BX Options History — February 2015

In February 2015, BX traded between $36.02 and $37.93. ATM implied volatility averaged 19.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.7% (HV 20d: 19.1%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-02-04: Highest Volume — 228,194 contracts
  • 2015-02-05: Largest IV spike — 10.4% change
  • 2015-02-02: Highest IV Rank — 13.8%
  • 2015-02-05: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.19$36.02$37.93$37.27$37.47
Max Pain$35.84$35.00$36.00$35.00$36.00
ATM IV19.8%18.0%22.4%22.4%19.7%
Expected Move5.7%5.1%6.4%6.3%5.5%
HV 20d19.1%17.1%20.9%19.1%18.3%
HV 60d18.7%17.9%19.0%17.9%18.6%
IV Rank5.4%0.0%13.8%13.8%6.8%
IV Percentile4.9%0.0%17.5%17.5%5.2%
Term Structure0.2%-2.8%0.9%-2.8%0.2%
VWIV20.8%12.6%27.3%27.3%22.9%
Skew 25d4.2%1.7%11.4%11.4%3.8%
Skew 10d7.2%0.2%11.0%4.0%6.6%
Call IV 25d18.2%14.5%20.4%14.5%18.2%
Put IV 25d22.4%20.0%25.9%25.9%22.0%
Bid-Ask Spread %7.883.7917.5717.575.57
Gamma HHI0.120.090.170.120.17
Net GEX5.5M-4.2M12.5M5.0M11.4M
Net DEX-167.9M-249.6M-43.8M-201.7M-185.1M
Net VEX-2.1M-2.3M-1.7M-2.1M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.052.360.361.35
Total Volume40,1347,385228,1949,36826,187
Total OI355,736.263316,142380,798336,864371,163

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$37.27$35.0022.4%6.3%19.1%13.8%27.3%11.4%-2.8%5.0M-201.7M-2.1M0.3617.57N/AN/A6,8652,503146,762190,102
2015-02-03$37.84$35.0020.5%5.9%18.0%5.9%25.2%5.0%0.5%5.9M-231.7M-2.0M0.437.46N/AN/A19,0478,203147,616190,870
2015-02-04$37.28$35.0019.4%5.1%17.1%1.1%12.6%1.7%0.2%12.5M-249.6M-1.7M0.057.13N/AN/A217,77510,419149,149193,539
2015-02-05$36.27$36.0021.5%6.4%20.6%9.9%22.9%3.9%0.1%-1.3M-62.4M-2.0M0.595.74N/AN/A24,31014,282118,684197,458
2015-02-06$36.02$36.0021.6%6.3%20.9%10.7%23.7%4.2%0.3%-4.2M-43.8M-2.1M0.376.06N/AN/A26,9779,921120,672203,391
2015-02-09$36.25$36.0021.3%6.3%20.4%9.2%21.7%3.8%0.4%-766.6K-76.3M-2.1M0.625.58N/AN/A27,29516,828125,679200,360
2015-02-10$36.73$36.0020.0%5.7%20.7%3.5%20.1%3.7%-0.4%2.7M-118.5M-2.1M1.357.70N/AN/A18,22124,583135,715209,337
2015-02-11$36.44$36.0019.6%5.9%20.4%1.9%20.7%3.3%0.8%432.4K-94.5M-2.2M1.404.65N/AN/A17,03723,829138,824222,680
2015-02-12$36.86$36.0018.0%5.2%20.5%0.0%19.0%2.8%0.2%4.7M-129.9M-2.1M0.753.79N/AN/A22,89317,184140,881229,487
2015-02-13$37.36$36.0018.4%5.4%19.9%1.3%18.6%2.9%0.7%5.8M-182.9M-2.2M0.815.36N/AN/A21,07117,172148,478230,279
2015-02-17$37.37$36.0020.0%5.8%20.0%8.3%21.1%3.7%-0.7%5.8M-179.5M-2.2M0.7910.09N/AN/A17,36713,726149,971225,819
2015-02-18$37.24$36.0020.3%5.8%20.2%9.2%20.0%3.8%0.2%6.1M-176.4M-2.2M1.024.06N/AN/A13,37313,643152,720226,689
2015-02-19$37.52$36.0018.5%5.3%19.2%1.9%20.3%3.4%0.8%7.9M-204.2M-2.2M0.334.55N/AN/A5,5611,824151,210225,466
2015-02-20$37.63$36.0018.4%5.2%17.6%1.6%19.3%3.0%0.9%7.2M-212.5M-2.2M0.445.83N/AN/A5,3762,378154,354226,444
2015-02-23$37.34$36.0019.8%5.7%17.4%7.4%20.5%4.4%0.5%7.2M-179.6M-2.2M0.9613.79N/AN/A17,48616,809148,185200,418
2015-02-24$37.85$36.0018.8%5.4%17.6%3.1%19.7%5.9%0.0%8.9M-216.4M-2.2M1.4713.24N/AN/A11,57316,986153,664203,761
2015-02-25$37.85$36.0018.9%5.3%17.6%3.7%19.0%4.2%0.3%10.4M-223.3M-2.1M2.3611.22N/AN/A8,54920,166156,041205,535
2015-02-26$37.93$36.0019.0%5.3%17.6%3.9%20.1%4.4%0.7%9.1M-221.2M-2.2M1.3710.36N/AN/A10,61014,517156,782210,804
2015-02-27$37.47$36.0019.7%5.5%18.3%6.8%22.9%3.8%0.2%11.4M-185.1M-2.3M1.355.57N/AN/A11,16115,026159,689211,474