BX Options History — July 2014 In July 2014, BX traded between $32.26 and $36.02. ATM implied volatility averaged 25.7%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.8% (HV 20d: 20.9%). Max pain ranged from $30.00 to $39.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2014-07-23 : Highest Volume — 251,052 contracts2014-07-31 : Largest IV spike — 11.4% change2014-07-10 : Highest IV Rank — 32.6%2014-07-08 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $33.93 $32.26 $36.02 $33.58 $32.68 Max Pain $32.76 $30.00 $39.00 $30.00 $37.00 ATM IV 25.7% 21.1% 29.6% 27.8% 26.2% Expected Move 7.9% 7.1% 8.6% 8.0% 7.6% HV 20d 20.9% 14.7% 29.6% 20.6% 29.6% HV 60d 23.5% 21.3% 27.8% 27.8% 23.8% IV Rank 17.2% 0.0% 32.6% 25.2% 21.3% IV Percentile 26.5% 0.0% 69.0% 45.2% 25.0% Term Structure -0.5% -2.5% 1.4% -0.7% -0.6% VWIV 28.7% 24.8% 31.6% 30.5% 28.0% Skew 25d 2.9% 1.3% 5.1% 5.1% 2.1% Skew 10d 5.5% 0.5% 19.4% 7.9% 0.5% Call IV 25d 24.6% 20.2% 29.1% 25.1% 25.5% Put IV 25d 27.5% 22.7% 32.1% 30.2% 27.6% Bid-Ask Spread % 24.78 15.30 30.88 24.72 29.29 Gamma HHI 0.13 0.10 0.18 0.12 0.10 Net GEX 9.4M -280.9K 21.8M 11.7M -280.9K Net DEX -359.5M -620.6M -120.6M -388.2M -120.6M Net VEX -2.7M -2.9M -2.4M -2.9M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.03 1.53 0.97 0.79 Total Volume 28,620.545 4,810 251,052 15,145 12,693 Total OI 473,485.636 432,404 518,198 468,248 448,576
Daily Data (22 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 2014-07-01 $33.58 $30.00 27.8% 8.0% 20.6% 25.2% 30.5% 5.1% -0.7% 11.7M -388.2M -2.9M 0.97 24.72 N/A N/A 7,698 7,447 256,891 211,357 2014-07-02 $33.84 $30.00 27.1% 7.8% 19.3% 22.1% 28.4% 2.7% -1.0% 13.0M -412.7M -2.8M 0.35 24.34 N/A N/A 15,832 5,508 258,173 212,556 2014-07-03 $33.79 $30.00 26.5% 8.0% 17.8% 19.5% 28.4% 3.5% -1.0% 11.1M -405.0M -2.7M 1.03 21.18 N/A N/A 3,981 4,082 257,017 215,341 2014-07-07 $33.28 $30.00 27.6% 8.4% 14.7% 24.3% 30.1% 3.5% -1.0% 10.0M -350.1M -2.7M 0.92 19.97 N/A N/A 5,218 4,788 255,740 215,744 2014-07-08 $32.73 $30.00 29.5% 8.6% 15.5% 32.3% 29.8% 3.9% -2.5% 8.1M -293.1M -2.8M 0.17 24.08 N/A N/A 20,380 3,461 258,224 219,031 2014-07-09 $32.85 $30.00 29.3% 8.5% 15.5% 31.5% 31.6% 3.7% -2.0% 9.6M -308.5M -2.9M 0.85 27.77 N/A N/A 2,594 2,216 265,821 220,458 2014-07-10 $32.26 $30.00 29.6% 8.5% 16.1% 32.6% 30.4% 3.1% -1.6% 8.4M -236.3M -2.9M 1.53 29.11 N/A N/A 5,727 8,765 266,589 221,325 2014-07-11 $32.27 $30.00 28.8% 8.3% 15.8% 29.3% 30.7% 2.5% -0.8% 8.9M -238.6M -2.9M 0.50 23.37 N/A N/A 3,435 1,715 268,174 227,041 2014-07-14 $32.80 $30.00 28.1% 8.4% 16.9% 26.2% 30.6% 4.0% 0.1% 10.8M -304.2M -2.8M 0.28 22.00 N/A N/A 11,102 3,070 264,950 222,512 2014-07-15 $33.40 $30.00 26.8% 8.4% 17.9% 20.8% 30.8% 3.5% -0.6% 12.9M -382.6M -2.8M 0.83 19.42 N/A N/A 12,420 10,342 269,407 224,209 2014-07-16 $33.98 $30.00 26.7% 8.2% 18.7% 20.1% 29.0% 3.9% -0.2% 14.7M -470.2M -2.7M 0.23 21.24 N/A N/A 37,182 8,694 277,371 230,205 2014-07-17 $34.14 $30.00 24.9% 8.1% 18.4% 12.4% 29.1% 2.1% -0.0% 21.8M -499.0M -2.6M 0.33 18.93 N/A N/A 38,369 12,491 283,626 231,845 2014-07-18 $35.70 $30.00 22.8% 8.1% 24.1% 3.5% 28.4% 4.0% 1.4% 14.1M -620.6M -2.4M 0.50 15.30 N/A N/A 23,276 11,631 280,640 237,558 2014-07-21 $35.62 $0.00 23.4% 7.1% 23.9% 6.2% 26.8% 4.5% -0.3% 10.9M -509.7M -2.4M 0.31 26.24 N/A N/A 20,184 6,293 244,663 218,227 2014-07-22 $35.57 $35.00 22.2% 7.3% 23.9% 0.9% 24.8% 1.5% 0.2% 12.0M -509.8M -2.4M 0.94 29.31 N/A N/A 7,657 7,210 252,695 221,459 2014-07-23 $36.02 $38.00 21.1% 7.2% 22.5% 0.0% 26.2% 2.5% 0.4% 14.1M -560.5M -2.5M 0.03 30.88 N/A N/A 243,766 7,286 255,209 227,458 2014-07-24 $35.01 $38.00 22.9% 7.5% 25.4% 7.5% 28.1% 1.3% 0.3% 4.5M -313.1M -2.5M 1.26 30.34 N/A N/A 9,138 11,472 202,418 229,986 2014-07-25 $34.47 $35.00 22.9% 7.6% 25.9% 7.7% 25.6% 2.0% 0.3% 433.0K -264.5M -2.5M 1.15 24.79 N/A N/A 4,630 5,319 205,616 237,463 2014-07-28 $34.34 $38.00 24.4% 7.5% 25.8% 13.8% 27.7% 1.3% -0.1% 3.3M -250.7M -2.6M 0.90 27.14 N/A N/A 4,346 3,919 207,120 229,798 2014-07-29 $34.19 $39.00 23.8% 7.6% 25.9% 11.3% 26.5% 1.7% -0.1% 3.1M -247.2M -2.6M 0.69 27.27 N/A N/A 3,861 2,681 208,495 231,808 2014-07-30 $34.02 $38.00 23.5% 7.7% 26.0% 10.2% 29.5% 1.4% -0.2% 2.5M -224.3M -2.6M 1.09 28.54 N/A N/A 3,714 4,059 210,394 233,494 2014-07-31 $32.68 $37.00 26.2% 7.6% 29.6% 21.3% 28.0% 2.1% -0.6% -280.9K -120.6M -2.7M 0.79 29.29 N/A N/A 7,074 5,619 211,959 236,617
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