BX Options History — October 2014

In October 2014, BX traded between $28.89 and $31.20. ATM implied volatility averaged 28.9%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.3% (HV 20d: 23.6%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2014-10-15: Highest Volume — 80,098 contracts
2014-10-15: Largest IV spike — 35.6% change
2014-10-15: Highest IV Rank — 98.7%
2014-10-15: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.11	$28.89	$31.20	$30.67	$30.16
Max Pain	$34.48	$33.00	$35.00	$35.00	$33.00
ATM IV	28.9%	23.9%	42.1%	30.8%	24.1%
Expected Move	8.0%	7.5%	9.6%	7.8%	7.5%
HV 20d	23.6%	16.7%	30.5%	17.1%	29.2%
HV 60d	20.8%	18.7%	22.0%	21.2%	21.7%
IV Rank	36.9%	15.5%	98.7%	41.6%	16.5%
IV Percentile	55.6%	14.3%	99.6%	79.4%	14.7%
Term Structure	-0.6%	-2.7%	0.6%	-1.5%	0.6%
VWIV	29.3%	26.1%	33.7%	27.7%	26.1%
Skew 25d	3.8%	-0.1%	5.9%	3.3%	4.4%
Skew 10d	6.9%	-3.2%	14.8%	2.3%	8.7%
Call IV 25d	27.4%	22.4%	37.1%	28.6%	22.4%
Put IV 25d	31.2%	26.8%	39.8%	31.9%	26.8%
Bid-Ask Spread %	14.30	9.30	34.50	11.94	9.94
Gamma HHI	0.10	0.08	0.14	0.09	0.11
Net GEX	-838.8K	-2.7M	2.2M	-1.2M	-406.3K
Net DEX	107.2M	-24.3M	262.5M	101.8M	55.3M
Net VEX	-2.7M	-2.9M	-2.5M	-2.8M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.26	2.33	0.26	1.18
Total Volume	30,060.174	7,835	80,098	17,184	25,248
Total OI	555,236.391	519,848	594,225	519,848	574,517

Daily Data (23 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
2014-10-01	$30.67	$35.00	30.8%	7.8%	17.1%	41.6%	27.7%	3.3%	-1.5%	-1.2M	101.8M	-2.8M	0.26	11.94	N/A	N/A	13,653	3,531	232,616	287,232
2014-10-02	$30.52	$35.00	30.2%	7.9%	16.7%	39.4%	27.5%	2.8%	-0.9%	-1.3M	115.8M	-2.8M	0.52	13.48	N/A	N/A	15,742	8,201	234,447	288,771
2014-10-03	$31.20	$35.00	29.0%	7.8%	18.8%	34.3%	28.5%	3.3%	-0.7%	-237.7K	33.0M	-2.8M	0.52	11.67	N/A	N/A	9,279	4,841	241,996	292,181
2014-10-06	$31.11	$35.00	28.7%	7.8%	18.6%	33.4%	27.7%	3.4%	-0.9%	-11.6K	46.6M	-2.8M	0.30	9.30	N/A	N/A	8,937	2,672	239,549	290,821
2014-10-07	$30.49	$35.00	29.9%	7.9%	19.6%	38.0%	30.0%	3.3%	-0.1%	-1.0M	107.2M	-2.7M	2.33	11.19	N/A	N/A	2,352	5,483	237,740	292,033
2014-10-08	$30.42	$35.00	29.7%	8.1%	19.5%	37.4%	30.1%	2.9%	-0.8%	-1.4M	123.0M	-2.7M	0.95	10.60	N/A	N/A	15,729	14,894	238,497	294,405
