BX Options History — August 2014

In August 2014, BX traded between $32.42 and $33.71. ATM implied volatility averaged 23.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.8% (HV 20d: 24.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2014-08-15: Highest Volume — 28,064 contracts
  • 2014-08-18: Largest IV drop — 7.5% change
  • 2014-08-05: Highest IV Rank — 27.5%
  • 2014-08-06: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.00$32.42$33.71$32.42$33.53
Max Pain$34.52$34.00$35.00$35.00$35.00
ATM IV23.7%20.5%27.7%27.0%21.7%
Expected Move7.9%7.4%8.5%8.3%7.4%
HV 20d24.5%15.3%29.6%29.6%15.3%
HV 60d22.8%21.6%23.6%23.6%21.6%
IV Rank11.9%0.0%27.5%24.6%4.5%
IV Percentile14.1%0.0%46.0%34.5%4.0%
Term Structure0.1%-2.5%1.0%-0.2%1.0%
VWIV28.3%25.8%31.3%28.3%25.8%
Skew 25d2.6%0.7%4.1%2.5%3.6%
Skew 10d5.0%0.8%8.1%2.6%6.5%
Call IV 25d23.1%19.6%27.1%26.4%20.6%
Put IV 25d25.8%22.1%30.5%28.9%24.2%
Bid-Ask Spread %27.3720.7534.1032.8825.90
Gamma HHI0.110.090.130.090.13
Net GEX1.4M-1.8M9.0M-858.7K9.0M
Net DEX-158.7M-231.0M-82.5M-89.7M-218.8M
Net VEX-2.7M-2.8M-2.6M-2.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.243.950.640.75
Total Volume11,322.7144,12728,06411,8629,795
Total OI470,027.333449,722490,933456,105490,933

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$32.42$35.0027.0%8.3%29.6%24.6%28.3%2.5%-0.2%-858.7K-89.7M-2.7M0.6432.88N/AN/A7,2284,634215,878240,227
2014-08-04$32.81$35.0026.2%8.2%29.6%21.5%28.9%3.3%0.6%568.6K-133.8M-2.7M0.5924.64N/AN/A5,0022,969216,775242,652
2014-08-05$32.45$35.0027.7%8.4%29.3%27.5%31.3%2.0%0.3%460.8K-105.2M-2.8M0.6327.76N/AN/A7,6024,804219,962239,607
2014-08-06$32.62$35.0027.2%8.5%29.3%25.4%29.4%4.1%0.1%521.0K-120.6M-2.8M1.7929.12N/AN/A2,9835,348225,620242,286
2014-08-07$32.63$35.0027.5%8.3%28.6%26.6%30.0%0.7%-0.3%466.4K-115.9M-2.8M0.6828.46N/AN/A2,4511,676226,731245,357
2014-08-08$32.98$34.0026.5%8.3%28.8%22.5%29.2%3.7%0.4%1.2M-148.1M-2.8M0.7428.35N/AN/A4,7063,479227,835242,721
2014-08-11$33.71$34.0026.5%8.2%29.2%22.7%28.5%2.1%-2.5%1.8M-231.0M-2.7M0.6027.53N/AN/A9,1005,498226,554241,733
2014-08-12$33.22$34.0025.7%8.3%29.1%19.4%29.0%2.3%-0.8%2.0M-190.9M-2.8M0.3424.74N/AN/A4,2241,455231,634241,663
2014-08-13$33.42$34.0024.6%8.2%28.4%14.7%30.7%1.7%0.3%1.8M-206.2M-2.7M0.2425.69N/AN/A5,9671,419232,345242,044
2014-08-14$33.54$34.0023.6%8.0%28.4%10.7%28.1%3.1%-1.0%2.0M-218.5M-2.7M0.2423.63N/AN/A8,7132,056231,228240,999
2014-08-15$33.21$34.0022.9%8.1%22.9%7.8%28.3%2.5%-0.8%3.8M-186.6M-2.7M1.5629.80N/AN/A10,97417,090233,310240,979
2014-08-18$33.04$34.0021.2%7.8%22.9%0.7%27.5%1.9%0.8%2.0M-178.0M-2.6M0.4427.58N/AN/A5,8522,567216,283233,439
2014-08-19$33.00$34.0020.5%7.7%22.9%0.0%28.1%2.4%0.8%2.3M-175.4M-2.6M0.5523.88N/AN/A4,4012,429216,945234,544
2014-08-20$32.88$34.0020.9%7.7%22.0%1.6%27.4%2.1%0.8%1.6M-154.6M-2.6M3.9534.07N/AN/A2,80311,067217,867236,119
2014-08-21$32.75$34.0021.4%7.5%20.1%3.3%26.2%2.8%0.4%77.6K-138.6M-2.6M2.9028.22N/AN/A3,87111,207218,473245,853
2014-08-22$32.42$35.0020.9%7.6%19.8%1.6%27.1%2.4%0.5%-1.8M-82.5M-2.7M0.5926.67N/AN/A8,2514,888220,705256,385
2014-08-25$32.98$35.0021.3%7.5%21.0%2.9%28.1%4.0%0.8%-1.5M-128.5M-2.7M0.5534.10N/AN/A7,1953,976220,329257,356
2014-08-26$33.10$35.0021.2%7.4%21.1%2.6%26.5%2.0%1.0%-147.1K-162.9M-2.7M0.3627.21N/AN/A7,6382,714224,242257,991
2014-08-27$33.05$35.0021.7%7.5%21.1%4.5%27.6%2.4%0.9%-351.7K-150.2M-2.7M3.5120.75N/AN/A4,52215,894226,329259,636
2014-08-28$33.34$35.0021.6%7.6%15.6%4.4%27.2%3.7%-0.3%4.2M-196.8M-2.7M0.4123.83N/AN/A6,6122,717227,713261,292
2014-08-29$33.53$35.0021.7%7.4%15.3%4.5%25.8%3.6%1.0%9.0M-218.8M-2.7M0.7525.90N/AN/A5,6134,182229,109261,824