BX Options History — March 2015

In March 2015, BX traded between $37.62 and $39.15. ATM implied volatility averaged 23.5%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.9% (HV 20d: 17.6%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-03-06: Highest Volume — 42,952 contracts
  • 2015-03-23: Largest IV spike — 6.8% change
  • 2015-03-26: Highest IV Rank — 39.5%
  • 2015-03-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$37.62$39.15$38.13$38.84
Max Pain$37.36$36.00$38.00$36.00$38.00
ATM IV23.5%19.4%27.5%19.4%25.4%
Expected Move6.7%5.3%7.5%5.5%6.9%
HV 20d17.6%15.9%19.5%18.6%17.2%
HV 60d18.6%17.7%19.6%18.8%18.3%
IV Rank22.6%5.7%39.5%5.7%30.7%
IV Percentile37.4%4.0%73.0%4.0%56.7%
Term Structure0.6%-1.3%3.4%-0.0%0.2%
VWIV24.0%18.9%28.7%18.9%23.5%
Skew 25d4.4%1.7%6.6%3.2%6.6%
Skew 10d10.7%3.6%17.7%7.8%17.6%
Call IV 25d21.7%18.3%23.8%18.3%21.4%
Put IV 25d26.1%21.5%30.0%21.5%28.0%
Bid-Ask Spread %14.785.5831.729.8620.01
Gamma HHI0.130.090.430.160.13
Net GEX6.9M1.0M20.2M8.7M4.7M
Net DEX-220.0M-316.9M-125.1M-228.1M-213.4M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.262.761.251.42
Total Volume15,4934,25742,95224,83615,709
Total OI364,465.5316,951404,677365,293320,778

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$38.13$36.0019.4%5.5%18.6%5.7%18.9%3.2%-0.0%8.7M-228.1M-2.2M1.259.86N/AN/A11,03413,802155,644209,649
2015-03-03$37.82$36.0019.4%5.3%18.9%5.7%19.2%3.0%-0.4%9.9M-210.6M-2.2M1.498.45N/AN/A8,80413,098158,162210,664
2015-03-04$38.60$36.0020.2%5.6%19.5%8.9%20.3%3.8%0.0%8.8M-268.3M-2.2M0.9013.55N/AN/A16,43514,793159,040211,148
2015-03-05$39.15$36.0020.4%6.8%19.0%10.0%23.3%3.5%0.3%7.6M-316.9M-2.1M1.0525.05N/AN/A16,09916,969163,040213,691
2015-03-06$38.70$37.0020.8%6.6%16.4%11.7%23.4%2.6%0.5%5.8M-280.1M-2.2M0.8316.66N/AN/A23,51919,433164,857216,581
2015-03-09$38.30$37.0022.2%7.1%16.7%17.1%24.5%1.7%3.4%6.6M-232.1M-2.2M0.8124.11N/AN/A2,6642,146162,612212,352
2015-03-10$38.28$37.0023.3%7.3%16.7%21.7%25.3%4.7%1.9%6.6M-221.5M-2.2M0.4417.12N/AN/A4,1321,833163,655213,160
2015-03-11$38.44$37.0024.3%7.5%16.3%25.9%25.1%4.2%1.5%6.8M-233.8M-2.3M0.7316.91N/AN/A2,4561,801164,461214,239
2015-03-12$38.69$37.0023.3%6.9%15.9%21.7%24.2%3.4%0.6%7.3M-252.2M-2.3M0.7519.05N/AN/A3,3872,524165,653214,665
2015-03-13$37.95$37.0024.0%7.3%17.4%24.8%25.7%4.3%2.3%5.9M-197.3M-2.2M1.1210.46N/AN/A4,3514,880167,442216,119
2015-03-16$38.32$38.0024.7%7.3%17.1%27.5%28.7%4.6%0.6%7.5M-224.5M-2.2M1.0216.14N/AN/A7,8267,955166,573216,946
2015-03-17$38.08$38.0024.5%7.1%17.3%26.7%25.4%4.2%2.0%6.8M-204.8M-2.2M0.895.66N/AN/A7,0676,259168,180221,606
2015-03-18$38.70$38.0023.2%6.7%18.0%21.5%23.9%4.8%1.8%7.5M-249.5M-2.2M0.8620.93N/AN/A5,4424,675171,075226,332
2015-03-19$38.69$38.0023.5%6.6%17.9%22.7%23.6%4.0%2.7%8.4M-250.2M-2.3M1.3110.04N/AN/A4,6806,154171,830227,117
2015-03-20$38.69$38.0023.0%6.3%17.9%20.7%24.0%4.6%2.8%6.6M-248.1M-2.2M0.2610.96N/AN/A9,9722,576172,913231,764
2015-03-23$38.36$38.0024.6%6.6%18.0%27.2%22.9%5.5%-1.1%4.3M-193.9M-2.2M1.207.48N/AN/A5,7636,887152,571164,380
2015-03-24$38.30$38.0025.0%6.5%17.4%29.0%23.4%5.4%-1.2%4.6M-190.3M-2.2M2.425.58N/AN/A1,9454,713156,505169,303
2015-03-25$37.99$38.0026.5%6.9%17.7%35.2%23.6%5.9%-1.1%3.4M-160.8M-2.2M0.876.98N/AN/A6,5065,680157,588172,664
2015-03-26$37.62$38.0027.5%7.2%18.0%39.5%26.2%6.2%-1.1%1.0M-125.1M-2.2M2.7613.34N/AN/A6,31117,395160,170175,195
2015-03-27$38.01$38.0026.4%6.8%17.8%34.7%27.0%5.7%-0.9%20.2M-150.1M-2.3M0.9115.01N/AN/A3,7513,419160,487178,958
2015-03-30$38.43$38.0025.1%6.7%17.1%29.4%25.4%4.3%-1.3%2.4M-188.7M-2.2M1.2331.72N/AN/A7,1848,817154,783163,689
2015-03-31$38.84$38.0025.4%6.9%17.2%30.7%23.5%6.6%0.2%4.7M-213.4M-2.2M1.4220.01N/AN/A6,4809,229156,615164,163