BX Options History — November 2014

In November 2014, BX traded between $30.28 and $33.52. ATM implied volatility averaged 21.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.8% (HV 20d: 23.4%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-11-10: Highest Volume — 38,258 contracts
  • 2014-11-28: Largest IV spike — 5.5% change
  • 2014-11-05: Highest IV Rank — 19.0%
  • 2014-11-05: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.02$30.28$33.52$30.29$33.52
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV21.6%19.2%24.7%24.5%20.3%
Expected Move7.0%6.4%7.6%7.6%6.4%
HV 20d23.4%12.9%29.2%29.2%12.9%
HV 60d21.7%20.8%22.0%21.5%21.8%
IV Rank6.2%0.0%19.0%18.0%4.8%
IV Percentile5.5%0.0%19.0%16.7%1.6%
Term Structure0.2%-0.6%1.3%-0.0%-0.4%
VWIV25.3%22.7%27.5%25.8%24.6%
Skew 25d3.5%2.3%4.2%3.7%2.3%
Skew 10d7.6%5.8%11.2%7.6%5.8%
Call IV 25d20.5%18.0%23.5%23.5%19.1%
Put IV 25d24.0%21.4%27.4%27.2%21.4%
Bid-Ask Spread %15.208.9427.0911.8520.76
Gamma HHI0.130.100.150.110.14
Net GEX4.4M320.3K6.9M320.3K6.9M
Net DEX-164.2M-304.2M36.3M33.1M-301.0M
Net VEX-2.6M-2.8M-2.3M-2.8M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.381.500.950.56
Total Volume18,342.8425,33438,25824,6415,334
Total OI567,443.895537,844579,492569,068544,881

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$30.29$33.0024.5%7.6%29.2%18.0%25.8%3.7%-0.0%320.3K33.1M-2.8M0.9511.85N/AN/A12,64711,994254,603314,465
2014-11-04$30.37$33.0024.3%7.5%28.4%17.2%26.2%4.2%0.5%1.4M23.6M-2.8M0.8113.14N/AN/A12,93010,512260,061315,597
2014-11-05$30.34$33.0024.7%7.6%28.4%19.0%26.7%3.9%0.3%1.2M31.5M-2.8M1.4812.77N/AN/A6,3859,429260,101316,937
2014-11-06$30.28$33.0024.3%7.6%27.3%17.1%26.8%4.2%0.3%1.3M36.3M-2.7M1.499.66N/AN/A5,6058,326260,900317,720
2014-11-07$31.16$33.0023.0%7.3%28.9%11.3%26.7%3.4%0.1%2.5M-86.2M-2.7M0.838.94N/AN/A12,37910,325261,428318,064
2014-11-10$31.68$33.0021.8%6.8%27.7%5.7%24.0%3.4%-0.5%4.7M-149.9M-2.6M0.7211.41N/AN/A22,19616,062256,098314,663
2014-11-11$31.63$33.0021.7%7.0%27.8%5.2%26.3%3.3%-0.6%4.6M-131.5M-2.6M1.0811.63N/AN/A9,88910,671255,130314,033
2014-11-12$31.92$33.0021.0%7.1%27.0%2.2%25.9%3.1%0.5%5.1M-168.4M-2.6M1.0012.51N/AN/A9,4459,416257,540317,404
2014-11-13$31.86$33.0021.3%7.1%26.9%3.4%27.5%3.3%0.3%5.1M-161.3M-2.6M0.8613.51N/AN/A10,0858,638257,704318,348
2014-11-14$31.86$33.0021.1%7.0%26.8%2.4%25.2%3.5%0.2%4.2M-149.2M-2.6M0.5712.92N/AN/A4,6112,629257,398318,891
2014-11-17$32.03$33.0021.7%7.1%26.8%5.4%27.1%3.9%0.2%5.2M-158.1M-2.6M1.3116.22N/AN/A7,3999,710254,788316,037
2014-11-18$32.65$33.0021.2%6.7%22.6%3.1%25.1%3.8%0.9%6.6M-256.8M-2.5M0.9216.49N/AN/A13,20212,206256,649316,919
2014-11-19$32.67$33.0021.1%6.8%22.6%2.7%23.2%3.6%0.5%6.3M-248.3M-2.6M0.9121.27N/AN/A3,7783,427257,519320,075
2014-11-20$32.86$33.0020.4%6.7%18.7%0.0%24.9%3.7%0.4%5.6M-268.0M-2.5M1.2621.91N/AN/A11,37214,279251,898318,349
2014-11-21$33.14$33.0019.8%6.6%17.0%0.0%25.5%2.7%1.3%5.3M-303.8M-2.5M0.9814.59N/AN/A15,06014,783253,149318,247
2014-11-24$33.31$33.0019.4%6.6%16.1%0.0%23.1%3.4%-0.0%5.3M-272.0M-2.4M0.7314.60N/AN/A6,0854,447238,298299,546
2014-11-25$33.37$33.0019.2%6.6%16.1%0.0%22.7%4.2%-0.0%5.8M-284.9M-2.4M1.5017.56N/AN/A5,6688,498241,661301,472
2014-11-26$33.50$33.0019.3%6.5%14.0%0.3%23.2%3.7%-0.6%6.5M-304.2M-2.4M0.3827.09N/AN/A6,6062,486242,404302,457
2014-11-28$33.52$33.0020.3%6.4%12.9%4.8%24.6%2.3%-0.4%6.9M-301.0M-2.3M0.5620.76N/AN/A3,4181,916241,981302,900