BX Options History — April 2014

In April 2014, BX traded between $29.53 and $33.68. ATM implied volatility averaged 32.1%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.5% (HV 20d: 33.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-04-23: Highest Volume — 103,234 contracts
  • 2014-04-07: Largest IV spike — 16.6% change
  • 2014-04-10: Highest IV Rank — 75.2%
  • 2014-04-11: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.35$29.53$33.68$33.68$29.53
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.1%25.7%39.4%31.0%29.1%
Expected Move9.4%9.0%9.8%9.1%9.5%
HV 20d33.6%25.3%38.6%26.3%38.0%
HV 60d30.3%27.1%31.8%27.3%29.7%
IV Rank43.5%15.9%75.2%39.0%30.7%
IV Percentile62.1%8.7%98.0%61.9%51.6%
Term Structure-0.6%-3.1%1.3%-0.3%0.2%
VWIV32.7%30.1%35.8%33.2%32.8%
Skew 25d3.3%-1.3%6.2%2.9%3.7%
Skew 10d5.1%-0.3%9.3%5.1%7.4%
Call IV 25d31.3%24.5%39.0%29.5%28.8%
Put IV 25d34.6%28.9%42.4%32.4%32.4%
Bid-Ask Spread %15.6810.3040.5013.5515.36
Gamma HHI0.130.100.200.120.10
Net GEX2.9M-3.4M6.4M5.0M300.2K
Net DEX-148.1M-303.4M-15.7M-303.4M-15.7M
Net VEX-2.5M-2.7M-2.4M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.053.191.000.38
Total Volume31,686.5715,797103,23412,80824,911
Total OI419,958.667370,364479,620371,051447,146

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$33.68$30.0031.0%9.1%26.3%39.0%33.2%2.9%-0.3%5.0M-303.4M-2.4M1.0013.55N/AN/A6,3956,413206,525164,526
2014-04-02$33.34$30.0031.6%9.4%25.3%41.5%31.6%3.4%-1.3%5.2M-278.5M-2.4M0.8516.55N/AN/A3,3832,863208,851164,578
2014-04-03$33.56$30.0031.6%9.2%25.4%41.5%33.7%4.4%-0.8%5.5M-299.7M-2.4M1.0912.98N/AN/A2,7753,022210,815165,838
2014-04-04$32.80$30.0032.2%9.2%26.2%44.2%30.6%6.2%0.6%3.1M-239.0M-2.4M0.6720.72N/AN/A9,2796,233212,019166,647
2014-04-07$31.17$30.0037.6%9.5%30.6%67.4%33.2%2.7%-2.4%907.4K-117.0M-2.4M0.3716.47N/AN/A35,72813,341205,212165,152
2014-04-08$30.42$30.0038.8%9.5%30.9%72.8%32.8%1.9%-1.9%1.3M-70.0M-2.4M0.3624.52N/AN/A37,62713,599219,413174,355
2014-04-09$31.27$30.0038.1%9.5%33.1%69.4%31.8%2.0%-2.3%2.4M-156.2M-2.5M0.4240.50N/AN/A16,8397,034233,492183,854
2014-04-10$30.04$30.0039.4%9.5%34.7%75.2%34.4%1.4%-1.3%3.1M-61.7M-2.5M0.8215.38N/AN/A12,61410,353245,745189,362
2014-04-11$30.14$30.0038.8%9.8%34.7%72.5%35.8%3.5%-2.1%3.3M-57.9M-2.6M0.6111.32N/AN/A22,76313,787250,157195,925
2014-04-14$29.77$30.0036.9%9.6%33.9%64.5%33.9%3.2%-0.5%3.7M-38.7M-2.5M0.7313.10N/AN/A10,3857,615246,893194,672
2014-04-15$30.20$30.0036.0%9.7%33.3%60.6%33.9%3.6%-0.3%4.3M-68.4M-2.6M0.7910.95N/AN/A8,0676,350250,137198,905
2014-04-16$30.94$30.0031.6%9.4%34.8%41.7%33.0%1.5%-0.4%3.1M-130.3M-2.6M3.1914.08N/AN/A15,72550,132246,313201,679
2014-04-17$31.34$30.0028.4%9.3%35.3%27.8%34.1%-1.3%-3.1%3.8M-115.2M-2.6M0.4512.32N/AN/A38,56917,164253,899225,721
2014-04-21$31.73$30.0027.2%9.2%35.7%22.2%34.2%4.0%-0.2%4.9M-187.5M-2.6M0.8912.98N/AN/A9,8798,837225,568192,605
2014-04-22$32.97$30.0025.7%9.2%37.7%15.9%33.0%5.3%0.4%5.8M-298.7M-2.6M0.5010.30N/AN/A19,6659,907229,848198,094
2014-04-23$32.51$30.0026.4%9.0%38.0%19.2%30.1%3.2%0.1%6.4M-263.6M-2.6M0.0510.94N/AN/A98,2684,966232,729201,816
2014-04-24$31.94$30.0027.5%9.3%37.0%23.8%30.2%4.0%0.6%2.3M-182.4M-2.7M0.2912.04N/AN/A20,9056,018216,071203,892
2014-04-25$31.02$30.0028.1%9.3%37.9%26.4%30.6%4.6%0.6%-3.4M-116.5M-2.7M0.3614.36N/AN/A20,3307,337223,652203,820
2014-04-28$29.97$30.0029.2%9.2%38.6%31.2%32.1%4.6%0.7%-432.1K-53.3M-2.6M0.1716.11N/AN/A26,5014,588222,505202,160
2014-04-29$29.99$30.0028.2%9.2%38.5%26.7%32.2%4.0%1.3%512.3K-56.6M-2.7M0.4914.77N/AN/A16,9448,307234,421204,120
2014-04-30$29.53$30.0029.1%9.5%38.0%30.7%32.8%3.7%0.2%300.2K-15.7M-2.6M0.3815.36N/AN/A18,0416,870236,857210,289