BX Options History — August 2015

In August 2015, BX traded between $33.00 and $39.49. ATM implied volatility averaged 30.4%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.5% (HV 20d: 33.9%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-08-06: Highest Volume — 65,102 contracts
  • 2015-08-20: Largest IV spike — 24.0% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$33.00$39.49$38.74$34.21
Max Pain$40.60$39.00$42.00$42.00$39.00
ATM IV30.4%22.7%46.3%24.5%37.8%
Expected Move8.9%6.3%14.0%7.1%11.5%
HV 20d33.9%29.6%42.5%30.8%42.5%
HV 60d25.8%21.6%31.7%21.6%31.7%
IV Rank50.8%24.4%100.0%31.2%71.5%
IV Percentile83.8%51.6%100.0%68.7%98.0%
Term Structure-0.4%-4.4%2.6%-0.3%-0.2%
VWIV31.1%21.7%51.5%23.8%40.2%
Skew 25d5.5%3.5%11.5%3.8%8.5%
Skew 10d13.6%6.2%64.0%6.2%17.4%
Call IV 25d28.5%21.5%44.4%23.0%33.6%
Put IV 25d34.0%25.3%55.9%26.8%42.1%
Bid-Ask Spread %13.684.4450.795.1813.79
Gamma HHI0.090.080.110.090.09
Net GEX-7.3M-12.7M-2.5M-5.4M-6.4M
Net DEX156.1M-4.0M353.7M67.1M241.4M
Net VEX-2.9M-3.1M-2.5M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.363.020.580.86
Total Volume31,650.198,19565,1028,19516,971
Total OI488,297.333459,960509,305459,960494,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$38.74$42.0024.5%7.1%30.8%31.2%23.8%3.8%-0.3%-5.4M67.1M-3.0M0.585.18N/AN/A5,2002,995211,107248,853
2015-08-04$39.49$42.0022.7%6.3%31.2%24.4%21.7%3.8%-0.0%-3.4M-4.0M-3.1M2.134.44N/AN/A10,93123,312212,923250,680
2015-08-05$38.87$41.5023.2%6.5%29.7%26.1%23.0%3.7%-0.3%-5.4M48.6M-3.0M1.715.19N/AN/A12,73621,756214,808249,623
2015-08-06$38.44$41.0025.1%7.3%29.6%33.5%26.2%3.6%0.2%-5.7M102.4M-3.0M3.0210.89N/AN/A16,20648,896216,790250,523
2015-08-07$37.80$41.0025.1%7.3%29.7%33.8%23.9%4.4%0.9%-9.1M173.0M-2.9M2.939.51N/AN/A12,78837,495219,723266,019
2015-08-10$39.17$41.0023.7%6.8%30.3%28.0%23.3%4.7%0.2%-5.9M5.5M-3.0M2.1410.75N/AN/A14,68531,400213,493270,787
2015-08-11$37.92$41.0025.8%7.4%32.0%36.3%25.7%3.8%0.1%-11.6M128.1M-2.9M1.469.01N/AN/A4,7406,919217,087273,640
2015-08-12$38.11$41.0027.4%7.8%32.0%42.6%28.0%4.6%0.0%-11.7M128.2M-3.1M0.9911.64N/AN/A15,40515,256218,766277,656
2015-08-13$38.16$41.0026.3%7.7%31.1%38.3%27.8%3.7%0.7%-12.7M99.4M-3.1M0.709.11N/AN/A12,5358,797223,560281,015
2015-08-14$38.68$41.0025.5%7.3%31.7%35.2%26.0%3.5%-0.7%-5.2M28.1M-3.0M0.648.94N/AN/A15,3969,917225,693281,568
2015-08-17$38.41$41.0025.9%7.5%31.7%36.6%25.8%3.5%0.1%-6.9M62.3M-2.9M0.657.53N/AN/A12,7688,300221,042266,548
2015-08-18$37.15$41.0027.3%7.8%33.1%42.2%27.0%4.6%-0.2%-10.2M170.0M-2.8M0.575.26N/AN/A19,57711,086223,623267,275
2015-08-19$36.75$40.0027.1%7.8%33.1%41.2%26.3%4.6%2.6%-10.7M180.5M-2.7M0.646.98N/AN/A6,4964,174229,640264,584
2015-08-20$34.38$40.0033.6%9.7%37.5%66.6%33.2%5.1%-1.1%-9.0M342.9M-2.5M0.655.73N/AN/A22,07414,279230,861266,080
2015-08-21$33.97$40.0038.4%11.1%35.4%85.5%39.3%7.2%-0.6%-7.6M353.7M-2.6M1.3811.95N/AN/A25,48235,137240,260269,045
2015-08-24$33.08$40.0046.3%14.0%36.2%100.0%51.5%11.5%-2.6%-5.9M323.5M-2.7M0.9350.79N/AN/A16,65415,464219,174256,912
2015-08-25$33.00$40.0043.0%13.2%35.2%89.0%46.5%8.8%-4.4%-5.7M287.3M-2.7M0.7436.54N/AN/A16,37312,094224,688258,986
2015-08-26$34.32$40.0039.1%11.7%38.1%76.0%41.3%8.6%-0.5%-6.3M250.1M-2.8M0.4428.78N/AN/A23,92910,476228,611260,325
2015-08-27$35.48$40.0035.4%10.3%40.6%63.4%36.4%7.3%-0.9%-2.5M145.8M-2.9M0.3620.74N/AN/A34,00412,400238,372261,635
2015-08-28$35.60$39.0035.8%10.4%40.7%64.8%36.8%6.6%-0.8%-5.9M144.3M-3.0M1.1114.57N/AN/A9,24510,306244,545263,658
2015-08-31$34.21$39.0037.8%11.5%42.5%71.5%40.2%8.5%-0.2%-6.4M241.4M-2.8M0.8613.79N/AN/A9,1227,849234,731259,335