BX Options History — February 2014

In February 2014, BX traded between $31.16 and $33.35. ATM implied volatility averaged 30.2%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.4% (HV 20d: 32.5%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2014-02-05: Highest Volume — 249,687 contracts
  • 2014-02-04: Largest IV drop — 7.0% change
  • 2014-02-03: Highest IV Rank — 64.7%
  • 2014-02-27: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.91$31.16$33.35$31.16$33.35
Max Pain$26.37$25.00$27.00$25.00$25.00
ATM IV30.2%27.2%36.9%36.9%27.5%
Expected Move9.4%9.1%9.6%9.5%9.5%
HV 20d32.5%26.0%34.4%33.5%26.0%
HV 60d26.6%24.8%30.9%30.6%24.8%
IV Rank36.0%23.3%64.7%64.7%24.4%
IV Percentile56.2%25.8%95.6%95.6%31.3%
Term Structure-0.0%-1.5%1.5%-1.5%0.7%
VWIV34.7%30.0%54.0%32.3%33.6%
Skew 25d3.0%2.2%4.1%4.1%2.5%
Skew 10d6.2%4.6%9.9%7.6%5.1%
Call IV 25d29.3%26.4%36.2%36.2%26.7%
Put IV 25d32.3%28.9%40.3%40.3%29.2%
Bid-Ask Spread %13.849.1924.8624.8614.00
Gamma HHI0.120.100.180.130.18
Net GEX9.1M3.6M16.2M10.8M13.7M
Net DEX-266.3M-390.8M-183.3M-295.4M-384.6M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.026.210.360.24
Total Volume31,279.8957,938249,68719,47517,856
Total OI397,986.368363,235430,974418,571420,133

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$31.16$25.0036.9%9.5%33.5%64.7%32.3%4.1%-1.5%10.8M-295.4M-2.2M0.3624.86N/AN/A14,3055,170259,655158,916
2014-02-04$31.92$25.0034.3%9.3%34.1%53.6%35.0%3.9%-1.0%13.9M-366.5M-2.2M0.1313.94N/AN/A23,0823,041264,645160,333
2014-02-05$31.75$25.0035.0%9.3%34.0%56.8%54.0%3.1%-1.0%16.2M-390.8M-2.1M0.0213.52N/AN/A244,9864,701269,336161,638
2014-02-06$31.26$27.0033.7%9.4%34.4%51.3%34.3%4.1%0.0%9.9M-201.5M-2.1M1.4513.13N/AN/A4,5016,505217,289163,848
2014-02-07$31.34$27.0032.0%9.4%34.0%43.7%33.5%3.7%-0.2%7.7M-194.7M-2.1M0.669.77N/AN/A9,0705,949219,053167,172
2014-02-10$31.55$27.0031.6%9.5%33.9%42.0%30.0%3.6%-1.0%8.8M-224.1M-2.1M6.2111.03N/AN/A4,24626,375199,723163,512
2014-02-11$31.65$27.0029.8%9.3%33.9%34.4%32.8%2.5%-1.0%8.3M-218.9M-2.2M0.329.19N/AN/A25,1537,978201,146187,646
2014-02-12$31.40$27.0030.0%9.4%34.0%35.1%34.5%2.9%0.1%7.1M-206.5M-2.2M0.7811.85N/AN/A8,6966,744207,221191,207
2014-02-13$31.61$27.0028.9%9.5%33.9%30.5%33.6%2.2%-1.0%8.4M-220.6M-2.2M0.2811.27N/AN/A7,7072,183208,686193,915
2014-02-14$31.20$27.0029.1%9.3%34.1%31.2%33.2%2.5%-0.2%3.6M-183.3M-2.2M0.5518.26N/AN/A5,1272,836207,858195,449
2014-02-18$31.48$27.0029.1%9.2%34.2%31.2%35.2%2.6%0.4%4.6M-197.2M-2.1M0.9111.71N/AN/A4,8434,404198,436192,639
2014-02-19$31.37$27.0028.5%9.2%34.0%28.8%33.2%2.6%0.2%4.5M-191.3M-2.1M0.2313.95N/AN/A6,4741,464200,112194,380
2014-02-20$31.70$27.0027.3%9.1%34.1%23.8%33.7%2.6%1.5%6.4M-216.7M-2.1M0.5210.51N/AN/A6,3403,293197,528191,138
2014-02-21$32.06$25.0027.2%9.4%30.9%23.3%34.5%2.5%1.2%7.4M-249.7M-2.1M0.1911.69N/AN/A22,8774,266198,735191,531
2014-02-24$32.87$27.0027.7%9.5%30.9%25.4%34.0%2.8%0.8%7.4M-311.8M-2.2M0.2520.78N/AN/A27,0806,834192,860181,083
2014-02-25$32.93$27.0028.0%9.5%29.8%26.4%35.1%3.2%0.5%9.9M-333.2M-2.3M0.4215.85N/AN/A10,2744,296207,894183,859
2014-02-26$32.67$27.0029.0%9.5%29.5%31.0%33.5%2.7%0.7%10.1M-317.5M-2.3M0.1214.48N/AN/A26,7753,137212,723185,999
2014-02-27$32.96$25.0028.0%9.6%29.4%26.5%33.3%2.4%0.3%14.3M-355.5M-2.3M0.3913.19N/AN/A18,4737,277226,826187,617
2014-02-28$33.35$25.0027.5%9.5%26.0%24.4%33.6%2.5%0.7%13.7M-384.6M-2.3M0.2414.00N/AN/A14,4023,454228,304191,829