BX Options History — August 2013

In August 2013, BX traded between $21.40 and $23.18. ATM implied volatility averaged 26.6%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.3% (HV 20d: 26.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2013-08-14: Highest Volume — 23,408 contracts
2013-08-15: Largest IV spike — 30.4% change
2013-08-19: Highest IV Rank — 55.3%
2013-08-27: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.27	$21.40	$23.18	$23.18	$21.84
Max Pain	$22.09	$22.00	$23.00	$23.00	$22.00
ATM IV	26.6%	22.0%	31.8%	27.7%	26.1%
Expected Move	7.8%	6.9%	9.1%	7.6%	8.2%
HV 20d	26.2%	21.3%	31.2%	30.6%	23.0%
HV 60d	32.1%	30.2%	33.4%	32.9%	30.4%
IV Rank	38.0%	24.8%	55.3%	48.9%	24.8%
IV Percentile	32.6%	2.4%	69.0%	41.3%	24.6%
Term Structure	2.8%	1.4%	4.2%	1.4%	3.8%
VWIV	27.5%	24.0%	31.2%	26.1%	30.5%
Skew 25d	3.9%	2.5%	4.9%	3.0%	4.3%
Skew 10d	8.1%	6.2%	10.3%	7.2%	8.8%
Call IV 25d	25.9%	23.5%	28.9%	25.1%	27.3%
Put IV 25d	29.8%	26.1%	33.7%	28.0%	31.6%
Bid-Ask Spread %	3.37	2.58	5.16	4.17	5.16
Gamma HHI	0.15	0.14	0.18	0.17	0.14
Net GEX	6.1M	4.5M	7.3M	6.7M	5.8M
Net DEX	-222.8M	-275.5M	-163.9M	-275.5M	-203.7M
Net VEX	-1.8M	-1.9M	-1.7M	-1.9M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.24	6.33	0.68	6.33
Total Volume	8,810.409	3,010	23,408	4,992	7,913
Total OI	457,047.318	441,453	472,382	454,617	461,960

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
2013-08-01	$23.18	$23.00	27.7%	7.6%	30.6%	48.9%	26.1%	3.0%	1.4%	6.7M	-275.5M	-1.9M	0.68	4.17	N/A	N/A	2,971	2,021	302,236	152,381
2013-08-02	$23.04	$23.00	24.5%	6.9%	30.8%	37.0%	24.0%	2.5%	3.3%	5.7M	-264.8M	-1.9M	1.01	3.87	N/A	N/A	1,768	1,789	303,101	152,630
2013-08-05	$22.86	$22.00	27.9%	7.5%	30.6%	49.5%	26.6%	3.5%	2.7%	6.6M	-251.7M	-1.9M	0.70	2.58	N/A	N/A	2,816	1,964	302,967	151,617
2013-08-06	$23.16	$22.00	28.6%	7.6%	30.3%	52.3%	26.5%	3.2%	2.8%	7.3M	-275.0M	-1.9M	0.62	3.18	N/A	N/A	2,637	1,631	304,281	152,645
2013-08-07	$22.76	$22.00	24.8%	7.7%	31.2%	38.0%	26.8%	3.5%	2.5%	6.5M	-247.2M	-1.9M	0.45	3.47	N/A	N/A	3,401	1,524	305,258	152,769
2013-08-08	$22.98	$22.00	23.7%	7.6%	29.9%	34.2%	26.4%	3.4%	2.7%	6.9M	-262.4M	-1.9M	0.52	4.89	N/A	N/A	3,351	1,744	304,585	153,402
2013-08-09	$23.02	$22.00	22.6%	7.5%	29.8%	29.9%	26.7%	3.4%	3.1%	6.7M	-266.2M	-1.9M	0.50	2.85	N/A	N/A	14,306	7,214	305,347	153,911
2013-08-12	$22.94	$22.00	23.6%	7.6%	29.7%	33.9%	28.0%	4.0%	3.4%	7.0M	-269.7M	-1.8M	0.37	4.06	N/A	N/A	4,215	1,574	309,523	152,139
2013-08-13	$22.93	$22.00	22.9%	7.6%	29.1%	31.1%	25.9%	3.5%	2.9%	6.8M	-265.0M	-1.8M	0.87	3.13	N/A	N/A	9,933	8,667	309,777	152,407
2013-08-14	$22.50	$22.00	22.0%	7.9%	30.1%	27.9%	28.0%	3.3%	2.9%	5.8M	-224.9M	-1.8M	0.30	2.83	N/A	N/A	17,940	5,468	311,426	157,355
2013-08-15	$21.67	$22.00	28.7%	8.2%	23.3%	52.7%	28.9%	4.3%	2.2%	4.5M	-163.9M	-1.7M	1.58	3.43	N/A	N/A	7,710	12,197	314,390	157,992
2013-08-16	$21.74	$22.00	28.0%	8.0%	22.1%	50.1%	29.5%	4.8%	2.8%	5.2M	-170.3M	-1.8M	0.63	2.89	N/A	N/A	7,986	5,027	309,517	158,292
2013-08-19	$21.47	$22.00	29.4%	8.4%	21.3%	55.3%	28.4%	4.3%	1.5%	5.3M	-177.8M	-1.7M	0.65	3.36	N/A	N/A	5,373	3,510	299,156	142,297
2013-08-20	$21.77	$22.00	27.2%	7.8%	22.4%	29.8%	27.1%	3.9%	2.5%	5.8M	-199.8M	-1.7M	0.73	2.80	N/A	N/A	1,735	1,275	301,673	143,618
2013-08-21	$21.61	$22.00	27.4%	7.9%	22.3%	31.1%	28.5%	4.2%	2.2%	5.5M	-188.1M	-1.7M	1.14	2.96	N/A	N/A	2,266	2,590	302,410	144,546
2013-08-22	$21.68	$22.00	27.2%	7.8%	22.5%	29.9%	27.7%	4.3%	2.5%	5.6M	-192.8M	-1.7M	0.24	3.01	N/A	N/A	2,624	633	302,734	146,602
2013-08-23	$22.05	$22.00	26.5%	7.6%	23.6%	26.6%	25.7%	4.0%	3.3%	6.8M	-217.2M	-1.7M	0.49	2.92	N/A	N/A	4,014	1,985	303,394	146,773
2013-08-26	$21.75	$22.00	26.9%	7.7%	23.6%	28.7%	26.6%	3.9%	3.1%	6.2M	-198.9M	-1.7M	1.43	2.63	N/A	N/A	2,881	4,118	305,272	147,268
2013-08-27	$21.40	$22.00	31.8%	9.1%	24.0%	52.7%	31.2%	4.8%	2.6%	5.4M	-174.8M	-1.7M	1.14	3.67	N/A	N/A	6,392	7,297	306,058	147,852
2013-08-28	$21.65	$22.00	28.7%	8.2%	24.2%	37.4%	28.4%	4.9%	3.4%	6.0M	-192.2M	-1.7M	0.49	2.81	N/A	N/A	2,925	1,448	309,484	151,391
2013-08-29	$22.05	$22.00	28.0%	8.0%	22.9%	33.7%	28.0%	4.7%	4.2%	6.9M	-219.1M	-1.7M	0.50	3.47	N/A	N/A	3,340	1,656	310,806	151,799
2013-08-30	$21.84	$22.00	26.1%	8.2%	23.0%	24.8%	30.5%	4.3%	3.8%	5.8M	-203.7M	-1.7M	6.33	5.16	N/A	N/A	1,079	6,834	310,051	151,909