BX Options History — July 2015 In July 2015, BX traded between $38.09 and $41.98. ATM implied volatility averaged 24.6%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.2% (HV 20d: 24.4%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.40.
Notable Days 2015-07-22 : Highest Volume — 348,082 contracts2015-07-24 : Largest IV spike — 19.5% change2015-07-08 : Highest IV Rank — 58.7%2015-07-08 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $40.19 $38.09 $41.98 $40.89 $39.28 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 24.6% 19.3% 31.5% 25.5% 23.1% Expected Move 6.9% 5.5% 8.2% 7.5% 6.8% HV 20d 24.4% 17.9% 31.4% 17.9% 31.1% HV 60d 19.4% 16.7% 22.3% 16.7% 21.6% IV Rank 31.6% 11.1% 58.7% 35.1% 25.6% IV Percentile 62.4% 11.5% 98.4% 75.0% 55.2% Term Structure -0.5% -1.6% 1.1% -1.4% 1.1% VWIV 24.1% 17.1% 28.9% 25.6% 22.4% Skew 25d 4.4% 1.1% 5.9% 4.8% 3.8% Skew 10d 8.8% 1.8% 14.9% 7.4% 7.7% Call IV 25d 23.2% 17.7% 29.7% 23.2% 22.2% Put IV 25d 27.6% 20.4% 35.2% 28.0% 25.9% Bid-Ask Spread % 12.13 7.05 18.23 13.35 10.05 Gamma HHI 0.10 0.08 0.13 0.09 0.10 Net GEX -3.7M -10.4M 3.5M -1.1M -5.4M Net DEX -22.6M -213.9M 223.6M -63.4M 30.8M Net VEX -2.7M -3.2M -2.3M -2.4M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.04 3.97 0.57 1.33 Total Volume 52,719.091 17,691 348,082 19,120 36,956 Total OI 444,312.136 398,398 479,181 408,376 474,164
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 2015-07-01 $40.89 $42.00 25.5% 7.5% 17.9% 35.1% 25.6% 4.8% -1.4% -1.1M -63.4M -2.4M 0.57 13.35 N/A N/A 12,147 6,973 181,299 227,077 2015-07-02 $41.26 $42.00 24.7% 7.1% 17.9% 32.2% 24.8% 4.0% -1.4% -1.9M -82.5M -2.4M 0.59 14.91 N/A N/A 11,121 6,570 177,432 227,925 2015-07-06 $40.47 $42.00 27.0% 7.0% 18.8% 40.9% 24.2% 5.2% -1.0% -4.5M -19.5M -2.3M 0.53 14.56 N/A N/A 17,030 9,037 172,864 225,534 2015-07-07 $39.81 $42.00 28.9% 7.4% 18.9% 48.4% 28.5% 5.8% -1.4% -6.6M 33.4M -2.5M 1.53 7.40 N/A N/A 22,816 34,853 184,100 229,369 2015-07-08 $38.61 $42.00 31.5% 8.2% 20.6% 58.7% 28.9% 5.5% -1.3% -5.8M 90.9M -2.6M 0.87 9.94 N/A N/A 16,115 14,066 198,314 232,285 2015-07-09 $39.10 $42.00 30.4% 8.0% 19.4% 54.4% 28.0% 5.9% -1.5% -6.2M 60.3M -2.7M 0.90 10.16 N/A N/A 12,597 11,321 205,943 239,222 2015-07-10 $39.56 $42.00 25.9% 7.2% 19.5% 36.9% 26.7% 3.7% -0.2% -7.0M 17.1M -2.8M 1.67 17.18 N/A N/A 7,731 12,879 212,427 241,776 2015-07-13 $40.84 $42.00 25.3% 6.8% 23.2% 34.4% 23.7% 5.5% -1.6% -1.1M -94.0M -2.9M 0.81 18.23 N/A N/A 12,568 10,211 208,844 242,264 2015-07-14 $41.06 $42.00 25.1% 6.9% 23.2% 33.4% 24.6% 4.9% -0.7% 475.3K -125.7M -2.9M 1.40 11.38 N/A N/A 21,173 29,583 214,072 243,246 2015-07-15 $41.27 $42.00 23.9% 6.7% 23.3% 29.0% 23.5% 5.1% -0.1% 106.6K -140.7M -2.7M 0.57 15.46 N/A N/A 18,152 10,293 210,809 249,061 2015-07-16 $41.98 $42.00 19.6% 5.5% 24.1% 12.1% 22.8% 4.6% -0.6% 3.1M -213.9M -2.6M 1.01 11.07 N/A N/A 26,757 27,092 213,190 250,554 2015-07-17 $41.61 $42.00 20.1% 5.7% 24.3% 14.0% 20.8% 4.0% -0.5% 855.2K -167.8M -2.5M 1.36 14.12 N/A N/A 13,555 18,409 211,863 243,080 2015-07-20 $41.57 $42.00 20.9% 6.0% 24.0% 17.4% 21.1% 4.6% 0.3% 120.7K -127.0M -2.5M 0.89 12.57 N/A N/A 15,346 13,697 193,172 232,436 2015-07-21 $41.86 $42.00 19.7% 5.6% 24.0% 12.3% 21.5% 4.6% 0.9% 1.5M -152.1M -2.6M 1.48 11.60 N/A N/A 8,075 11,932 199,035 236,873 2015-07-22 $41.48 $42.00 19.3% 5.5% 24.2% 11.1% 17.1% 1.1% 0.4% 3.5M -118.4M -2.6M 0.04 8.81 N/A N/A 334,454 13,628 194,771 237,355 2015-07-23 $39.76 $42.00 22.0% 6.3% 27.9% 21.5% 20.9% 4.7% -0.7% -8.0M 58.4M -2.7M 3.97 9.65 N/A N/A 17,810 70,779 184,172 241,852 2015-07-24 $38.19 $42.00 26.3% 7.6% 31.0% 38.3% 25.1% 4.2% -0.2% -10.4M 223.6M -2.8M 1.33 7.05 N/A N/A 29,335 38,942 187,565 269,898 2015-07-27 $38.09 $42.00 27.5% 7.9% 30.6% 42.8% 26.1% 3.7% -0.5% -10.4M 155.5M -3.0M 3.34 10.04 N/A N/A 15,585 52,034 199,923 258,078 2015-07-28 $38.70 $42.00 26.8% 7.8% 30.8% 40.1% 26.0% 4.7% -1.6% -9.6M 96.8M -3.1M 1.94 11.48 N/A N/A 14,128 27,425 205,065 267,525 2015-07-29 $39.36 $42.00 24.1% 7.0% 31.4% 29.8% 24.5% 3.1% 0.8% -7.7M 30.4M -3.2M 1.99 15.20 N/A N/A 13,909 27,624 211,059 268,122 2015-07-30 $39.35 $42.00 23.6% 6.7% 31.4% 27.6% 22.5% 4.0% -0.8% -4.6M 9.8M -3.2M 2.70 12.76 N/A N/A 9,497 25,615 216,108 255,144 2015-07-31 $39.28 $42.00 23.1% 6.8% 31.1% 25.6% 22.4% 3.8% 1.1% -5.4M 30.8M -3.1M 1.33 10.05 N/A N/A 15,830 21,126 216,790 257,374
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