BX Options History — January 2014 In January 2014, BX traded between $30.52 and $33.19. ATM implied volatility averaged 32.6%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 12.8% (HV 20d: 19.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.43.
Notable Days 2014-01-30 : Highest Volume — 72,500 contracts2014-01-24 : Largest IV spike — 22.6% change2014-01-27 : Highest IV Rank — 88.2%2014-01-29 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $31.93 $30.52 $33.19 $31.28 $32.75 Max Pain $27.90 $25.00 $30.00 $30.00 $25.00 ATM IV 32.6% 26.7% 42.4% 32.9% 29.9% Expected Move 9.2% 8.7% 9.9% 9.2% 9.1% HV 20d 19.8% 15.3% 29.4% 17.7% 29.4% HV 60d 29.6% 27.9% 32.2% 32.2% 28.6% IV Rank 46.5% 21.1% 88.2% 47.7% 35.0% IV Percentile 75.3% 24.2% 99.6% 84.1% 63.1% Term Structure -1.9% -6.1% 0.9% 0.1% 0.0% VWIV 33.5% 30.3% 38.7% 33.7% 32.4% Skew 25d 4.3% 1.8% 5.9% 4.8% 3.5% Skew 10d 8.6% 3.0% 17.2% 9.8% 6.2% Call IV 25d 30.5% 24.7% 39.6% 31.1% 28.8% Put IV 25d 34.9% 28.3% 44.8% 35.9% 32.2% Bid-Ask Spread % 14.26 5.99 45.56 9.58 16.09 Gamma HHI 0.21 0.12 0.39 0.39 0.14 Net GEX 11.4M 9.7M 15.1M 11.0M 15.0M Net DEX -620.4M -853.0M -301.2M -745.7M -460.9M Net VEX -2.1M -2.3M -1.9M -2.2M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.09 1.36 0.41 0.20 Total Volume 26,841.571 5,428 72,500 22,984 20,197 Total OI 492,699.905 362,944 586,586 552,214 439,574
Daily Data (21 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 2014-01-02 $31.28 $30.00 32.9% 9.2% 17.7% 47.7% 33.7% 4.8% 0.1% 11.0M -745.7M -2.2M 0.41 9.58 N/A N/A 16,335 6,649 343,802 208,412 2014-01-03 $32.05 $30.00 30.0% 9.0% 17.7% 35.2% 35.4% 4.5% 0.9% 10.1M -807.6M -1.9M 0.30 9.69 N/A N/A 16,933 5,141 338,403 213,437 2014-01-06 $31.48 $30.00 33.1% 9.1% 18.2% 48.3% 32.8% 5.9% -2.1% 10.5M -750.0M -1.9M 0.57 9.13 N/A N/A 14,864 8,434 337,043 212,036 2014-01-07 $31.75 $30.00 31.7% 9.1% 17.8% 42.3% 32.8% 5.8% -1.8% 10.4M -779.1M -2.0M 0.36 8.54 N/A N/A 16,125 5,800 345,760 212,602 2014-01-08 $31.52 $30.00 32.0% 9.1% 18.3% 43.7% 33.3% 5.6% -2.1% 10.8M -775.1M -2.1M 0.09 11.42 N/A N/A 15,237 1,341 353,883 214,170 2014-01-09 $31.94 $30.00 31.8% 9.1% 17.2% 42.9% 38.7% 5.0% -2.1% 10.2M -784.8M -2.0M 0.86 8.71 N/A N/A 4,120 3,538 342,822 214,541 2014-01-10 $32.28 $30.00 32.0% 9.1% 17.1% 43.8% 37.2% 5.5% -2.8% 9.8M -813.1M -2.0M 0.61 10.42 N/A N/A 13,538 8,219 344,460 215,848 2014-01-13 $32.09 $27.00 33.7% 9.1% 17.1% 50.8% 32.4% 3.2% -3.8% 9.7M -791.8M -2.0M 0.12 7.87 N/A N/A 30,899 3,650 344,598 216,404 2014-01-14 $32.07 $27.00 32.8% 9.1% 17.2% 47.2% 35.7% 3.9% -3.1% 11.0M -798.4M -2.0M 0.36 11.83 N/A N/A 3,997 1,431 355,008 217,704 2014-01-15 $32.35 $27.00 34.2% 9.1% 17.2% 53.1% 32.9% 2.6% -4.0% 11.1M -795.4M -2.0M 0.13 5.99 N/A N/A 21,437 2,843 347,162 217,196 2014-01-16 $32.49 $27.00 32.0% 9.1% 16.4% 43.7% 32.2% 4.2% -1.3% 12.5M -810.5M -2.0M 0.09 10.47 N/A N/A 44,599 3,872 355,380 219,084 2014-01-17 $32.69 $27.00 28.9% 8.9% 15.7% 30.5% 32.2% 3.8% -2.1% 13.0M -853.0M -2.0M 0.23 9.18 N/A N/A 24,408 5,735 364,970 221,616 2014-01-21 $32.92 $27.00 27.5% 8.7% 15.3% 24.3% 30.3% 4.3% -1.0% 12.7M -450.5M -2.0M 0.38 11.98 N/A N/A 11,253 4,284 235,363 127,581 2014-01-22 $33.19 $27.00 26.7% 9.7% 15.3% 21.1% 34.7% 3.6% -1.1% 12.7M -472.3M -2.0M 0.60 21.33 N/A N/A 13,643 8,229 236,578 130,453 2014-01-23 $31.81 $27.00 32.3% 9.0% 21.7% 44.9% 33.0% 3.5% -0.0% 10.3M -366.4M -2.1M 0.27 19.38 N/A N/A 39,040 10,404 242,933 135,839 2014-01-24 $31.13 $27.00 39.6% 9.0% 23.1% 76.2% 31.0% 4.5% -1.1% 11.2M -333.3M -2.2M 0.46 14.43 N/A N/A 34,965 16,155 257,170 141,294 2014-01-27 $30.52 $27.00 42.4% 9.9% 24.0% 88.2% 31.7% 5.1% -6.1% 10.1M -301.2M -2.2M 0.25 20.55 N/A N/A 22,687 5,652 259,382 141,796 2014-01-28 $31.11 $27.00 36.8% 9.4% 25.1% 64.2% 32.4% 5.0% -2.2% 11.8M -346.9M -2.2M 1.36 16.80 N/A N/A 5,732 7,793 263,677 144,157 2014-01-29 $30.93 $27.00 35.7% 9.9% 25.1% 59.8% 36.5% 4.7% -2.2% 11.6M -337.9M -2.2M 0.96 45.56 N/A N/A 6,111 5,883 265,451 148,984 2014-01-30 $32.23 $27.00 29.5% 9.1% 29.1% 33.3% 31.3% 1.8% -1.0% 15.1M -455.2M -2.1M 0.40 20.47 N/A N/A 51,835 20,665 268,240 151,885 2014-01-31 $32.75 $25.00 29.9% 9.1% 29.4% 35.0% 32.4% 3.5% 0.0% 15.0M -460.9M -2.3M 0.20 16.09 N/A N/A 16,844 3,353 275,661 163,913
« Dec 2013 | All History | Feb 2014 » Home BX History January 2014