BX Options History — May 2014

In May 2014, BX traded between $28.52 and $31.26. ATM implied volatility averaged 26.8%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.0% (HV 20d: 28.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-05-07: Highest Volume — 47,231 contracts
  • 2014-05-13: Largest IV drop — 7.3% change
  • 2014-05-07: Highest IV Rank — 35.9%
  • 2014-05-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.88$28.52$31.26$29.42$31.08
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.8%24.5%30.3%27.9%25.3%
Expected Move9.0%8.5%9.5%9.4%8.5%
HV 20d28.8%21.0%38.0%38.0%21.1%
HV 60d29.8%29.1%30.5%29.2%29.1%
IV Rank20.8%10.7%35.9%25.5%14.1%
IV Percentile23.8%4.8%60.3%36.5%7.9%
Term Structure0.5%-0.9%1.7%1.2%0.6%
VWIV31.4%24.2%34.1%32.8%33.3%
Skew 25d2.7%1.2%4.4%3.5%2.1%
Skew 10d4.8%2.3%6.8%3.7%4.4%
Call IV 25d26.1%23.3%29.8%27.4%24.7%
Put IV 25d28.8%25.9%33.2%30.9%26.7%
Bid-Ask Spread %15.6411.8119.4114.5411.81
Gamma HHI0.130.110.160.110.14
Net GEX6.3M-52.0K13.0M590.3K13.0M
Net DEX-117.7M-308.0M35.4M-14.2M-264.6M
Net VEX-2.8M-3.0M-2.6M-2.6M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.192.660.630.88
Total Volume18,758.196,09947,23133,58920,919
Total OI482,904.333455,627511,582455,627495,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$29.42$30.0027.9%9.4%38.0%25.5%32.8%3.5%1.2%590.3K-14.2M-2.6M0.6314.54N/AN/A20,63312,956242,504213,123
2014-05-02$29.57$30.0026.9%9.3%37.9%20.9%30.8%3.6%0.7%-52.0K-32.0M-2.7M0.4214.10N/AN/A10,6174,468249,308216,811
2014-05-05$29.48$30.0027.7%9.5%37.4%24.7%32.6%3.2%1.6%2.4M-39.5M-2.7M0.5114.17N/AN/A10,8195,570247,513210,821
2014-05-06$29.07$30.0028.5%9.4%33.6%28.0%33.8%3.0%0.2%3.0M-2.6M-2.6M0.8412.72N/AN/A8,8377,392255,757214,836
2014-05-07$28.60$30.0030.3%9.3%33.0%35.9%32.8%3.4%1.1%2.9M31.2M-2.7M0.4315.08N/AN/A32,99914,232258,993220,352
2014-05-08$28.86$30.0028.9%9.3%31.4%30.0%34.1%3.2%0.5%3.7M3.4M-2.8M0.9817.16N/AN/A8,7608,553267,571228,576
2014-05-09$28.52$30.0028.1%9.1%28.5%26.2%32.0%4.4%0.1%3.0M35.4M-2.8M2.6616.81N/AN/A4,11210,926271,938232,708
2014-05-12$29.22$30.0028.0%9.0%30.0%25.7%31.6%3.7%0.1%3.8M-22.8M-2.8M0.3113.81N/AN/A11,7933,710262,059230,886
2014-05-13$29.45$30.0025.9%9.3%29.9%16.8%30.4%3.3%1.7%5.2M-59.8M-2.8M0.2916.18N/AN/A22,2226,487268,129231,982
2014-05-14$29.61$30.0027.2%9.0%29.5%22.2%32.0%1.8%-0.0%6.1M-68.2M-2.9M0.3615.69N/AN/A4,4871,612279,444232,138
2014-05-15$29.07$30.0028.1%9.1%28.5%26.2%31.7%1.5%-0.6%4.2M-13.4M-2.8M0.5516.84N/AN/A8,5334,705270,649230,403
2014-05-16$29.20$30.0027.3%9.1%28.1%22.8%32.0%1.2%-0.9%4.1M-32.1M-2.9M0.8117.21N/AN/A7,6016,146275,166232,104
2014-05-19$29.77$30.0025.6%8.7%28.7%15.5%30.4%1.9%0.9%7.6M-150.6M-2.8M0.7215.68N/AN/A8,7596,277260,840197,070
2014-05-20$30.01$30.0025.6%8.7%24.6%15.3%31.3%1.9%1.0%8.6M-176.8M-2.9M0.5018.39N/AN/A8,0294,024265,462201,823
2014-05-21$31.00$30.0025.0%8.7%27.6%12.8%31.3%2.1%0.9%9.5M-272.3M-2.9M0.2516.62N/AN/A19,6754,955267,746204,532
2014-05-22$31.26$30.0025.5%8.5%27.2%15.1%24.2%2.6%0.1%10.4M-308.0M-2.9M0.6619.41N/AN/A9,8756,505276,809206,087
2014-05-23$31.18$30.0024.5%8.5%25.1%10.7%30.8%3.0%0.8%10.1M-298.7M-3.0M0.6018.01N/AN/A5,4723,278279,367207,680
2014-05-27$30.95$30.0025.9%8.6%21.8%16.9%29.7%2.5%-0.3%10.0M-255.9M-2.9M0.1914.81N/AN/A27,0455,156271,682200,719
2014-05-28$30.96$30.0025.6%8.7%21.8%15.4%30.5%2.3%-0.0%11.7M-250.5M-2.9M1.1014.05N/AN/A3,5823,923277,257201,524
2014-05-29$31.25$30.0025.6%8.5%21.0%15.4%31.6%2.4%0.6%13.0M-280.0M-2.9M0.8915.41N/AN/A9,6928,586278,741204,345
2014-05-30$31.08$30.0025.3%8.5%21.1%14.1%33.3%2.1%0.6%13.0M-264.6M-3.0M0.8811.81N/AN/A11,1199,800284,539210,997