012-10-24	$14.97	$15.00	33.2%	9.5%	30.6%	41.6%	33.0%	3.0%	-1.6%	6.0M	-174.3M	-1.3M	0.33	6.22	N/A	N/A	5,488	1,835	307,580	55,026
2012-10-25	$15.34	$15.00	33.1%	9.5%	31.6%	41.4%	33.2%	5.6%	-2.4%	6.4M	-202.3M	-1.3M	0.90	6.47	N/A	N/A	1,138	1,024	310,601	56,137
2012-10-26	$15.35	$15.00	32.5%	9.3%	31.1%	40.0%	31.0%	5.2%	-2.1%	6.4M	-202.2M	-1.3M	0.50	6.00	N/A	N/A	1,229	611	310,670	56,523
2012-10-31	$15.36	$15.00	33.6%	9.6%	31.1%	42.5%	32.1%	3.0%	-2.3%	6.5M	-201.2M	-1.3M	0.03	10.76	N/A	N/A	4,385	153	311,336	56,736