2014-10-09	$29.78	$35.00	31.0%	8.2%	20.4%	42.4%	29.4%	4.0%	-0.9%	-1.8M	181.2M	-2.7M	1.27	13.86	N/A	N/A	10,305	13,062	243,773	298,887
2014-10-10	$30.05	$35.00	31.6%	8.3%	21.0%	50.5%	29.2%	5.5%	-1.7%	-1.7M	157.8M	-2.7M	1.00	16.09	N/A	N/A	8,295	8,254	244,447	301,773
2014-10-13	$29.35	$35.00	32.0%	8.5%	22.1%	52.5%	29.7%	1.6%	-0.5%	-2.6M	229.4M	-2.6M	0.61	19.21	N/A	N/A	11,921	7,320	240,582	299,596
2014-10-14	$29.41	$35.00	31.0%	8.2%	21.5%	48.0%	29.3%	2.9%	-0.8%	-2.4M	220.4M	-2.5M	0.85	14.03	N/A	N/A	9,031	7,673	241,105	300,139
2014-10-15	$28.99	$35.00	42.1%	9.6%	21.3%	98.7%	33.7%	-0.1%	-1.0%	-2.7M	262.5M	-2.5M	0.91	34.50	N/A	N/A	41,901	38,197	243,268	303,220
2014-10-16	$28.89	$35.00	35.8%	9.0%	20.1%	69.7%	32.3%	5.1%	-2.7%	-1.2M	217.5M	-2.7M	0.67	12.22	N/A	N/A	24,919	16,755	268,619	311,181
2014-10-17	$29.30	$35.00	29.7%	8.2%	21.3%	41.8%	29.0%	5.9%	-2.0%	-1.6M	178.1M	-2.7M	0.53	15.18	N/A	N/A	29,005	15,421	276,469	317,756
2014-10-20	$29.41	$35.00	28.0%	8.2%	21.1%	34.0%	28.0%	4.6%	-0.3%	-1.3M	142.3M	-2.7M	0.72	10.59	N/A	N/A	16,700	12,004	256,284	304,838
2014-10-21	$30.79	$35.00	24.4%	7.6%	27.1%	17.6%	26.2%	5.1%	-0.2%	1.3M	6.5M	-2.8M	0.79	13.07	N/A	N/A	21,750	17,204	258,537	306,782
2014-10-22	$30.82	$35.00	24.6%	7.6%	27.0%	18.6%	30.6%	3.1%	-0.0%	2.2M	-24.3M	-2.8M	0.37	12.17	N/A	N/A	57,653	21,161	264,852	310,362
2014-10-23	$29.87	$34.00	26.9%	8.0%	29.0%	29.0%	29.9%	4.0%	-0.1%	-1.2M	92.7M	-2.8M	1.45	26.27	N/A	N/A	18,628	27,022	259,460	317,391
2014-10-24	$30.65	$34.00	24.8%	7.6%	30.3%	19.5%	30.6%	4.7%	-0.1%	931.3K	11.5M	-2.9M	1.14	14.29	N/A	N/A	17,902	20,464	259,972	322,225
2014-10-27	$30.32	$33.00	25.7%	7.9%	30.5%	23.7%	31.5%	4.4%	-0.0%	-94.3K	33.2M	-2.9M	1.13	15.53	N/A	N/A	9,289	10,450	253,449	311,845
2014-10-28	$30.55	$33.00	23.9%	7.6%	30.5%	15.5%	29.7%	4.4%	0.4%	517.4K	4.7M	-2.9M	0.95	12.36	N/A	N/A	10,519	10,023	254,864	312,022
2014-10-29	$30.03	$33.00	25.3%	7.8%	29.7%	21.5%	28.8%	5.0%	0.4%	-383.6K	63.8M	-2.8M	0.78	10.27	N/A	N/A	14,981	11,688	256,747	313,037
2014-10-30	$29.73	$33.00	25.9%	7.7%	29.8%	24.3%	27.8%	4.1%	0.3%	-1.6M	104.6M	-2.8M	1.28	11.22	N/A	N/A	9,357	11,968	256,311	315,839
2014-10-31	$30.16	$33.00	24.1%	7.5%	29.2%	16.5%	26.1%	4.4%	0.6%	-406.3K	55.3M	-2.8M	1.18	9.94	N/A	N/A	11,572	13,676	258,416	316,101