BX Options History — October 2013

In October 2013, BX traded between $24.77 and $28.53. ATM implied volatility averaged 29.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.1% (HV 20d: 29.2%). Max pain ranged from $23.00 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.57.

Notable Days

2013-10-23: Highest Volume — 1,000,473 contracts
2013-10-08: Largest IV spike — 24.6% change
2013-10-09: Highest IV Rank — 100.0%
2013-10-09: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.57	$24.77	$28.53	$24.98	$26.28
Max Pain	$25.36	$23.00	$28.00	$23.00	$26.00
ATM IV	29.0%	23.2%	45.1%	27.9%	27.7%
Expected Move	8.4%	6.6%	10.2%	8.3%	7.9%
HV 20d	29.2%	19.9%	39.2%	20.5%	39.1%
HV 60d	26.3%	25.3%	28.9%	25.5%	28.6%
IV Rank	32.4%	6.2%	100.0%	30.8%	25.5%
IV Percentile	47.2%	4.8%	100.0%	43.3%	44.4%
Term Structure	-0.8%	-3.3%	1.3%	-0.4%	0.5%
VWIV	29.8%	23.9%	35.8%	30.6%	27.0%
Skew 25d	5.1%	3.4%	6.4%	4.7%	4.1%
Skew 10d	10.4%	8.1%	13.4%	10.6%	8.1%
Call IV 25d	27.0%	21.9%	32.7%	26.9%	26.2%
Put IV 25d	32.1%	26.4%	38.9%	31.6%	30.3%
Bid-Ask Spread %	4.46	2.44	5.79	3.36	5.11
Gamma HHI	0.20	0.16	0.24	0.23	0.18
Net GEX	9.6M	7.2M	18.3M	7.8M	8.0M
Net DEX	-470.3M	-671.6M	-325.4M	-390.4M	-339.1M
Net VEX	-1.9M	-2.1M	-1.8M	-1.8M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.02	1.88	1.46	0.14
Total Volume	65,910.435	9,741	1,000,473	18,411	30,177
Total OI	501,733.304	469,090	551,685	469,090	495,658

