BX Options History — June 2015 In June 2015, BX traded between $40.60 and $43.54. ATM implied volatility averaged 21.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.5% (HV 20d: 15.0%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.14.
Notable Days 2015-06-25 : Highest Volume — 50,132 contracts2015-06-29 : Largest IV spike — 17.3% change2015-06-29 : Highest IV Rank — 40.3%2015-06-29 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.09 $40.60 $43.54 $43.48 $40.86 Max Pain $42.05 $40.00 $44.00 $40.00 $42.00 ATM IV 21.5% 17.8% 26.8% 17.8% 25.8% Expected Move 6.2% 5.0% 7.7% 5.0% 7.4% HV 20d 15.0% 11.8% 18.0% 13.8% 18.0% HV 60d 16.1% 15.1% 16.9% 15.6% 16.8% IV Rank 19.5% 5.2% 40.3% 5.2% 36.4% IV Percentile 35.9% 4.0% 80.6% 4.0% 76.2% Term Structure 0.4% -2.0% 2.9% 0.4% -2.0% VWIV 21.9% 18.0% 26.8% 18.0% 26.3% Skew 25d 3.9% 2.9% 6.7% 3.1% 4.8% Skew 10d 9.0% 6.8% 18.5% 6.8% 9.4% Call IV 25d 19.6% 16.6% 23.8% 16.6% 23.5% Put IV 25d 23.5% 19.6% 29.0% 19.6% 28.3% Bid-Ask Spread % 10.77 4.09 29.32 4.66 29.32 Gamma HHI 0.11 0.09 0.15 0.10 0.09 Net GEX 4.4M -4.7M 11.8M 6.2M -1.9M Net DEX -205.5M -327.1M -38.7M -327.1M -56.2M Net VEX -2.3M -2.5M -2.0M -2.0M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.28 2.83 0.84 0.96 Total Volume 23,548.955 6,739 50,132 15,187 16,687 Total OI 398,870.136 362,690 438,435 366,862 404,461
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $43.48 $40.00 17.8% 5.0% 13.8% 5.2% 18.0% 3.1% 0.4% 6.2M -327.1M -2.0M 0.84 4.66 N/A N/A 8,258 6,929 152,687 214,175 2015-06-02 $43.34 $40.00 17.9% 5.0% 12.1% 5.4% 18.9% 3.4% 0.4% 6.4M -297.1M -2.2M 0.97 4.09 N/A N/A 3,418 3,321 155,230 215,653 2015-06-03 $43.54 $40.00 17.9% 5.0% 11.9% 5.3% 18.4% 3.2% 0.0% 7.1M -325.6M -2.1M 1.12 4.70 N/A N/A 7,100 7,926 157,418 217,524 2015-06-04 $42.97 $44.00 18.8% 5.9% 11.8% 8.8% 19.7% 3.5% -0.0% 5.1M -272.0M -2.2M 0.79 7.77 N/A N/A 8,982 7,111 158,567 218,623 2015-06-05 $42.56 $44.00 19.6% 6.0% 11.8% 12.1% 20.5% 3.2% 0.7% 336.6K -258.7M -2.0M 0.82 14.94 N/A N/A 10,629 8,735 160,367 220,053 2015-06-08 $41.89 $44.00 20.3% 6.3% 12.7% 15.0% 22.7% 3.7% 2.1% 2.7M -187.5M -2.2M 0.28 8.80 N/A N/A 32,475 9,202 157,527 218,773 2015-06-09 $41.11 $43.00 21.5% 6.8% 14.1% 19.4% 23.7% 3.9% 2.1% 4.0M -136.8M -2.4M 0.62 14.55 N/A N/A 18,658 11,538 182,104 222,993 2015-06-10 $42.01 $42.00 19.0% 6.1% 16.4% 9.8% 20.7% 3.0% 2.1% 8.2M -229.5M -2.4M 0.78 15.09 N/A N/A 11,825 9,267 188,752 227,527 2015-06-11 $42.43 $42.00 19.7% 6.3% 16.8% 12.7% 21.5% 3.1% 2.9% 11.8M -284.7M -2.4M 1.03 17.65 N/A N/A 9,429 9,704 193,305 228,674 2015-06-12 $42.52 $42.00 19.9% 6.3% 16.2% 13.4% 21.7% 2.9% 1.8% 11.0M -298.2M -2.3M 1.28 18.31 N/A N/A 7,681 9,802 194,594 230,450 2015-06-15 $42.18 $42.00 22.1% 6.5% 16.2% 21.7% 23.5% 4.0% 1.4% 10.3M -249.5M -2.4M 1.15 8.90 N/A N/A 20,572 23,585 189,487 226,983 2015-06-16 $41.97 $42.00 22.5% 6.5% 15.2% 23.4% 23.7% 4.2% 1.4% 9.2M -221.8M -2.5M 0.93 7.80 N/A N/A 10,892 10,155 195,507 234,783 2015-06-17 $41.89 $42.00 22.6% 6.5% 15.1% 23.7% 23.8% 3.7% 1.3% 9.0M -214.6M -2.4M 1.16 9.17 N/A N/A 9,546 11,035 197,801 235,837 2015-06-18 $41.98 $42.00 21.7% 6.2% 15.0% 20.3% 22.6% 3.8% 1.1% 7.8M -215.3M -2.4M 1.17 7.98 N/A N/A 10,433 12,253 197,216 238,067 2015-06-19 $42.42 $42.00 21.7% 6.1% 15.5% 20.2% 20.8% 3.6% 0.8% 2.1M -255.8M -2.4M 0.86 8.08 N/A N/A 13,364 11,485 198,191 240,244 2015-06-22 $42.17 $42.00 22.4% 6.0% 15.6% 22.9% 20.6% 4.9% -1.5% 1.4M -191.9M -2.3M 0.77 7.87 N/A N/A 9,465 7,274 167,646 195,044 2015-06-23 $42.10 $42.00 22.2% 6.0% 15.6% 22.3% 20.4% 4.0% -0.7% 1.9M -185.2M -2.3M 0.83 6.70 N/A N/A 8,225 6,850 172,415 197,910 2015-06-24 $41.37 $42.00 24.5% 6.3% 16.3% 31.3% 21.6% 4.7% -1.3% 572.4K -112.2M -2.4M 1.29 7.21 N/A N/A 9,409 12,141 174,198 200,508 2015-06-25 $41.07 $42.00 25.4% 6.6% 16.3% 34.8% 22.9% 3.1% -1.2% 686 -78.2M -2.3M 2.83 10.50 N/A N/A 13,092 37,040 177,380 206,493 2015-06-26 $41.45 $42.00 22.9% 6.5% 16.6% 24.8% 22.3% 6.7% -1.2% -4.7M -84.1M -2.4M 2.43 13.04 N/A N/A 9,695 23,538 180,479 229,123 2015-06-29 $40.60 $42.00 26.8% 7.7% 17.7% 40.3% 26.8% 5.2% -1.3% -2.7M -38.7M -2.5M 2.16 9.89 N/A N/A 9,292 20,059 177,312 223,062 2015-06-30 $40.86 $42.00 25.8% 7.4% 18.0% 36.4% 26.3% 4.8% -2.0% -1.9M -56.2M -2.5M 0.96 29.32 N/A N/A 8,512 8,175 179,118 225,343
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