BX Options History — October 2015

In October 2015, BX traded between $30.70 and $34.64. ATM implied volatility averaged 35.0%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 12.3% (HV 20d: 47.3%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2015-10-01: Highest Volume — 45,986 contracts
2015-10-15: Largest IV drop — 10.5% change
2015-10-01: Highest IV Rank — 92.4%
2015-10-02: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.65	$30.70	$34.64	$30.70	$33.15
Max Pain	$33.27	$31.00	$35.00	$33.00	$33.00
ATM IV	35.0%	28.4%	47.9%	47.9%	31.5%
Expected Move	10.0%	8.2%	14.8%	14.1%	9.3%
HV 20d	47.3%	33.0%	54.2%	50.3%	33.4%
HV 60d	43.6%	42.1%	44.4%	42.1%	43.6%
IV Rank	54.5%	35.1%	92.4%	92.4%	44.0%
IV Percentile	86.8%	79.8%	99.6%	99.6%	82.9%
Term Structure	-0.6%	-3.3%	0.7%	-1.1%	-0.2%
VWIV	35.9%	28.2%	52.4%	48.0%	32.7%
Skew 25d	8.8%	2.1%	22.5%	14.7%	6.4%
Skew 10d	18.7%	9.0%	36.4%	36.4%	9.9%
Call IV 25d	31.0%	21.1%	44.7%	39.0%	28.6%
Put IV 25d	39.8%	32.0%	53.7%	53.7%	34.9%
Bid-Ask Spread %	28.03	16.45	44.23	21.53	17.03
Gamma HHI	0.11	0.07	0.19	0.19	0.12
Net GEX	-466.2K	-5.9M	2.0M	-5.9M	169.5K
Net DEX	82.0M	-1.7M	242.2M	224.8M	57.6M
Net VEX	-719.6K	-2.7M	-8.1K	-2.7M	-502.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.57	1.48	1.32	0.73
Total Volume	21,165.864	10,391	45,986	45,986	16,217
Total OI	180,081.409	2,878	518,920	518,920	150,617

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
2015-10-01	$30.70	$33.00	47.9%	14.1%	50.3%	92.4%	48.0%	14.7%	-1.1%	-5.9M	224.8M	-2.7M	1.32	21.53	N/A	N/A	19,857	26,129	256,761	262,159
2015-10-02	$31.51	$34.00	46.9%	14.8%	49.7%	89.5%	52.4%	2.1%	-3.3%	-5.3M	242.2M	-2.7M	1.07	25.83	N/A	N/A	17,502	18,785	247,343	251,277
2015-10-05	$33.39	$31.00	44.3%	11.4%	54.2%	81.8%	33.3%	12.0%	-2.7%	76.7K	-1.7M	-8.1K	0.61	26.41	N/A	N/A	6,436	3,955	1,216	1,662
2015-10-06	$33.77	$35.00	40.8%	10.9%	51.2%	71.6%	39.6%	16.6%	-2.2%	-3.5M	163.4M	-999.9K	1.30	30.51	N/A	N/A	7,758	10,077	109,840	134,766
2015-10-07	$34.64	$35.00	37.8%	10.4%	51.4%	62.8%	36.3%	22.5%	-0.6%	-2.4M	123.5M	-766.4K	0.89	30.51	N/A	N/A	11,776	10,449	88,754	117,492
2015-10-08	$34.10	$34.00	38.0%	10.5%	51.4%	63.3%	38.7%	10.4%	-1.6%	-668.0K	107.3M	-572.4K	1.35	28.36	N/A	N/A	9,112	12,276	78,647	84,020
2015-10-09	$34.42	$34.00	37.5%	10.6%	51.5%	61.7%	37.4%	10.4%	-0.6%	304.2K	100.1M	-545.3K	1.43	24.49	N/A	N/A	8,466	12,132	80,120	81,068
2015-10-12	$33.77	$34.00	37.1%	10.9%	52.0%	60.5%	37.7%	9.4%	0.3%	-1.4M	104.0M	-508.5K	0.77	44.23	N/A	N/A	8,721	6,731	66,496	78,549
2015-10-13	$33.21	$33.00	37.4%	10.7%	51.6%	61.4%	45.3%	10.1%	0.7%	-1.3M	102.4M	-483.2K	0.93	38.32	N/A	N/A	7,850	7,289	68,711	77,141
2015-10-14	$33.50	$33.00	36.5%	10.6%	51.8%	58.7%	42.4%	9.8%	0.4%	-915.9K	77.2M	-482.6K	0.72	41.44	N/A	N/A	12,416	8,922	68,936	70,015
2015-10-15	$34.13	$33.00	32.6%	9.4%	51.0%	47.5%	33.8%	6.8%	0.2%	-902.6K	48.0M	-502.3K	0.70	36.71	N/A	N/A	13,177	9,267	73,411	70,758
2015-10-16	$34.59	$33.00	31.2%	8.8%	48.3%	43.1%	33.3%	6.9%	-0.6%	1.2M	37.8M	-524.5K	1.21	38.78	N/A	N/A	11,382	13,724	74,003	73,431
2015-10-19	$33.82	$33.00	31.9%	9.1%	49.0%	45.3%	32.1%	6.6%	-1.1%	970.2K	52.5M	-486.4K	0.83	33.07	N/A	N/A	8,674	7,160	68,325	62,231
2015-10-20	$33.42	$33.00	32.3%	9.3%	48.5%	46.4%	32.4%	6.9%	-1.7%	868.5K	62.5M	-464.2K	1.13	26.43	N/A	N/A	7,935	8,940	71,058	64,011
2015-10-21	$33.65	$33.00	30.2%	8.7%	48.5%	40.3%	29.6%	4.7%	-0.6%	1.3M	49.8M	-464.0K	0.97	23.49	N/A	N/A	13,610	13,264	73,017	63,840
2015-10-22	$33.32	$33.00	30.2%	8.7%	47.7%	40.2%	30.5%	5.9%	-1.0%	1.3M	68.9M	-468.9K	0.81	25.35	N/A	N/A	13,465	10,883	78,722	69,985
2015-10-23	$34.46	$33.00	28.4%	8.2%	49.0%	35.1%	28.2%	6.1%	-0.3%	69.4K	43.7M	-498.4K	1.48	21.40	N/A	N/A	14,275	21,099	79,713	69,783
2015-10-26	$34.35	$33.00	28.6%	8.4%	43.0%	35.6%	29.7%	6.3%	0.6%	1.1M	34.7M	-537.5K	0.74	16.45	N/A	N/A	7,443	5,503	73,867	71,760
2015-10-27	$34.06	$33.00	29.5%	8.6%	40.2%	38.4%	30.9%	6.6%	0.4%	986.4K	41.9M	-538.0K	0.77	17.66	N/A	N/A	7,569	5,824	75,924	72,780
2015-10-28	$34.41	$33.00	29.5%	8.5%	34.9%	38.3%	31.7%	6.1%	0.5%	1.6M	30.7M	-541.2K	0.57	30.06	N/A	N/A	9,544	5,412	77,712	73,541
2015-10-29	$33.93	$33.00	30.4%	9.1%	33.0%	40.9%	32.7%	6.6%	0.7%	2.0M	31.7M	-539.2K	0.63	18.60	N/A	N/A	8,988	5,655	81,043	67,286
2015-10-30	$33.15	$33.00	31.5%	9.3%	33.4%	44.0%	32.7%	6.4%	-0.2%	169.5K	57.6M	-502.3K	0.73	17.03	N/A	N/A	9,378	6,839	82,804	67,813