Daily Data (23 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
2013-10-01	$24.98	$23.00	27.9%	8.3%	20.5%	30.8%	30.6%	4.7%	-0.4%	7.8M	-390.4M	-1.8M	1.46	3.36	N/A	N/A	7,494	10,917	307,141	161,949
2013-10-02	$25.35	$24.00	26.8%	8.6%	20.7%	25.4%	29.5%	4.9%	-1.5%	7.8M	-417.5M	-1.9M	1.33	2.44	N/A	N/A	5,057	6,705	307,944	164,573
2013-10-03	$25.56	$24.00	26.1%	8.2%	19.9%	22.0%	32.6%	5.8%	-1.0%	7.9M	-430.8M	-1.9M	0.47	3.92	N/A	N/A	12,515	5,871	309,475	169,938
2013-10-04	$26.35	$24.00	24.1%	8.4%	21.4%	11.7%	30.3%	5.9%	-1.2%	8.0M	-492.9M	-1.9M	0.37	4.78	N/A	N/A	16,225	5,925	312,886	173,056
2013-10-07	$26.31	$24.00	29.1%	8.9%	21.7%	36.9%	31.6%	6.4%	-1.8%	8.1M	-493.6M	-1.9M	0.70	3.25	N/A	N/A	16,080	11,277	318,983	176,375
2013-10-08	$25.46	$24.00	36.2%	10.2%	25.8%	73.2%	35.3%	6.3%	-3.3%	7.2M	-414.4M	-2.0M	0.78	3.58	N/A	N/A	14,222	11,077	320,458	179,993
2013-10-09	$24.77	$24.00	45.1%	10.2%	28.4%	100.0%	35.8%	6.3%	-3.1%	7.5M	-359.7M	-2.0M	0.48	4.06	N/A	N/A	14,566	7,050	328,510	181,272
2013-10-10	$25.92	$0.00	34.5%	10.0%	31.7%	54.4%	33.6%	5.9%	-2.1%	8.9M	-475.4M	-2.0M	0.49	5.16	N/A	N/A	14,841	7,310	334,462	182,770
2013-10-11	$26.57	$28.00	32.1%	9.4%	32.4%	44.3%	33.2%	5.4%	-3.0%	10.0M	-540.1M	-1.9M	0.28	4.74	N/A	N/A	35,130	9,894	341,107	187,492
2013-10-14	$26.75	$24.00	33.0%	9.2%	30.4%	48.1%	31.9%	5.5%	-2.0%	11.0M	-554.4M	-1.9M	0.33	3.61	N/A	N/A	12,433	4,063	346,155	189,314
2013-10-15	$26.89	$25.00	32.6%	9.2%	30.3%	46.3%	33.8%	6.0%	-1.8%	11.2M	-571.0M	-1.9M	0.66	3.38	N/A	N/A	11,252	7,383	349,266	191,155
2013-10-16	$27.02	$25.00	31.2%	8.9%	28.6%	40.3%	30.7%	5.8%	-2.4%	11.5M	-583.2M	-1.9M	0.34	5.04	N/A	N/A	23,800	7,994	350,754	193,734
2013-10-17	$27.25	$25.00	24.8%	7.1%	28.6%	13.0%	26.2%	4.8%	0.9%	18.3M	-611.5M	-1.8M	0.26	4.36	N/A	N/A	30,061	7,688	357,559	192,491
2013-10-18	$27.82	$25.00	23.3%	6.6%	28.4%	6.3%	24.1%	4.4%	0.9%	17.7M	-671.6M	-1.8M	0.22	3.52	N/A	N/A	32,844	7,304	357,354	194,331
2013-10-21	$27.84	$27.00	23.2%	6.7%	28.2%	6.2%	23.9%	4.2%	0.8%	10.4M	-556.4M	-1.9M	1.88	5.22	N/A	N/A	3,682	6,916	315,579	165,817
2013-10-22	$28.53	$27.00	23.9%	6.9%	28.3%	9.2%	24.2%	4.0%	-0.5%	10.4M	-606.6M	-1.9M	0.49	5.20	N/A	N/A	16,042	7,842	316,775	169,959
2013-10-23	$27.61	$27.00	27.1%	7.8%	31.6%	22.8%	27.7%	4.1%	0.4%	9.9M	-543.3M	-1.9M	0.02	5.06	N/A	N/A	977,375	23,098	321,604	173,303
2013-10-24	$26.96	$27.00	28.3%	8.1%	33.2%	28.0%	30.0%	5.3%	-0.6%	7.4M	-355.1M	-2.1M	1.16	5.33	N/A	N/A	8,326	9,672	286,530	188,694
2013-10-25	$26.71	$27.00	28.4%	8.2%	33.5%	28.5%	28.8%	5.0%	-0.3%	7.7M	-333.7M	-2.0M	0.64	5.30	N/A	N/A	5,924	3,817	287,917	192,141
2013-10-28	$26.47	$26.00	28.5%	8.1%	33.7%	28.7%	29.4%	4.6%	1.0%	7.4M	-328.0M	-2.0M	0.20	5.79	N/A	N/A	29,236	5,985	285,517	188,961
2013-10-29	$27.43	$26.00	26.1%	7.5%	35.6%	18.5%	25.9%	3.4%	1.3%	9.5M	-421.8M	-2.0M	0.21	5.11	N/A	N/A	10,802	2,270	293,041	190,353
2013-10-30	$26.27	$26.00	27.8%	8.0%	39.2%	25.9%	30.4%	4.0%	1.0%	8.1M	-325.4M	-2.0M	0.31	5.31	N/A	N/A	13,632	4,166	296,698	190,822
2013-10-31	$26.28	$26.00	27.7%	7.9%	39.1%	25.5%	27.0%	4.1%	0.5%	8.0M	-339.1M	-2.0M	0.14	5.11	N/A	N/A	26,529	3,648	303,193	192,465