BX Options History — April 2013

In April 2013, BX traded between $19.10 and $21.22. ATM implied volatility averaged 32.2%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.2% (HV 20d: 27.9%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2013-04-24: Highest Volume — 718,161 contracts
2013-04-15: Largest IV spike — 17.3% change
2013-04-09: Highest IV Rank — 71.5%
2013-04-17: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.25	$19.10	$21.22	$19.38	$20.55
Max Pain	$20.14	$19.00	$21.00	$19.00	$21.00
ATM IV	32.2%	27.1%	38.3%	31.6%	30.3%
Expected Move	9.1%	7.8%	10.8%	9.1%	8.7%
HV 20d	27.9%	24.7%	30.6%	24.8%	28.6%
HV 60d	30.6%	27.6%	31.9%	29.4%	27.6%
IV Rank	53.1%	37.8%	71.5%	51.5%	47.6%
IV Percentile	68.7%	35.3%	91.7%	68.7%	62.3%
Term Structure	-1.2%	-4.0%	1.0%	-0.2%	-0.9%
VWIV	31.8%	27.5%	37.1%	30.8%	30.4%
Skew 25d	2.8%	0.4%	4.5%	3.4%	1.4%
Skew 10d	5.3%	-0.3%	8.6%	4.7%	3.6%
Call IV 25d	30.4%	27.0%	35.5%	30.0%	30.0%
Put IV 25d	33.2%	28.5%	38.9%	33.4%	31.5%
Bid-Ask Spread %	4.18	2.69	6.57	3.96	3.07
Gamma HHI	0.15	0.13	0.18	0.15	0.14
Net GEX	5.1M	3.8M	5.9M	4.3M	5.5M
Net DEX	-239.3M	-311.3M	-173.2M	-194.8M	-235.1M
Net VEX	-2.0M	-2.1M	-1.8M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	2.17	0.04	0.21
Total Volume	44,778.182	4,078	718,161	38,834	7,810
Total OI	443,127.091	421,808	466,880	435,468	447,134

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
2013-04-01	$19.38	$19.00	31.6%	9.1%	24.8%	51.5%	30.8%	3.4%	-0.2%	4.3M	-194.8M	-2.0M	0.04	3.96	N/A	N/A	37,229	1,605	336,702	98,766
2013-04-02	$19.45	$19.00	32.8%	9.4%	24.7%	55.0%	31.5%	2.5%	-1.3%	4.3M	-195.6M	-1.9M	0.61	4.54	N/A	N/A	4,042	2,471	322,960	98,848
2013-04-03	$19.10	$19.00	33.4%	9.6%	25.1%	56.9%	33.2%	3.0%	-1.2%	3.8M	-173.2M	-1.8M	0.33	4.36	N/A	N/A	13,405	4,378	323,366	100,377
2013-04-04	$19.42	$19.00	33.1%	9.5%	25.7%	56.1%	32.8%	2.7%	-0.7%	4.5M	-200.1M	-1.9M	0.88	4.28	N/A	N/A	2,172	1,906	332,741	103,133
2013-04-05	$19.50	$21.00	34.8%	9.5%	25.6%	60.9%	32.0%	4.5%	-2.1%	4.5M	-205.4M	-2.0M	1.33	3.71	N/A	N/A	4,193	5,561	333,128	104,033
2013-04-08	$20.27	$21.00	34.6%	9.2%	27.1%	60.6%	32.1%	4.3%	-1.8%	5.2M	-251.4M	-1.9M	0.32	4.93	N/A	N/A	4,813	1,550	334,196	107,644
2013-04-09	$20.39	$20.00	38.3%	9.3%	26.4%	71.5%	33.2%	3.9%	-1.8%	5.2M	-259.9M	-2.0M	0.81	4.10	N/A	N/A	7,881	6,346	334,848	108,343
2013-04-10	$20.91	$21.00	33.8%	9.0%	27.8%	58.0%	34.5%	3.8%	-1.8%	5.6M	-290.9M	-2.1M	0.24	4.38	N/A	N/A	13,375	3,265	333,889	111,765
2013-04-11	$21.10	$20.00	32.0%	9.2%	27.0%	52.6%	32.0%	4.2%	-1.9%	5.8M	-310.2M	-2.1M	0.30	4.07	N/A	N/A	8,829	2,644	335,769	112,661
2013-04-12	$21.22	$20.00	31.7%	9.1%	26.9%	51.8%	31.3%	3.2%	-1.9%	5.9M	-311.3M	-2.1M	0.38	3.84	N/A	N/A	5,223	1,974	337,027	112,948
2013-04-15	$20.49	$20.00	37.2%	10.7%	29.4%	68.3%	36.6%	3.5%	-4.0%	5.1M	-266.3M	-2.1M	1.08	5.17	N/A	N/A	8,476	9,135	338,469	113,733
2013-04-16	$20.92	$20.00	35.6%	10.2%	29.0%	63.6%	36.5%	3.1%	-3.1%	5.7M	-298.3M	-2.1M	0.32	4.58	N/A	N/A	8,130	2,619	340,648	115,584
2013-04-17	$20.43	$20.00	37.6%	10.8%	29.8%	69.6%	37.1%	3.4%	-3.9%	5.2M	-268.4M	-2.1M	0.79	5.05	N/A	N/A	5,154	4,090	341,997	116,218
2013-04-18	$19.98	$20.00	32.3%	9.2%	30.6%	53.4%	32.4%	2.6%	-0.3%	5.1M	-224.7M	-1.9M	0.74	6.57	N/A	N/A	12,343	9,182	341,170	115,069
2013-04-19	$20.04	$20.00	29.5%	8.5%	29.8%	45.2%	29.9%	1.8%	1.0%	5.8M	-227.9M	-1.9M	0.65	3.27	N/A	N/A	8,160	5,300	346,301	120,579
2013-04-22	$20.16	$20.00	27.9%	8.0%	29.6%	40.2%	30.0%	2.9%	0.1%	5.1M	-220.7M	-1.9M	0.55	3.37	N/A	N/A	10,398	5,762	327,795	101,339
2013-04-23	$20.27	$20.00	27.7%	7.9%	29.6%	39.8%	27.9%	2.5%	0.5%	5.0M	-222.7M	-1.9M	2.17	3.78	N/A	N/A	4,824	10,455	329,861	104,791
2013-04-24	$20.58	$20.00	27.1%	7.8%	29.4%	37.8%	27.5%	0.4%	0.2%	5.2M	-238.0M	-1.9M	0.00	4.01	N/A	N/A	715,465	2,696	329,481	112,497
2013-04-25	$20.60	$21.00	28.6%	8.2%	29.4%	42.3%	29.1%	1.8%	-0.4%	5.2M	-229.1M	-2.0M	0.30	3.90	N/A	N/A	7,829	2,364	322,983	114,474
2013-04-26	$20.26	$21.00	28.2%	8.1%	29.6%	41.1%	28.4%	1.3%	0.4%	5.0M	-212.8M	-1.9M	0.44	2.69	N/A	N/A	3,187	1,395	326,529	115,239
2013-04-29	$20.46	$21.00	29.5%	8.5%	28.6%	45.3%	29.5%	1.5%	-0.4%	5.3M	-227.6M	-2.0M	0.50	4.36	N/A	N/A	4,981	2,503	327,783	115,978
2013-04-30	$20.55	$21.00	30.3%	8.7%	28.6%	47.6%	30.4%	1.4%	-0.9%	5.5M	-235.1M	-2.0M	0.21	3.07	N/A	N/A	6,469	1,341	330,820	116,314