BX Options History — September 2015

In September 2015, BX traded between $29.83 and $35.76. ATM implied volatility averaged 40.2%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 6.5% (HV 20d: 46.7%). Max pain ranged from $34.00 to $39.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-09-10: Highest Volume — 57,635 contracts
  • 2015-09-28: Largest IV spike — 19.8% change
  • 2015-09-28: Highest IV Rank — 100.0%
  • 2015-09-29: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.45$29.83$35.76$32.43$31.69
Max Pain$34.48$34.00$39.00$39.00$34.00
ATM IV40.2%33.6%50.5%43.9%47.0%
Expected Move11.7%9.6%15.4%13.5%13.7%
HV 20d46.7%42.3%49.1%44.5%49.1%
HV 60d36.5%33.1%42.1%33.3%42.1%
IV Rank78.1%57.4%100.0%92.0%89.7%
IV Percentile96.7%91.7%100.0%99.6%99.2%
Term Structure-0.1%-2.3%2.6%-1.4%-1.2%
VWIV41.0%34.2%54.9%45.7%48.6%
Skew 25d7.8%5.9%11.3%8.4%11.3%
Skew 10d15.2%10.5%20.3%16.5%14.8%
Call IV 25d36.7%31.0%46.2%40.6%40.9%
Put IV 25d44.5%36.9%55.7%49.0%52.2%
Bid-Ask Spread %19.049.1231.6510.5921.82
Gamma HHI0.140.090.250.090.25
Net GEX-4.8M-7.9M1.8M-5.6M-7.4M
Net DEX202.3M40.2M335.9M325.0M243.2M
Net VEX-2.8M-3.1M-2.4M-2.6M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.362.920.481.30
Total Volume31,983.95211,89757,63535,33045,752
Total OI515,125.048463,463559,669496,511500,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$32.43$39.0043.9%13.5%44.5%92.0%45.7%8.4%-1.4%-5.6M325.0M-2.6M0.4810.59N/AN/A23,83111,499236,585259,926
2015-09-02$32.48$39.0041.9%12.4%44.6%85.3%43.8%6.0%-1.0%-5.4M320.2M-2.7M1.1611.78N/AN/A8,87110,310251,549260,582
2015-09-03$33.55$34.0040.5%11.5%46.9%80.7%44.9%9.0%-0.8%-5.6M259.7M-2.9M1.6421.16N/AN/A13,22021,701253,824261,925
2015-09-04$33.72$34.0041.8%12.0%47.0%85.0%42.4%8.1%-0.4%-6.1M259.8M-2.9M0.9121.69N/AN/A10,9309,948257,846274,836
2015-09-08$35.41$34.0037.5%11.4%48.7%70.5%39.5%7.0%1.9%-5.9M138.8M-3.1M0.3629.34N/AN/A9,4783,405253,237270,506
2015-09-09$34.54$34.0038.1%11.1%48.2%72.4%39.2%7.2%0.4%-5.7M194.6M-3.0M0.7918.51N/AN/A10,4608,216256,732272,329
2015-09-10$33.99$34.0038.3%11.3%48.2%73.2%38.8%6.8%1.1%-7.9M236.8M-2.9M1.5213.19N/AN/A22,91234,723258,901273,395
2015-09-11$33.87$34.0038.5%11.2%48.2%73.8%38.4%6.7%0.8%-4.3M230.8M-3.0M0.7531.65N/AN/A27,31820,541273,582282,615
2015-09-14$33.96$34.0039.7%11.5%47.8%77.9%39.4%7.1%0.6%-3.9M199.3M-2.9M1.4124.52N/AN/A20,18428,429271,892275,341
2015-09-15$34.69$34.0037.3%10.7%48.8%69.7%38.0%6.6%2.6%-3.7M108.9M-3.0M0.7124.26N/AN/A6,9384,959272,289270,496
2015-09-16$34.71$34.0036.1%10.4%47.6%66.0%36.7%7.4%2.6%-4.1M127.8M-3.0M1.1822.51N/AN/A12,42914,698274,914274,782
2015-09-17$35.76$34.0033.6%9.6%48.9%57.4%34.5%5.9%0.5%-2.8M40.2M-3.1M2.9227.71N/AN/A11,51133,594278,460276,966
2015-09-18$34.09$34.0037.0%10.4%46.0%69.0%35.9%7.0%1.3%1.8M173.4M-3.0M1.7120.38N/AN/A16,56428,267280,570279,099
2015-09-21$34.30$34.0035.2%9.8%45.8%62.7%34.2%7.8%-1.0%-1.6M96.1M-2.9M0.7215.08N/AN/A11,7678,419228,535234,928
2015-09-22$33.55$34.0038.7%10.8%45.5%74.4%37.4%7.9%-1.0%-3.1M135.7M-2.8M1.5013.47N/AN/A8,27812,390232,672236,822
2015-09-23$33.40$34.0039.0%10.9%45.5%75.4%38.5%8.0%-1.0%-4.3M162.2M-2.8M0.659.71N/AN/A12,1397,850234,756241,600
2015-09-24$32.56$34.0042.1%11.7%44.0%85.9%40.4%7.8%-0.6%-6.1M213.7M-2.7M1.4818.96N/AN/A12,77218,875239,964242,847
2015-09-25$32.95$34.0039.7%11.2%42.3%78.0%40.4%8.7%-0.6%-6.3M181.7M-2.7M0.9918.79N/AN/A10,12610,071242,890250,137
2015-09-28$30.99$34.0047.6%14.3%46.9%100.0%49.1%9.1%-1.8%-6.1M264.8M-2.5M2.0315.52N/AN/A14,96630,425238,150240,587
2015-09-29$29.83$34.0050.5%15.4%46.7%100.0%54.9%9.6%-2.3%-6.2M335.9M-2.4M1.589.12N/AN/A16,63426,263244,784255,122
2015-09-30$31.69$34.0047.0%13.7%49.1%89.7%48.6%11.3%-1.2%-7.4M243.2M-2.7M1.3021.82N/AN/A19,92325,829248,876251,777