BX Options History — September 2014

In September 2014, BX traded between $31.48 and $33.47. ATM implied volatility averaged 24.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 11.0% (HV 20d: 13.8%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-09-24: Highest Volume — 39,159 contracts
  • 2014-09-22: Largest IV spike — 9.9% change
  • 2014-09-30: Highest IV Rank — 34.5%
  • 2014-09-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.49$31.48$33.47$33.47$31.48
Max Pain$34.76$34.00$35.00$35.00$35.00
ATM IV24.8%21.9%29.0%22.3%29.0%
Expected Move7.4%7.1%7.6%7.6%7.6%
HV 20d13.8%11.6%15.3%14.9%15.0%
HV 60d20.6%20.4%20.9%20.6%20.8%
IV Rank17.3%5.3%34.5%7.2%34.5%
IV Percentile24.4%4.4%67.9%5.2%67.9%
Term Structure0.4%-4.7%3.0%-0.2%-1.5%
VWIV26.4%25.2%27.6%25.4%25.9%
Skew 25d3.2%1.9%5.2%3.0%4.0%
Skew 10d5.1%0.6%8.4%4.6%5.0%
Call IV 25d23.5%20.7%26.8%21.3%26.5%
Put IV 25d26.7%23.2%31.7%24.3%30.5%
Bid-Ask Spread %15.0710.2427.1023.7310.60
Gamma HHI0.100.080.130.130.10
Net GEX-807.7K-5.2M4.2M4.2M367.6K
Net DEX-73.2M-209.8M20.4M-209.8M15.8M
Net VEX-2.7M-2.9M-2.6M-2.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.333.581.053.01
Total Volume14,963.4296,99139,15911,43622,846
Total OI508,772.286470,573543,235483,681512,936

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$33.47$35.0022.3%7.6%14.9%7.2%25.4%3.0%-0.2%4.2M-209.8M-2.6M1.0523.73N/AN/A5,5735,863226,079257,602
2014-09-03$33.39$35.0022.4%7.6%14.2%7.6%27.6%2.0%-0.3%3.7M-197.3M-2.6M0.3321.92N/AN/A5,4421,811228,955258,609
2014-09-04$32.91$35.0022.4%7.5%15.2%7.7%26.7%2.2%-1.4%969.6K-134.8M-2.6M1.7827.10N/AN/A4,7738,487229,647259,731
2014-09-05$33.08$35.0021.9%7.5%15.3%5.3%26.6%2.5%0.7%1.2M-145.7M-2.7M1.0816.70N/AN/A6,4686,994231,866266,314
2014-09-08$32.75$35.0023.3%7.5%15.3%11.2%26.3%1.9%1.4%437.3K-110.5M-2.7M2.1814.75N/AN/A3,8898,468229,261268,015
2014-09-09$32.50$35.0023.2%7.6%13.0%10.8%26.4%2.5%2.4%-1.2M-74.3M-2.7M3.5811.74N/AN/A2,5929,278231,009275,375
2014-09-10$32.51$35.0023.1%7.4%12.1%10.5%26.8%2.4%1.7%-2.4M-54.9M-2.8M1.0612.52N/AN/A3,4913,701231,641282,503
2014-09-11$32.57$35.0023.1%7.3%11.9%10.6%26.6%2.7%1.3%-2.8M-61.1M-2.8M1.9012.66N/AN/A5,35810,196232,174284,738
2014-09-12$32.37$35.0023.5%7.5%11.8%12.0%27.4%2.6%2.3%-4.0M-31.3M-2.8M1.6610.24N/AN/A4,6257,696234,873289,701
2014-09-15$32.16$35.0025.3%7.5%11.6%19.3%27.4%3.0%2.7%-5.2M-12.0M-2.8M0.6014.25N/AN/A4,3762,615233,136292,126
2014-09-16$32.50$35.0025.4%7.5%12.3%19.7%27.3%3.4%2.5%-4.0M-51.6M-2.7M0.7511.77N/AN/A9,5867,219234,990292,825
2014-09-17$32.73$35.0023.7%7.3%12.6%12.9%25.7%3.7%3.0%-2.3M-82.9M-2.7M0.4020.13N/AN/A9,7893,928238,249296,470
2014-09-18$33.15$35.0023.2%7.3%13.3%10.9%25.9%3.1%2.3%1.2M-140.9M-2.7M0.5814.91N/AN/A9,6735,620239,846296,191
2014-09-19$33.17$35.0023.4%7.1%13.2%11.5%25.2%2.6%2.8%1.4M-142.7M-2.7M1.2415.78N/AN/A10,22212,721243,387299,848
2014-09-22$32.56$35.0025.7%7.2%14.4%20.9%25.4%3.4%-1.1%-2.1M-70.7M-2.7M1.3613.73N/AN/A9,89913,444207,170263,403
2014-09-23$31.95$34.0027.3%7.3%14.5%27.3%26.8%3.9%-1.6%-2.1M-5.7M-2.7M0.8711.65N/AN/A8,7197,627213,598270,596
2014-09-24$31.65$34.0027.9%7.4%14.6%29.9%26.0%5.2%0.1%-2.0M20.4M-2.7M0.8813.10N/AN/A20,82918,330217,677274,826
2014-09-25$31.62$34.0028.6%7.4%14.6%32.9%26.1%4.9%-3.0%-913.6K16.4M-2.9M0.7315.66N/AN/A6,6414,870229,310284,416
2014-09-26$32.00$34.0027.5%7.4%15.0%28.1%26.5%3.1%-1.2%-2.0M-37.1M-2.9M0.6411.84N/AN/A6,7534,295231,678284,020
2014-09-29$31.83$34.0028.7%7.5%14.7%33.0%26.3%4.6%-4.7%641.9K-25.9M-2.8M0.7411.67N/AN/A5,4824,043228,889280,538
2014-09-30$31.48$35.0029.0%7.6%15.0%34.5%25.9%4.0%-1.5%367.6K15.8M-2.8M3.0110.60N/AN/A5,70417,142229,719283,217