BX Options History — January 2015

In January 2015, BX traded between $32.98 and $37.29. ATM implied volatility averaged 25.7%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.3% (HV 20d: 19.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-01-28: Highest Volume — 36,150 contracts
  • 2015-01-05: Largest IV spike — 14.2% change
  • 2015-01-06: Highest IV Rank — 44.8%
  • 2015-01-06: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.79$32.98$37.29$34.15$37.29
Max Pain$34.27$34.00$35.00$34.00$35.00
ATM IV25.7%21.4%29.6%24.5%21.5%
Expected Move7.1%6.2%7.9%6.9%6.5%
HV 20d19.4%15.7%22.2%19.3%19.1%
HV 60d20.0%17.7%21.9%21.6%17.9%
IV Rank28.3%9.6%44.8%22.8%9.9%
IV Percentile44.0%11.1%76.2%31.0%11.5%
Term Structure-0.9%-3.4%1.0%1.0%-1.4%
VWIV26.8%23.5%29.8%23.9%27.5%
Skew 25d6.8%5.4%8.8%6.1%5.9%
Skew 10d13.3%9.9%17.4%10.8%13.2%
Call IV 25d22.7%18.8%26.6%22.3%20.2%
Put IV 25d29.5%24.7%33.4%28.3%26.1%
Bid-Ask Spread %18.1912.8223.8722.2517.93
Gamma HHI0.180.130.330.250.13
Net GEX2.4M-3.3M7.0M6.2M4.4M
Net DEX-185.4M-278.6M12.6M-278.6M-238.3M
Net VEX-2.1M-2.2M-2.0M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.401.951.310.73
Total Volume20,518.256,79536,15015,51232,284
Total OI445,995300,115556,614529,982350,363

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$34.15$34.0024.5%6.9%19.3%22.8%23.9%6.1%1.0%6.2M-278.6M-2.2M1.3122.25N/AN/A6,7228,790232,297297,685
2015-01-05$33.63$34.0028.0%7.3%19.8%37.8%27.4%6.5%-1.2%2.7M-231.1M-2.1M1.3319.80N/AN/A2,9203,875230,134300,476
2015-01-06$32.98$34.0029.6%7.9%20.5%44.8%28.7%6.7%-1.1%-34.7K-157.7M-2.2M1.1023.87N/AN/A8,9669,901231,053301,870
2015-01-07$33.45$34.0029.0%7.7%21.3%42.2%28.1%7.3%-1.7%1.7M-221.0M-2.1M0.4523.75N/AN/A4,7662,149234,402306,588
2015-01-08$33.74$34.0028.2%7.3%21.5%38.7%25.6%6.0%-2.2%3.4M-252.3M-2.1M1.9516.62N/AN/A8,97417,500235,092308,091
2015-01-09$34.27$34.0028.0%7.2%22.2%38.0%26.6%7.6%-0.9%5.7M-269.9M-2.2M1.0316.61N/AN/A12,18612,571237,189317,427
2015-01-12$34.40$34.0026.8%7.7%22.2%33.0%26.1%6.8%0.6%7.0M-278.2M-2.2M1.0315.59N/AN/A11,54411,857235,303320,232
2015-01-13$34.01$34.0027.4%7.5%19.8%35.2%27.2%6.8%-0.9%3.7M-239.8M-2.2M0.4612.82N/AN/A16,3337,435235,545321,069
2015-01-14$33.93$34.0028.3%7.6%19.7%39.5%29.4%7.8%-1.7%2.5M-206.6M-2.1M0.7221.60N/AN/A12,8349,243230,456322,615
2015-01-15$33.55$34.0028.6%7.8%20.2%40.5%29.8%8.0%-2.1%-1.6M-154.3M-2.2M0.8015.01N/AN/A12,97610,422225,651323,271
2015-01-16$33.67$34.0027.6%7.5%15.9%36.3%28.6%8.8%-3.4%-3.3M-150.5M-2.2M0.4015.40N/AN/A8,8163,494227,148325,228
2015-01-20$33.95$34.0026.6%7.5%15.7%32.0%25.6%7.6%0.4%-3.0M12.6M-2.1M0.6022.23N/AN/A5,9593,592123,342176,773
2015-01-21$34.70$34.0024.5%7.0%17.6%22.9%26.4%6.7%-0.8%116.2K-54.9M-2.1M1.2516.46N/AN/A9,96912,417127,907179,131
2015-01-22$35.56$34.0022.5%6.5%18.5%14.4%26.7%5.4%-0.9%1.1M-122.5M-2.1M0.6118.95N/AN/A19,07911,676132,722182,093
2015-01-23$36.08$34.5021.6%6.2%19.0%10.5%25.3%6.1%-0.1%2.5M-160.6M-2.0M0.8814.20N/AN/A14,05912,329137,768185,894
2015-01-26$36.45$35.0021.4%6.3%19.2%9.6%23.5%5.7%-0.1%2.9M-164.9M-2.0M0.6316.16N/AN/A5,4983,465139,007182,259
2015-01-27$36.58$35.0022.8%6.6%19.1%15.3%24.5%5.6%-0.5%3.3M-175.4M-2.0M1.2818.28N/AN/A4,7716,095141,281183,429
2015-01-28$36.75$35.0023.7%7.1%18.9%19.8%27.8%5.8%-0.4%2.6M-180.3M-2.1M0.6117.59N/AN/A22,52213,628143,405187,365
2015-01-29$36.75$35.0024.5%6.9%18.9%23.1%27.8%7.9%-1.1%5.9M-183.9M-2.1M1.1818.67N/AN/A13,19015,558154,925193,414
2015-01-30$37.29$35.0021.5%6.5%19.1%9.9%27.5%5.9%-1.4%4.4M-238.3M-2.1M0.7317.93N/AN/A18,66813,616156,035194,328