BX Options History — November 2015

In November 2015, BX traded between $30.61 and $34.54. ATM implied volatility averaged 31.0%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.3% (HV 20d: 28.6%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-11-12: Highest Volume — 21,667 contracts
  • 2015-11-18: Largest IV drop — 8.5% change
  • 2015-11-17: Highest IV Rank — 50.1%
  • 2015-11-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.92$30.61$34.54$34.16$31.23
Max Pain$33.33$32.00$35.00$33.00$32.00
ATM IV31.0%29.0%33.5%30.8%29.0%
Expected Move8.9%8.4%9.6%9.2%8.6%
HV 20d28.6%27.0%30.8%28.4%27.0%
HV 60d41.6%37.5%44.0%44.0%37.5%
IV Rank42.5%36.8%50.1%42.0%36.9%
IV Percentile80.1%72.2%84.5%82.1%72.2%
Term Structure-0.2%-1.5%0.5%-0.4%0.4%
VWIV31.6%29.2%34.8%30.6%29.2%
Skew 25d4.7%3.8%6.0%5.3%4.1%
Skew 10d9.6%5.5%13.7%12.1%6.8%
Call IV 25d29.0%27.1%31.4%29.5%27.2%
Put IV 25d33.7%31.1%36.0%34.7%31.4%
Bid-Ask Spread %15.709.3822.5816.0513.83
Gamma HHI0.170.100.280.100.16
Net GEX-206.7K-4.7M3.4M1.7M-480.1K
Net DEX45.4M9.5M83.6M22.8M12.3M
Net VEX-741.9K-1.0M-329.5K-541.3K-818.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.252.400.480.25
Total Volume15,178.88,73321,66718,4228,733
Total OI187,163.593,881249,211146,568171,020

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$34.16$33.0030.8%9.2%28.4%42.0%30.6%5.3%-0.4%1.7M22.8M-541.3K0.4816.05N/AN/A12,4265,99681,03365,535
2015-11-03$34.54$33.0029.0%8.6%28.4%36.8%31.7%5.7%0.3%2.6M14.6M-551.4K0.7210.00N/AN/A9,6296,95383,94167,436
2015-11-04$33.63$33.5030.6%9.3%28.5%41.5%31.8%5.9%-0.4%1.4M37.1M-537.9K0.7822.58N/AN/A10,6798,36486,82768,957
2015-11-05$33.57$35.0030.5%8.9%28.0%41.2%31.8%4.9%-0.1%2.0M38.8M-574.4K0.6014.34N/AN/A9,8805,94891,72172,046
2015-11-06$32.88$34.0030.3%8.8%28.6%40.5%32.0%3.9%-0.3%-229.2K9.5M-329.5K1.2822.27N/AN/A5,2316,67154,40040,795
2015-11-09$32.05$34.0032.5%9.3%29.2%47.2%33.0%4.7%-0.4%-905.7K30.0M-336.9K0.9213.28N/AN/A5,9085,41750,49143,390
2015-11-10$32.20$34.0031.3%9.0%28.8%43.4%31.1%4.9%0.3%-1.4M83.6M-543.9K0.7516.54N/AN/A10,4037,82092,33779,011
2015-11-11$32.12$34.0031.2%9.0%28.5%43.2%30.3%6.0%0.5%-745.0K62.0M-542.5K0.7520.39N/AN/A10,4957,82396,20674,792
2015-11-12$31.14$34.0031.7%9.1%29.2%44.6%32.5%4.8%0.2%339.0K51.1M-1.0M0.7622.34N/AN/A12,3249,343159,56274,081
2015-11-13$30.61$34.0032.8%9.4%28.7%48.0%34.1%4.6%0.1%-849.2K75.5M-982.1K0.9915.49N/AN/A8,4818,433163,91577,801
2015-11-16$31.38$33.0032.2%9.3%30.0%46.2%31.6%4.1%-0.5%-325.7K21.4M-768.2K0.3014.30N/AN/A7,4992,234120,25552,544
2015-11-17$31.00$33.0033.5%9.6%30.0%50.1%34.8%4.8%-0.6%-579.5K61.7M-1.0M0.8717.11N/AN/A7,2526,304161,13078,292
2015-11-18$31.56$33.0030.7%8.8%30.8%41.7%32.3%3.9%0.3%198.7K44.3M-1.0M0.5619.55N/AN/A11,9696,668162,65678,266
2015-11-19$31.42$33.0031.2%9.0%30.7%43.3%32.1%4.5%-1.5%1.8M45.6M-1.0M0.8415.00N/AN/A6,3455,350168,62779,410
2015-11-20$31.12$33.0030.8%8.8%27.5%42.1%30.9%3.9%0.0%-2.4M68.3M-945.2K0.849.38N/AN/A8,1636,858169,76879,443
2015-11-23$31.01$33.0030.8%8.7%27.5%42.1%30.8%4.3%-0.9%-2.6M26.4M-769.8K1.2211.76N/AN/A5,5176,732110,01948,662
2015-11-24$30.67$33.0030.5%8.7%27.6%41.3%30.9%4.9%-0.2%-2.3M46.7M-724.2K2.0616.81N/AN/A4,1418,520113,14154,359
2015-11-25$31.06$33.0029.3%8.4%27.8%37.7%29.4%3.8%-0.9%-4.7M79.5M-834.2K0.7910.05N/AN/A7,7396,140148,70585,738
2015-11-27$31.00$32.0030.3%8.4%27.6%40.7%30.1%4.6%-0.3%3.4M76.4M-968.6K2.4012.86N/AN/A5,63613,552150,62686,332
2015-11-30$31.23$32.0029.0%8.6%27.0%36.9%29.2%4.1%0.4%-480.1K12.3M-818.5K0.2513.83N/AN/A6,9721,761112,27258,748