BX Options History — June 2013

In June 2013, BX traded between $19.79 and $21.97. ATM implied volatility averaged 36.3%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.0% (HV 20d: 36.3%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2013-06-11: Highest Volume — 44,546 contracts
2013-06-20: Largest IV spike — 11.9% change
2013-06-20: Highest IV Rank — 100.0%
2013-06-24: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.99	$19.79	$21.97	$21.85	$21.06
Max Pain	$21.30	$20.00	$23.00	$22.00	$20.00
ATM IV	36.3%	32.6%	41.5%	34.4%	32.6%
Expected Move	10.5%	9.3%	11.9%	9.9%	9.3%
HV 20d	36.3%	31.5%	39.9%	31.8%	37.9%
HV 60d	32.0%	29.7%	34.0%	29.7%	33.8%
IV Rank	77.7%	60.0%	100.0%	60.0%	67.0%
IV Percentile	92.3%	75.8%	100.0%	87.7%	75.8%
Term Structure	-0.1%	-1.8%	1.9%	-0.5%	1.5%
VWIV	36.5%	33.5%	41.4%	34.4%	33.5%
Skew 25d	3.0%	0.5%	3.9%	3.5%	3.2%
Skew 10d	5.8%	0.8%	7.2%	5.5%	6.9%
Call IV 25d	35.1%	31.0%	40.3%	33.2%	31.0%
Put IV 25d	38.1%	34.2%	43.5%	36.7%	34.2%
Bid-Ask Spread %	3.47	2.69	4.14	2.69	3.84
Gamma HHI	0.14	0.13	0.16	0.15	0.14
Net GEX	5.4M	4.1M	7.0M	6.9M	4.9M
Net DEX	-252.3M	-328.6M	-179.5M	-322.3M	-246.4M
Net VEX	-2.3M	-2.6M	-2.0M	-2.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.17	1.93	0.32	0.36
Total Volume	13,384.3	3,759	44,546	7,802	4,506
Total OI	518,604.95	459,588	544,450	527,276	471,418

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
2013-06-03	$21.85	$22.00	34.4%	9.9%	31.8%	60.0%	34.4%	3.5%	-0.5%	6.9M	-322.3M	-2.6M	0.32	2.69	N/A	N/A	5,927	1,875	386,487	140,789
2013-06-04	$21.05	$22.00	36.6%	10.5%	32.0%	66.4%	36.0%	1.6%	-0.3%	5.9M	-269.2M	-2.5M	0.44	3.28	N/A	N/A	11,110	4,853	388,494	141,789
2013-06-05	$20.90	$22.00	37.6%	10.8%	31.8%	69.5%	38.7%	0.5%	0.1%	5.7M	-254.5M	-2.5M	0.83	2.94	N/A	N/A	13,917	11,560	390,831	144,158
2013-06-06	$21.00	$22.00	36.8%	10.5%	31.5%	67.0%	36.9%	0.9%	0.0%	5.7M	-259.6M	-2.5M	1.83	3.20	N/A	N/A	2,220	4,059	392,823	148,385
2013-06-07	$21.67	$23.00	33.5%	10.1%	33.2%	63.5%	35.5%	3.2%	-0.1%	6.5M	-305.2M	-2.6M	0.43	3.84	N/A	N/A	3,312	1,438	391,683	151,165
2013-06-10	$21.97	$23.00	34.5%	10.1%	33.5%	72.9%	35.0%	3.3%	-0.3%	7.0M	-328.6M	-2.6M	0.72	3.85	N/A	N/A	2,184	1,575	392,097	151,272
2013-06-11	$21.00	$23.00	36.8%	10.7%	36.8%	81.0%	38.1%	3.0%	-1.0%	5.5M	-251.6M	-2.5M	0.17	3.71	N/A	N/A	38,216	6,330	392,735	151,715
2013-06-12	$20.74	$21.00	36.8%	10.6%	36.4%	81.0%	37.1%	3.0%	-0.9%	4.8M	-226.7M	-2.3M	0.47	3.43	N/A	N/A	4,961	2,335	373,038	153,714
2013-06-13	$21.14	$21.00	36.4%	10.4%	37.2%	79.8%	36.4%	3.2%	-0.3%	5.2M	-253.1M	-2.3M	0.76	4.01	N/A	N/A	4,273	3,231	372,751	155,035
2013-06-14	$20.83	$21.00	35.9%	10.3%	36.9%	77.8%	36.1%	2.9%	0.3%	4.9M	-232.1M	-2.2M	0.40	3.77	N/A	N/A	6,911	2,769	373,821	155,354
2013-06-17	$21.49	$21.00	36.8%	10.6%	37.9%	81.2%	37.0%	3.0%	-0.5%	6.0M	-286.7M	-2.3M	0.41	3.04	N/A	N/A	5,830	2,411	378,307	156,001
2013-06-18	$21.59	$21.00	35.1%	10.1%	38.0%	74.8%	35.8%	3.6%	-0.4%	6.1M	-291.6M	-2.3M	0.81	3.35	N/A	N/A	3,034	2,443	376,195	156,465
2013-06-19	$21.25	$21.00	36.4%	10.4%	38.2%	92.2%	37.0%	3.6%	-0.7%	5.1M	-263.2M	-2.3M	0.57	4.14	N/A	N/A	18,093	10,311	376,082	156,840
2013-06-20	$20.36	$21.00	40.7%	11.7%	38.4%	100.0%	39.0%	3.7%	-1.8%	4.1M	-199.4M	-2.2M	0.31	3.89	N/A	N/A	23,126	7,253	382,894	156,527
2013-06-21	$20.49	$21.00	38.1%	10.9%	38.6%	90.1%	37.5%	3.7%	-0.9%	4.9M	-205.8M	-2.1M	1.93	4.03	N/A	N/A	5,460	10,535	382,338	156,203
2013-06-24	$19.79	$21.00	41.5%	11.9%	39.1%	100.0%	41.4%	3.2%	-0.9%	4.1M	-179.5M	-2.0M	0.41	3.11	N/A	N/A	14,691	6,020	328,065	131,523
2013-06-25	$20.33	$20.00	37.5%	10.8%	39.9%	85.3%	37.0%	3.9%	1.0%	4.8M	-214.3M	-2.0M	0.37	3.57	N/A	N/A	6,087	2,234	335,083	135,321
2013-06-26	$20.49	$20.00	35.2%	10.1%	38.6%	76.7%	35.0%	2.6%	1.9%	4.9M	-221.5M	-2.0M	0.43	2.74	N/A	N/A	4,612	1,978	337,000	136,082
2013-06-27	$20.82	$20.00	32.6%	9.4%	38.8%	67.2%	33.7%	3.7%	1.4%	4.8M	-235.4M	-2.0M	0.52	2.94	N/A	N/A	3,942	2,064	334,153	137,466
2013-06-28	$21.06	$20.00	32.6%	9.3%	37.9%	67.0%	33.5%	3.2%	1.5%	4.9M	-246.4M	-2.0M	0.36	3.84	N/A	N/A	3,310	1,196	333,115	138,303