BX Options History — December 2014

In December 2014, BX traded between $32.69 and $34.34. ATM implied volatility averaged 22.4%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.1% (HV 20d: 17.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.16.

Notable Days

2014-12-05: Highest Volume — 33,368 contracts
2014-12-12: Largest IV spike — 18.1% change
2014-12-15: Highest IV Rank — 34.1%
2014-12-16: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.63	$32.69	$34.34	$32.83	$33.83
Max Pain	$33.29	$33.00	$34.00	$33.00	$34.00
ATM IV	22.4%	19.3%	27.1%	22.0%	23.8%
Expected Move	7.0%	6.4%	7.9%	6.9%	6.8%
HV 20d	17.3%	12.2%	20.7%	15.6%	19.1%
HV 60d	22.5%	22.0%	23.3%	22.2%	22.0%
IV Rank	13.7%	0.4%	34.1%	11.9%	20.0%
IV Percentile	15.5%	0.8%	47.2%	10.3%	27.0%
Term Structure	0.8%	-1.0%	3.2%	0.7%	0.5%
VWIV	25.4%	21.6%	29.4%	26.3%	21.6%
Skew 25d	4.1%	2.7%	6.0%	2.9%	4.6%
Skew 10d	7.7%	4.1%	11.5%	4.1%	10.6%
Call IV 25d	21.2%	18.5%	25.0%	21.8%	22.6%
Put IV 25d	25.2%	21.2%	31.0%	24.7%	27.3%
Bid-Ask Spread %	22.46	14.00	33.89	25.25	17.67
Gamma HHI	0.17	0.12	0.23	0.13	0.21
Net GEX	6.4M	3.4M	10.0M	4.1M	5.4M
Net DEX	-283.8M	-398.9M	-176.7M	-206.0M	-265.8M
Net VEX	-2.3M	-2.5M	-2.1M	-2.3M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.20	2.17	2.17	0.59
Total Volume	17,259	6,199	33,368	24,609	6,256
Total OI	544,991.773	512,737	564,768	538,310	527,537

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
2014-12-01	$32.83	$33.00	22.0%	6.9%	15.6%	11.9%	26.3%	2.9%	0.7%	4.1M	-206.0M	-2.3M	2.17	25.25	N/A	N/A	7,766	16,843	238,051	300,259
2014-12-02	$33.03	$33.00	21.3%	6.8%	15.6%	9.0%	25.1%	3.1%	0.0%	4.5M	-232.8M	-2.4M	1.20	22.07	N/A	N/A	7,058	8,440	239,648	304,516
2014-12-03	$33.15	$33.00	21.1%	6.8%	15.6%	8.3%	25.6%	3.5%	0.1%	4.8M	-240.8M	-2.4M	1.19	17.12	N/A	N/A	6,486	7,734	239,910	304,615
2014-12-04	$33.52	$33.00	20.2%	6.5%	15.6%	4.3%	24.4%	2.7%	1.8%	6.7M	-295.5M	-2.3M	0.97	24.73	N/A	N/A	8,862	8,587	241,234	305,071
2014-12-05	$33.91	$33.00	19.3%	6.4%	15.6%	0.4%	24.4%	2.8%	0.8%	6.8M	-332.8M	-2.3M	0.54	16.86	N/A	N/A	21,735	11,633	242,739	308,664
2014-12-08	$33.90	$33.00	21.0%	6.7%	13.1%	7.9%	24.8%	3.0%	-0.2%	7.6M	-342.2M	-2.4M	1.14	14.00	N/A	N/A	7,903	9,033	249,985	308,018
2014-12-09	$33.84	$33.00	21.4%	6.9%	12.4%	9.4%	25.2%	3.8%	-0.3%	7.3M	-329.8M	-2.4M	0.97	20.82	N/A	N/A	7,652	7,448	250,653	309,179
2014-12-10	$33.85	$33.00	22.2%	6.9%	12.3%	12.8%	25.2%	4.0%	-1.0%	7.7M	-333.4M	-2.5M	1.18	20.49	N/A	N/A	10,039	11,837	251,737	310,345
2014-12-11	$33.83	$33.00	22.4%	7.0%	12.2%	13.7%	26.0%	4.5%	0.0%	8.0M	-331.6M	-2.4M	1.54	18.46	N/A	N/A	7,505	11,548	252,569	311,424
2014-12-12	$32.85	$33.00	26.4%	7.9%	16.7%	31.3%	28.7%	5.1%	-0.1%	3.4M	-202.6M	-2.5M	1.20	14.50	N/A	N/A	11,239	13,536	252,581	308,574
2014-12-15	$32.69	$33.00	27.1%	7.7%	16.9%	34.1%	29.4%	6.0%	0.7%	3.9M	-176.7M	-2.5M	2.00	22.26	N/A	N/A	7,280	14,528	251,789	307,268
2014-12-16	$32.70	$33.00	26.8%	7.9%	16.8%	33.0%	29.4%	4.2%	1.7%	4.0M	-189.6M	-2.5M	1.79	24.23	N/A	N/A	6,951	12,444	252,345	307,286
2014-12-17	$33.86	$33.00	23.5%	7.3%	19.7%	18.8%	26.5%	5.0%	0.4%	8.0M	-330.3M	-2.4M	1.10	30.73	N/A	N/A	10,555	11,570	253,445	307,506
2014-12-18	$34.23	$33.00	22.9%	7.2%	20.0%	16.0%	26.2%	4.1%	1.4%	9.7M	-380.1M	-2.3M	0.89	19.64	N/A	N/A	9,238	8,181	255,075	307,171
2014-12-19	$34.34	$33.00	22.1%	7.0%	19.9%	12.4%	24.8%	4.6%	-0.3%	10.0M	-398.9M	-2.3M	0.20	26.13	N/A	N/A	14,450	2,944	257,015	307,753
2014-12-22	$33.83	$0.00	21.8%	7.2%	20.7%	11.2%	24.8%	5.1%	1.9%	5.9M	-274.3M	-2.3M	0.86	32.26	N/A	N/A	7,564	6,472	228,183	284,554
2014-12-23	$33.95	$34.00	20.2%	6.8%	20.6%	4.5%	23.4%	4.1%	3.0%	6.4M	-292.6M	-2.2M	1.49	33.48	N/A	N/A	6,730	10,061	229,898	287,356
2014-12-24	$34.01	$34.00	19.9%	6.6%	20.6%	3.2%	24.8%	4.2%	1.9%	6.4M	-291.3M	-2.2M	1.08	33.89	N/A	N/A	4,402	4,745	231,759	293,223
2014-12-26	$33.97	$34.00	20.7%	6.7%	20.6%	6.5%	23.9%	3.8%	3.2%	9.0M	-270.9M	-2.2M	0.94	25.85	N/A	N/A	8,052	7,600	231,862	293,172
2014-12-29	$33.85	$34.00	22.4%	6.7%	20.7%	14.0%	24.1%	4.2%	1.5%	5.1M	-244.8M	-2.2M	0.94	18.91	N/A	N/A	5,459	5,133	229,298	292,428
2014-12-30	$33.95	$34.00	23.4%	6.8%	19.1%	18.3%	23.5%	4.1%	-0.3%	5.8M	-281.5M	-2.1M	1.55	14.77	N/A	N/A	2,433	3,766	230,551	293,573
2014-12-31	$33.83	$34.00	23.8%	6.8%	19.1%	20.0%	21.6%	4.6%	0.5%	5.4M	-265.8M	-2.1M	0.59	17.67	N/A	N/A	3,929	2,327	231,284	296,253