BX Options History — April 2015

In April 2015, BX traded between $38.53 and $41.80. ATM implied volatility averaged 21.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.9% (HV 20d: 15.4%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2015-04-22: Highest Volume — 486,879 contracts
  • 2015-04-20: Largest IV drop — 17.0% change
  • 2015-04-01: Highest IV Rank — 27.8%
  • 2015-04-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$38.53$41.80$39.10$41.00
Max Pain$40.76$38.00$43.00$38.00$42.00
ATM IV21.3%17.4%24.7%24.7%21.3%
Expected Move6.0%4.9%6.9%6.9%6.2%
HV 20d15.4%14.2%17.2%15.8%17.2%
HV 60d17.3%16.6%17.9%17.9%17.3%
IV Rank14.4%0.0%27.8%27.8%16.1%
IV Percentile21.1%0.0%50.8%50.8%22.2%
Term Structure-0.2%-1.9%2.1%-0.6%0.8%
VWIV21.8%17.1%25.9%25.0%21.8%
Skew 25d4.9%0.8%6.9%5.5%4.5%
Skew 10d9.5%0.9%16.8%16.8%9.9%
Call IV 25d19.2%17.1%22.0%22.0%19.3%
Put IV 25d24.1%18.9%28.0%27.5%23.9%
Bid-Ask Spread %12.474.9021.5517.3812.90
Gamma HHI0.150.100.220.130.10
Net GEX7.5M1.0M15.0M5.8M1.5M
Net DEX-271.3M-408.1M-170.1M-237.4M-175.8M
Net VEX-2.1M-2.3M-1.8M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.051.591.060.88
Total Volume48,189.33313,963486,87914,98323,718
Total OI334,682.19309,752369,075323,995336,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$39.10$38.0024.7%6.9%15.8%27.8%25.0%5.5%-0.6%5.8M-237.4M-2.2M1.0617.38N/AN/A7,2597,724158,535165,460
2015-04-02$38.83$43.0023.7%6.5%15.2%23.5%23.9%6.9%-1.3%4.7M-226.9M-2.1M0.9521.55N/AN/A7,7397,372159,718166,554
2015-04-06$38.53$40.0024.2%6.6%14.9%25.6%25.1%5.0%-1.6%4.4M-190.7M-2.1M1.0919.79N/AN/A6,6817,282154,404155,348
2015-04-07$38.96$40.0022.9%6.3%14.9%20.1%23.7%5.9%-0.7%6.1M-214.2M-2.2M1.4517.60N/AN/A9,02113,065155,872156,111
2015-04-08$39.21$40.0022.1%6.3%15.0%16.8%20.5%5.7%-0.4%6.9M-230.4M-2.1M0.4112.78N/AN/A9,9784,129158,371162,352
2015-04-09$39.24$40.0022.2%6.2%14.9%17.2%20.4%6.0%-0.7%7.9M-239.7M-2.2M1.174.92N/AN/A7,3008,539165,649164,717
2015-04-10$40.02$40.0021.2%6.1%16.3%13.3%20.1%6.0%0.3%8.5M-299.6M-2.2M0.5415.80N/AN/A23,05312,353167,838167,127
2015-04-13$40.13$40.0022.6%6.4%14.2%18.9%21.8%5.6%-0.8%8.4M-311.4M-2.3M0.7318.71N/AN/A13,5609,873177,003167,972
2015-04-14$39.97$40.0022.9%6.5%14.2%20.1%23.3%5.3%-0.6%8.2M-270.3M-2.2M1.596.94N/AN/A6,76810,767171,377170,573
2015-04-15$41.00$40.0023.1%6.6%16.0%20.8%25.9%5.5%-1.9%9.0M-341.3M-2.1M0.5219.01N/AN/A27,63614,294170,845172,639
2015-04-16$41.29$40.0021.4%6.2%15.4%14.0%23.2%6.9%-0.5%14.7M-387.3M-2.1M0.8211.47N/AN/A25,34520,817185,041177,689
2015-04-17$41.80$40.0022.3%6.4%15.7%17.8%23.5%6.6%2.1%11.7M-408.1M-2.1M0.6711.78N/AN/A16,96911,419185,664183,411
2015-04-20$41.76$41.0018.5%5.2%15.7%2.0%20.5%4.8%1.7%13.5M-357.8M-2.1M1.3712.81N/AN/A13,66418,673172,104167,459
2015-04-21$41.66$41.0019.1%5.5%15.2%4.3%19.7%5.2%0.4%12.9M-349.4M-1.9M1.365.26N/AN/A10,30414,009176,178172,897
2015-04-22$41.78$41.0017.4%4.9%15.1%0.0%17.1%0.8%-0.3%15.0M-377.3M-1.8M0.054.97N/AN/A464,34622,533171,833176,452
2015-04-23$41.03$42.0020.1%5.8%16.5%10.8%21.1%3.5%-0.3%1.0M-170.1M-2.1M1.184.90N/AN/A21,28125,026131,394181,761
2015-04-24$41.37$42.0019.4%5.5%15.8%8.3%20.2%3.1%-0.2%3.6M-210.3M-2.2M1.035.09N/AN/A17,76618,378140,167190,525
2015-04-27$41.56$42.0019.6%5.5%15.6%9.1%20.3%3.2%0.3%4.1M-224.3M-2.2M1.1810.03N/AN/A11,77013,905140,035185,916
2015-04-28$41.70$42.0019.4%5.5%15.4%8.0%20.8%3.1%0.9%4.9M-233.0M-2.2M1.0720.79N/AN/A11,81212,609142,087188,544
2015-04-29$41.80$42.0019.6%5.7%15.3%9.0%20.3%3.3%0.3%5.6M-242.2M-2.2M0.747.41N/AN/A13,3759,864144,059190,028
2015-04-30$41.00$42.0021.3%6.2%17.2%16.1%21.8%4.5%0.8%1.5M-175.8M-2.3M0.8812.90N/AN/A12,63711,081144,696191,921