BX Options History — May 2015

In May 2015, BX traded between $41.69 and $43.96. ATM implied volatility averaged 18.7%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.4% (HV 20d: 17.3%). Max pain ranged from $39.00 to $41.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2015-05-07: Highest Volume — 57,934 contracts
  • 2015-05-26: Largest IV spike — 9.0% change
  • 2015-05-06: Highest IV Rank — 17.9%
  • 2015-05-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.98$41.69$43.96$41.69$43.81
Max Pain$39.92$39.00$41.50$41.50$40.00
ATM IV18.7%16.5%21.8%20.0%17.2%
Expected Move5.3%4.7%6.2%5.7%4.8%
HV 20d17.3%14.3%19.5%17.6%14.3%
HV 60d16.6%15.6%17.3%17.3%15.6%
IV Rank6.9%0.0%17.9%10.6%2.6%
IV Percentile7.2%0.0%29.4%10.7%1.6%
Term Structure0.2%-1.6%2.2%0.7%0.3%
VWIV19.0%17.0%21.9%20.3%17.3%
Skew 25d3.4%2.6%4.1%2.6%3.5%
Skew 10d6.9%4.3%9.0%8.0%7.2%
Call IV 25d17.3%15.3%19.4%18.6%16.3%
Put IV 25d20.7%18.6%23.5%21.3%19.8%
Bid-Ask Spread %6.434.1612.1010.015.46
Gamma HHI0.110.090.190.130.10
Net GEX6.0M4.0M12.2M6.4M5.8M
Net DEX-297.3M-363.6M-220.9M-232.4M-336.8M
Net VEX-2.2M-2.3M-2.0M-2.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.403.940.620.84
Total Volume21,0607,69857,93421,55016,886
Total OI364,840.55328,021383,242342,141375,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$41.69$41.5020.0%5.7%17.6%10.6%20.3%2.6%0.7%6.4M-232.4M-2.2M0.6210.01N/AN/A13,2628,288147,733194,408
2015-05-04$42.55$39.0019.7%5.5%18.0%9.2%20.6%3.2%0.6%6.0M-292.8M-2.2M0.4412.10N/AN/A17,0907,546143,175184,846
2015-05-05$42.29$39.0020.4%6.0%18.3%12.3%21.0%3.6%0.4%4.8M-261.3M-2.2M0.578.65N/AN/A17,5269,928144,037188,330
2015-05-06$41.72$39.0021.8%6.0%19.3%17.9%21.2%4.1%-0.5%4.0M-220.9M-2.1M0.814.81N/AN/A11,9129,597142,990188,834
2015-05-07$42.21$40.0021.1%6.2%19.5%15.2%21.9%3.9%0.0%5.2M-260.4M-2.2M3.397.60N/AN/A13,20544,729145,681191,474
2015-05-08$42.60$40.0019.9%5.5%18.7%10.2%19.8%3.5%2.2%4.8M-276.9M-2.3M0.407.39N/AN/A6,6762,678147,892227,490
2015-05-11$42.69$40.0020.6%5.6%18.7%13.1%19.9%3.0%-1.6%4.9M-274.9M-2.3M0.788.20N/AN/A4,3263,372146,697223,219
2015-05-12$42.51$40.0019.9%5.6%18.7%10.4%20.6%3.7%-0.3%5.1M-265.6M-2.3M0.986.12N/AN/A8,1357,961149,049224,684
2015-05-13$42.58$40.0019.7%5.5%16.7%9.4%20.0%3.7%-0.7%7.2M-269.8M-2.3M0.956.02N/AN/A7,8617,461151,799225,598
2015-05-14$43.08$40.0018.7%5.3%17.0%5.2%18.8%3.0%-0.7%12.2M-328.5M-2.2M0.914.16N/AN/A11,41910,441153,669226,272
2015-05-15$43.35$40.0017.5%5.1%16.7%0.4%17.9%2.9%0.5%6.5M-354.3M-2.2M1.134.50N/AN/A10,98312,395154,870228,372
2015-05-18$43.96$40.0016.6%4.7%17.2%0.0%17.7%3.5%0.5%6.5M-363.6M-2.0M0.588.19N/AN/A12,7327,398144,401216,765
2015-05-19$43.64$40.0017.2%4.9%17.4%2.6%17.3%3.1%0.4%6.6M-323.3M-2.2M0.935.15N/AN/A5,5525,150147,351221,109
2015-05-20$43.81$40.0016.5%4.7%17.5%0.0%17.6%3.0%0.5%6.5M-338.2M-2.2M2.196.29N/AN/A7,47816,355149,798222,911
2015-05-21$43.54$40.0017.1%4.9%16.1%2.4%17.4%3.2%0.4%5.0M-322.7M-2.1M1.644.35N/AN/A7,49712,302150,650227,646
2015-05-22$43.41$40.0016.9%4.8%16.1%1.5%17.0%3.4%0.3%5.0M-315.2M-2.0M1.215.17N/AN/A9,78011,867151,854228,894
2015-05-26$43.19$40.0018.4%5.2%16.3%7.4%18.0%3.5%-0.0%4.8M-285.4M-2.3M1.535.14N/AN/A7,19511,040150,805224,872
2015-05-27$43.46$40.0017.5%4.9%16.3%4.0%17.7%3.5%0.4%5.9M-316.0M-2.3M3.944.62N/AN/A6,11024,084154,441226,239
2015-05-28$43.54$40.0017.3%4.8%16.3%3.2%17.6%3.4%0.4%6.5M-307.9M-2.2M0.974.61N/AN/A6,5766,407152,894220,009
2015-05-29$43.81$40.0017.2%4.8%14.3%2.6%17.3%3.5%0.3%5.8M-336.8M-2.2M0.845.46N/AN/A9,1877,699154,181220,872