BX Options History — July 2013

In July 2013, BX traded between $20.51 and $24.09. ATM implied volatility averaged 30.7%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.4% (HV 20d: 32.1%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2013-07-24: Highest Volume — 468,515 contracts
2013-07-29: Largest IV spike — 18.9% change
2013-07-31: Highest IV Rank — 72.2%
2013-07-15: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.26	$20.51	$24.09	$20.99	$22.55
Max Pain	$22.00	$20.00	$24.00	$20.00	$23.00
ATM IV	30.7%	25.3%	34.0%	33.1%	34.0%
Expected Move	8.6%	7.2%	9.7%	9.5%	7.6%
HV 20d	32.1%	28.1%	37.9%	37.9%	30.1%
HV 60d	33.3%	31.9%	34.5%	33.8%	32.5%
IV Rank	59.9%	39.9%	72.2%	68.9%	72.2%
IV Percentile	61.9%	21.8%	88.1%	80.2%	88.1%
Term Structure	0.1%	-1.7%	1.2%	1.1%	0.8%
VWIV	30.5%	25.3%	34.8%	33.2%	26.9%
Skew 25d	3.5%	1.7%	5.0%	3.1%	3.5%
Skew 10d	6.3%	3.4%	9.1%	5.3%	7.8%
Call IV 25d	28.5%	25.2%	32.3%	31.7%	26.3%
Put IV 25d	32.1%	27.3%	36.0%	34.8%	29.7%
Bid-Ask Spread %	4.07	3.28	7.59	3.70	3.85
Gamma HHI	0.15	0.13	0.18	0.14	0.16
Net GEX	6.3M	4.5M	8.0M	4.9M	5.8M
Net DEX	-300.4M	-461.2M	-209.5M	-242.6M	-229.4M
Net VEX	-2.0M	-2.1M	-1.8M	-2.0M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.01	1.47	0.27	0.26
Total Volume	32,828.136	1,974	468,515	6,704	7,821
Total OI	476,336.364	447,705	510,168	471,921	453,450

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
2013-07-01	$20.99	$20.00	33.1%	9.5%	37.9%	68.9%	33.2%	3.1%	1.1%	4.9M	-242.6M	-2.0M	0.27	3.70	N/A	N/A	5,265	1,439	333,159	138,762
2013-07-02	$20.73	$21.00	32.8%	9.4%	35.8%	67.6%	33.4%	3.4%	1.2%	4.7M	-228.3M	-2.0M	0.55	4.03	N/A	N/A	2,120	1,163	333,436	139,131
2013-07-03	$20.51	$21.00	33.1%	9.5%	35.9%	68.9%	34.8%	3.8%	1.0%	4.5M	-211.5M	-2.0M	0.10	4.43	N/A	N/A	1,977	190	334,398	139,720
2013-07-05	$20.75	$21.00	32.3%	9.6%	36.2%	66.0%	32.7%	4.9%	-0.7%	4.7M	-223.5M	-1.9M	0.19	4.37	N/A	N/A	1,662	312	334,888	139,835
2013-07-08	$20.52	$21.00	32.6%	9.4%	34.3%	66.9%	34.0%	4.8%	-0.3%	4.5M	-209.5M	-1.8M	0.98	3.79	N/A	N/A	2,757	2,701	335,305	139,848
2013-07-09	$20.93	$21.00	32.3%	9.3%	34.7%	65.7%	33.0%	5.0%	-0.7%	5.0M	-234.8M	-1.9M	0.81	3.94	N/A	N/A	1,878	1,518	336,109	141,165
2013-07-10	$21.17	$21.00	32.9%	9.3%	31.1%	68.0%	32.3%	4.7%	-1.3%	5.2M	-251.2M	-1.9M	0.30	4.49	N/A	N/A	3,262	969	336,705	142,144
2013-07-11	$21.79	$21.00	33.8%	9.7%	32.3%	71.4%	33.6%	4.7%	-1.7%	6.2M	-301.6M	-2.0M	0.35	4.00	N/A	N/A	12,788	4,432	338,750	142,669
2013-07-12	$21.98	$21.00	33.8%	9.7%	31.8%	71.3%	33.8%	4.2%	-1.5%	6.8M	-321.6M	-2.0M	0.42	4.14	N/A	N/A	7,970	3,338	345,422	144,978
2013-07-15	$22.19	$21.00	33.8%	9.7%	31.2%	71.6%	33.7%	4.5%	-1.2%	7.3M	-339.1M	-2.0M	0.44	3.75	N/A	N/A	6,892	3,036	349,577	146,478
2013-07-16	$21.87	$21.00	32.2%	9.2%	30.0%	65.7%	32.1%	4.1%	-0.8%	7.3M	-316.1M	-2.0M	0.51	4.34	N/A	N/A	7,379	3,773	350,812	147,168
2013-07-17	$21.96	$22.00	31.7%	9.1%	30.0%	63.6%	32.0%	4.2%	-1.1%	7.3M	-322.1M	-2.0M	0.95	4.08	N/A	N/A	6,326	5,981	350,495	148,222
2013-07-18	$23.37	$22.00	27.4%	7.9%	36.3%	47.9%	28.6%	2.4%	0.5%	8.0M	-435.2M	-2.1M	0.75	4.19	N/A	N/A	20,356	15,180	350,102	150,087
2013-07-19	$23.79	$22.00	25.7%	7.4%	31.9%	41.6%	27.7%	1.7%	0.9%	7.6M	-461.2M	-2.0M	0.73	3.75	N/A	N/A	24,060	17,529	351,390	158,778
2013-07-22	$24.09	$23.00	27.1%	7.8%	32.0%	46.5%	28.5%	2.8%	0.6%	7.3M	-410.3M	-2.1M	0.35	3.63	N/A	N/A	19,630	6,962	333,565	144,986
2013-07-23	$23.99	$23.00	26.1%	7.5%	28.1%	42.8%	27.4%	2.4%	0.8%	7.5M	-397.4M	-2.0M	0.35	3.76	N/A	N/A	9,307	3,212	326,653	146,474
2013-07-24	$23.75	$23.00	25.3%	7.2%	28.2%	39.9%	25.3%	1.7%	1.1%	7.7M	-386.2M	-2.0M	0.01	3.44	N/A	N/A	464,446	4,069	328,741	147,979
2013-07-25	$23.55	$24.00	25.5%	7.3%	28.8%	40.8%	27.3%	3.2%	1.2%	6.9M	-291.8M	-2.0M	0.80	3.40	N/A	N/A	5,686	4,549	298,654	149,895
2013-07-26	$23.36	$24.00	26.6%	7.7%	29.0%	44.7%	26.9%	3.0%	0.9%	7.1M	-280.0M	-2.0M	0.87	3.54	N/A	N/A	2,878	2,514	300,200	152,140
2013-07-29	$23.04	$24.00	31.6%	7.6%	29.8%	63.4%	27.1%	2.8%	0.7%	6.7M	-264.2M	-1.9M	0.52	7.59	N/A	N/A	4,360	2,287	299,170	148,535
2013-07-30	$22.87	$24.00	31.5%	7.6%	29.9%	63.0%	26.2%	3.4%	0.5%	6.5M	-252.1M	-1.9M	1.47	3.28	N/A	N/A	7,399	10,846	300,714	148,711
2013-07-31	$22.55	$23.00	34.0%	7.6%	30.1%	72.2%	26.9%	3.5%	0.8%	5.8M	-229.4M	-1.9M	0.26	3.85	N/A	N/A	6,226	1,595	301,749	151,701