BX Options History — March 2014 In March 2014, BX traded between $31.91 and $35.18. ATM implied volatility averaged 30.4%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.0% (HV 20d: 24.4%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2014-03-14 : Highest Volume — 49,839 contracts2014-03-24 : Largest IV spike — 13.5% change2014-03-26 : Highest IV Rank — 58.8%2014-03-27 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.62 $31.91 $35.18 $32.68 $33.25 Max Pain $29.00 $27.00 $30.00 $27.00 $30.00 ATM IV 30.4% 26.3% 35.6% 29.9% 32.0% Expected Move 9.5% 9.2% 9.8% 9.7% 9.4% HV 20d 24.4% 19.4% 28.9% 26.5% 28.0% HV 60d 26.0% 24.7% 27.6% 24.8% 27.6% IV Rank 36.4% 19.4% 58.8% 34.6% 43.1% IV Percentile 57.0% 15.9% 90.5% 59.1% 68.7% Term Structure 0.4% -1.8% 3.1% 0.3% -0.3% VWIV 33.5% 30.5% 35.2% 34.4% 35.2% Skew 25d 3.4% 2.7% 5.1% 3.3% 3.4% Skew 10d 7.4% 4.4% 10.8% 7.0% 4.4% Call IV 25d 29.1% 25.5% 33.9% 28.6% 29.9% Put IV 25d 32.5% 28.4% 37.6% 31.9% 33.3% Bid-Ask Spread % 12.60 7.67 20.82 12.48 11.62 Gamma HHI 0.18 0.14 0.36 0.15 0.14 Net GEX 9.9M 3.2M 16.2M 11.7M 3.8M Net DEX -351.7M -504.7M -176.5M -314.9M -271.8M Net VEX -2.4M -2.5M -2.2M -2.3M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.25 2.32 0.28 1.02 Total Volume 17,553.81 5,152 49,839 20,699 6,949 Total OI 404,304.238 337,945 438,439 414,301 357,015
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 2014-03-03 $32.68 $27.00 29.9% 9.7% 26.5% 34.6% 34.4% 3.3% 0.3% 11.7M -314.9M -2.3M 0.28 12.48 N/A N/A 16,141 4,558 225,545 188,756 2014-03-04 $33.66 $27.00 27.7% 9.3% 21.3% 25.4% 34.2% 2.7% 0.5% 14.9M -403.4M -2.3M 0.32 8.98 N/A N/A 12,274 3,891 229,772 191,026 2014-03-05 $34.39 $27.00 27.4% 9.3% 21.0% 23.9% 32.5% 2.9% 0.4% 14.6M -461.5M -2.3M 0.29 8.14 N/A N/A 10,802 3,166 228,863 192,664 2014-03-06 $34.44 $27.00 27.2% 9.4% 20.7% 23.3% 33.0% 3.0% 0.5% 14.8M -471.1M -2.2M 0.37 12.57 N/A N/A 13,085 4,862 230,831 192,698 2014-03-07 $34.77 $27.00 26.3% 9.2% 19.4% 19.4% 33.4% 2.9% 0.5% 10.4M -504.7M -2.2M 0.27 12.56 N/A N/A 15,653 4,229 232,177 193,547 2014-03-10 $35.18 $27.00 27.5% 9.3% 19.5% 24.6% 34.6% 2.8% 0.1% 11.2M -479.1M -2.2M 0.35 7.67 N/A N/A 12,726 4,473 220,754 191,811 2014-03-11 $34.44 $27.00 27.9% 9.4% 21.7% 25.5% 34.1% 3.0% 1.0% 12.0M -425.9M -2.3M 0.35 15.59 N/A N/A 11,406 3,952 225,138 192,890 2014-03-12 $34.27 $30.00 27.9% 9.3% 22.0% 25.5% 33.8% 3.4% 0.7% 12.2M -414.2M -2.4M 0.39 12.67 N/A N/A 6,402 2,502 229,623 195,284 2014-03-13 $33.41 $30.00 30.6% 9.7% 24.0% 37.0% 32.9% 4.2% -0.3% 10.0M -352.8M -2.4M 0.35 13.14 N/A N/A 10,027 3,475 230,472 196,887 2014-03-14 $32.94 $30.00 33.4% 9.8% 24.8% 49.0% 33.6% 3.5% 0.7% 7.6M -315.0M -2.4M 1.34 12.04 N/A N/A 21,302 28,537 230,819 198,540 2014-03-17 $33.47 $30.00 32.1% 9.7% 24.5% 43.5% 33.0% 4.0% 0.5% 11.7M -350.0M -2.4M 0.64 12.62 N/A N/A 5,755 3,662 230,471 178,016 2014-03-18 $34.19 $30.00 30.6% 9.3% 25.3% 37.3% 31.9% 4.2% 2.3% 13.2M -401.2M -2.4M 2.32 20.82 N/A N/A 9,905 22,981 232,264 179,990 2014-03-19 $33.77 $30.00 29.8% 9.3% 25.8% 33.7% 33.7% 3.3% 2.6% 10.5M -361.9M -2.4M 0.78 15.44 N/A N/A 12,389 9,655 234,755 201,487 2014-03-20 $33.80 $30.00 29.8% 9.4% 25.7% 33.8% 32.6% 2.9% 2.6% 10.3M -353.5M -2.5M 0.42 16.56 N/A N/A 6,080 2,524 233,669 202,715 2014-03-21 $33.92 $30.00 28.9% 9.2% 25.5% 30.0% 30.5% 2.8% 3.1% 16.2M -362.3M -2.4M 0.25 10.72 N/A N/A 10,197 2,583 233,892 204,547 2014-03-24 $33.12 $30.00 32.9% 9.7% 25.8% 47.0% 34.7% 5.1% -0.8% 3.6M -253.6M -2.4M 0.50 10.90 N/A N/A 16,363 8,215 196,369 141,576 2014-03-25 $32.88 $30.00 32.7% 9.7% 25.9% 46.1% 34.1% 4.8% -1.6% 4.6M -247.0M -2.5M 0.77 9.96 N/A N/A 9,411 7,284 205,515 147,123 2014-03-26 $31.91 $30.00 35.6% 9.6% 27.9% 58.8% 34.2% 3.6% -1.4% 3.2M -176.5M -2.4M 0.88 13.04 N/A N/A 10,265 9,001 208,297 152,638 2014-03-27 $32.40 $30.00 34.6% 9.8% 28.3% 54.4% 34.7% 3.8% -1.8% 3.6M -207.2M -2.4M 0.42 11.15 N/A N/A 3,619 1,533 207,141 158,633 2014-03-28 $33.04 $30.00 33.1% 9.4% 28.9% 47.8% 33.2% 2.9% -1.6% 7.8M -258.0M -2.4M 0.98 16.00 N/A N/A 8,482 8,314 207,474 158,705 2014-03-31 $33.25 $30.00 32.0% 9.4% 28.0% 43.1% 35.2% 3.4% -0.3% 3.8M -271.8M -2.4M 1.02 11.62 N/A N/A 3,439 3,510 201,870 155,145
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