BX Options History — December 2015 In December 2015, BX traded between $27.85 and $31.71. ATM implied volatility averaged 32.5%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.5% (HV 20d: 32.0%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2015-12-14 : Highest Volume — 60,541 contracts2015-12-11 : Largest IV spike — 18.3% change2015-12-14 : Highest IV Rank — 71.2%2015-12-14 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $30.04 $27.85 $31.71 $31.71 $29.30 Max Pain $32.73 $31.00 $35.00 $32.00 $31.00 ATM IV 32.5% 27.4% 40.7% 27.4% 33.2% Expected Move 9.3% 8.0% 11.6% 8.2% 9.2% HV 20d 32.0% 24.6% 38.2% 25.0% 35.8% HV 60d 36.0% 30.5% 38.5% 37.7% 30.5% IV Rank 47.0% 32.2% 71.2% 32.2% 49.2% IV Percentile 79.3% 64.3% 94.8% 66.7% 82.5% Term Structure 0.7% -1.0% 3.9% 0.2% 0.4% VWIV 32.9% 28.6% 39.3% 28.7% 38.6% Skew 25d 5.5% 3.8% 8.1% 3.8% 6.0% Skew 10d 11.6% 1.3% 18.1% 7.6% 15.4% Call IV 25d 30.4% 25.4% 38.8% 25.4% 30.6% Put IV 25d 35.9% 29.3% 45.3% 29.3% 36.7% Bid-Ask Spread % 15.32 8.88 24.39 15.61 14.47 Gamma HHI 0.14 0.12 0.18 0.12 0.13 Net GEX -196.4K -2.4M 3.1M 1.3M -947.1K Net DEX 39.5M -26.6M 129.4M -6.9M 55.6M Net VEX -1.1M -1.3M -820.2K -829.2K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.43 3.14 0.43 3.14 Total Volume 19,467.682 5,491 60,541 7,231 19,903 Total OI 274,168 176,913 318,069 176,913 301,480
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 2015-12-01 $31.71 $32.00 27.4% 8.2% 25.0% 32.2% 28.7% 3.8% 0.2% 1.3M -6.9M -829.2K 0.43 15.61 N/A N/A 5,070 2,161 116,873 60,040 2015-12-02 $30.56 $32.00 31.0% 9.5% 27.0% 42.7% 33.7% 4.7% 0.3% -350.5K 51.2M -1.0M 0.77 24.39 N/A N/A 10,839 8,382 154,367 84,126 2015-12-03 $30.38 $35.00 31.1% 9.1% 25.8% 43.1% 32.2% 4.5% -0.1% -1.1M 76.5M -820.2K 0.93 18.08 N/A N/A 12,218 11,315 157,118 86,669 2015-12-04 $30.63 $35.00 28.9% 8.2% 26.3% 36.6% 30.1% 4.5% 0.0% -954.6K 55.6M -1.1M 0.98 20.53 N/A N/A 10,748 10,579 162,922 92,767 2015-12-07 $30.41 $32.00 30.0% 8.9% 25.6% 39.9% 30.0% 4.3% 0.9% -1.5M 37.1M -859.3K 0.56 11.76 N/A N/A 3,518 1,973 127,857 68,572 2015-12-08 $29.98 $35.00 32.1% 9.3% 24.6% 46.0% 32.5% 4.8% 0.3% -1.7M 79.1M -992.3K 0.50 14.10 N/A N/A 18,696 9,389 162,896 92,396 2015-12-09 $30.50 $34.00 32.8% 9.7% 25.5% 47.8% 32.4% 5.3% 1.4% -507.0K 47.7M -1.2M 1.07 15.45 N/A N/A 7,443 7,945 175,754 94,881 2015-12-10 $30.31 $34.00 32.4% 9.5% 25.6% 46.9% 33.0% 5.4% 0.7% -1.3M 63.9M -1.1M 1.27 11.46 N/A N/A 6,196 7,899 176,992 96,459 2015-12-11 $28.81 $34.00 38.4% 10.9% 29.2% 64.4% 38.6% 8.1% -0.2% -2.3M 105.8M -1.0M 0.90 15.72 N/A N/A 9,652 8,728 177,496 97,311 2015-12-14 $27.85 $34.00 40.7% 11.6% 30.7% 71.2% 39.3% 6.6% -1.0% -2.4M 129.4M -889.0K 0.90 21.79 N/A N/A 31,838 28,703 176,298 98,300 2015-12-15 $28.90 $34.00 37.9% 10.9% 32.5% 62.9% 37.0% 7.8% -0.7% -1.6M 81.8M -1.2M 0.88 14.06 N/A N/A 10,542 9,259 199,556 118,513 2015-12-16 $29.66 $34.00 35.3% 10.1% 34.1% 55.3% 33.5% 5.4% -0.0% -1.7M 59.4M -1.0M 0.47 21.29 N/A N/A 13,654 6,427 199,829 108,983 2015-12-17 $30.53 $34.00 31.1% 8.9% 35.1% 43.0% 36.0% 7.1% 0.1% 903.5K -10.8M -1.3M 1.08 17.11 N/A N/A 13,690 14,769 206,313 109,392 2015-12-18 $29.60 $32.00 33.2% 9.5% 36.6% 49.0% 34.2% 6.8% 0.2% 512.0K 31.0M -1.2M 1.11 8.88 N/A N/A 9,739 10,777 211,038 98,395 2015-12-21 $30.08 $32.00 33.1% 9.2% 37.1% 48.9% 30.8% 3.9% -0.5% 621.7K 11.4M -990.2K 0.78 13.36 N/A N/A 13,489 10,509 187,091 85,399 2015-12-22 $30.04 $31.00 31.0% 9.0% 37.1% 42.6% 30.6% 4.3% 2.3% 1.3M 7.5M -1.2M 0.76 13.33 N/A N/A 7,013 5,349 195,494 91,677 2015-12-23 $30.82 $31.00 28.9% 8.0% 38.2% 36.4% 28.6% 4.5% 2.4% 3.1M -26.6M -1.2M 0.61 14.27 N/A N/A 8,184 5,017 196,171 92,882 2015-12-24 $30.67 $31.00 28.6% 8.1% 37.9% 35.8% 28.7% 5.2% 3.9% 3.1M -21.2M -1.2M 0.74 16.22 N/A N/A 6,774 5,024 198,582 93,298 2015-12-28 $30.40 $31.00 31.6% 8.9% 38.0% 44.6% 32.0% 6.3% 1.3% 1.5M -3.7M -1.1M 1.34 12.92 N/A N/A 6,498 8,685 195,470 92,089 2015-12-29 $30.12 $31.00 32.9% 9.2% 38.0% 48.2% 33.6% 5.4% 1.5% 662.3K 8.6M -1.2M 1.26 10.47 N/A N/A 7,469 9,388 196,740 95,425 2015-12-30 $29.61 $31.00 32.8% 9.0% 37.8% 48.1% 30.4% 5.8% 1.2% -916.2K 36.2M -1.1M 1.31 11.85 N/A N/A 5,556 7,282 198,101 99,684 2015-12-31 $29.30 $31.00 33.2% 9.2% 35.8% 49.2% 38.6% 6.0% 0.4% -947.1K 55.6M -1.1M 3.14 14.47 N/A N/A 4,803 15,100 200,050 101,430
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