BX Options History — June 2014

In June 2014, BX traded between $31.21 and $33.94. ATM implied volatility averaged 25.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.9% (HV 20d: 20.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-06-06: Highest Volume — 44,340 contracts
  • 2014-06-23: Largest IV spike — 9.2% change
  • 2014-06-25: Highest IV Rank — 32.3%
  • 2014-06-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.06$31.21$33.94$31.21$33.44
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.8%23.0%29.5%25.4%28.3%
Expected Move8.3%8.0%8.6%8.6%8.6%
HV 20d20.9%18.8%22.5%21.1%20.7%
HV 60d29.0%28.2%30.3%29.2%28.2%
IV Rank16.3%4.4%32.3%14.8%27.0%
IV Percentile21.6%2.0%63.9%9.1%52.4%
Term Structure0.4%-1.5%2.3%0.2%-0.5%
VWIV29.4%27.7%31.7%30.4%29.3%
Skew 25d2.5%1.3%4.5%2.4%3.3%
Skew 10d5.8%1.9%9.7%4.8%7.5%
Call IV 25d24.8%22.6%27.0%24.4%25.9%
Put IV 25d27.3%25.3%31.3%26.8%29.2%
Bid-Ask Spread %15.4212.3722.5514.5022.29
Gamma HHI0.130.110.170.140.12
Net GEX12.6M8.6M17.5M12.9M11.0M
Net DEX-423.4M-575.4M-264.8M-264.8M-371.8M
Net VEX-2.9M-3.1M-2.8M-3.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.181.730.491.73
Total Volume16,362.2866,93344,34011,8329,810
Total OI503,872.571434,957542,399498,885462,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$31.21$30.0025.4%8.6%21.1%14.8%30.4%2.4%0.2%12.9M-264.8M-3.0M0.4914.50N/AN/A7,9533,879285,113213,772
2014-06-03$31.22$30.0025.4%8.4%21.0%14.6%29.7%2.5%-0.0%13.4M-268.7M-3.0M0.2314.91N/AN/A14,1583,293288,808215,660
2014-06-04$31.97$30.0024.9%8.6%21.2%12.3%30.9%2.1%0.2%17.5M-376.1M-3.1M0.5814.51N/AN/A12,0346,979295,988217,367
2014-06-05$32.71$30.0024.2%8.4%20.6%9.3%29.1%2.2%-0.2%17.5M-463.5M-3.0M0.1814.66N/AN/A24,9244,601299,302219,336
2014-06-06$33.78$30.0023.0%8.1%22.5%4.4%28.8%3.5%-0.4%13.4M-575.4M-3.0M0.4615.52N/AN/A30,28614,054304,294220,898
2014-06-09$33.50$30.0023.7%8.4%22.1%7.2%27.9%1.5%1.3%14.1M-520.6M-3.0M0.6212.37N/AN/A18,48511,457294,685218,409
2014-06-10$33.64$30.0023.6%8.1%21.3%7.0%28.4%2.5%1.3%13.9M-531.8M-2.9M1.3116.63N/AN/A8,54911,160297,194227,842
2014-06-11$33.94$30.0023.8%8.1%21.3%7.9%27.7%3.0%1.2%14.4M-552.8M-3.0M0.6813.11N/AN/A6,9464,729301,522235,166
2014-06-12$33.54$30.0024.3%8.2%22.4%9.8%30.6%2.4%0.4%14.1M-517.1M-3.0M0.5113.03N/AN/A10,7025,458302,799236,669
2014-06-13$33.28$30.0024.6%8.5%21.1%11.0%31.7%2.7%0.7%11.0M-484.3M-3.0M0.5613.85N/AN/A5,9673,368302,959239,440
2014-06-16$33.00$30.0025.4%8.4%21.8%14.7%29.9%1.3%2.0%10.6M-412.5M-2.9M0.2813.84N/AN/A9,4382,670285,753234,043
2014-06-17$33.23$30.0025.3%8.4%21.2%14.2%30.4%1.3%2.3%11.6M-441.0M-2.9M0.5114.55N/AN/A4,6282,352287,922234,885
2014-06-18$33.60$30.0025.6%8.1%21.3%15.5%29.8%2.1%1.7%13.6M-483.9M-2.9M0.2012.66N/AN/A14,0892,802289,342235,739
2014-06-19$33.62$30.0025.2%8.0%18.8%13.8%28.0%1.3%1.7%15.3M-497.2M-2.8M0.5313.24N/AN/A6,1163,222290,283234,421
2014-06-20$33.39$30.0025.1%8.3%19.1%13.3%28.4%1.6%1.5%12.1M-458.1M-2.9M0.2516.00N/AN/A10,3182,584289,092234,216
2014-06-23$33.30$30.0027.4%8.2%19.1%23.3%29.7%2.9%-1.5%9.2M-346.2M-2.8M0.3817.25N/AN/A12,5354,746236,387198,570
2014-06-24$32.67$30.0028.9%8.3%20.4%29.9%29.4%3.0%-1.4%8.6M-294.3M-2.9M0.5114.99N/AN/A16,0238,122245,867202,231
2014-06-25$32.68$30.0029.5%8.4%20.4%32.3%28.7%2.9%-0.8%9.2M-301.1M-2.9M0.7516.20N/AN/A3,9652,968255,801208,422
2014-06-26$33.18$30.0029.2%8.3%20.8%31.0%29.1%4.5%-1.1%10.1M-353.6M-2.8M0.4417.17N/AN/A5,5722,433257,060210,029
2014-06-27$33.46$30.0028.8%8.3%20.6%29.3%30.1%4.0%-1.3%11.7M-376.3M-3.0M0.4022.55N/AN/A7,3122,921259,448211,866
2014-06-30$33.44$30.0028.3%8.6%20.7%27.0%29.3%3.3%-0.5%11.0M-371.8M-2.9M1.7322.29N/AN/A3,5876,223254,620208,104