BX Options History — January 2016

In January 2016, BX traded between $23.79 and $29.00. ATM implied volatility averaged 44.4%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 2.7% (HV 20d: 41.8%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2016-01-14: Highest Volume — 84,430 contracts
2016-01-15: Largest IV spike — 21.3% change
2016-01-15: Highest IV Rank — 100.0%
2016-01-21: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.61	$23.79	$29.00	$29.00	$25.84
Max Pain	$28.74	$27.50	$30.00	$30.00	$27.50
ATM IV	44.4%	37.8%	53.7%	39.0%	41.6%
Expected Move	12.5%	9.9%	14.5%	9.9%	12.1%
HV 20d	41.8%	35.9%	52.7%	35.9%	52.7%
HV 60d	34.5%	30.0%	39.7%	30.0%	39.5%
IV Rank	78.1%	62.6%	100.0%	66.2%	67.3%
IV Percentile	95.5%	88.1%	100.0%	92.9%	89.7%
Term Structure	-1.3%	-3.5%	1.1%	-1.9%	0.3%
VWIV	42.4%	34.2%	49.7%	35.1%	44.5%
Skew 25d	7.9%	5.4%	10.7%	5.9%	5.4%
Skew 10d	15.0%	9.5%	19.4%	19.0%	17.6%
Call IV 25d	41.3%	33.4%	49.5%	35.0%	40.2%
Put IV 25d	49.1%	40.4%	57.8%	40.9%	45.6%
Bid-Ask Spread %	17.28	13.59	27.47	13.68	14.79
Gamma HHI	0.17	0.12	0.27	0.12	0.21
Net GEX	231.9K	-2.9M	5.4M	-1.9M	4.4M
Net DEX	96.3M	-6.0M	170.1M	68.2M	28.7M
Net VEX	-917.9K	-1.3M	-577.3K	-989.8K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.11	1.24	0.94	0.75
Total Volume	24,272.684	11,175	84,430	11,175	17,293
Total OI	344,214.368	304,234	398,234	304,234	398,234

Daily Data (19 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
2016-01-04	$29.00	$30.00	39.0%	9.9%	35.9%	66.2%	35.1%	5.9%	-1.9%	-1.9M	68.2M	-989.8K	0.94	13.68	N/A	N/A	5,768	5,407	197,625	106,609
2016-01-05	$28.14	$30.00	37.8%	10.2%	37.0%	62.6%	35.1%	7.0%	-1.5%	-2.8M	98.4M	-939.5K	1.24	13.59	N/A	N/A	5,407	6,692	199,392	107,437
2016-01-06	$27.26	$29.00	39.3%	10.6%	38.2%	67.2%	34.2%	8.6%	-0.9%	-2.9M	123.8M	-888.7K	1.02	14.43	N/A	N/A	9,183	9,323	201,893	109,728
2016-01-07	$26.44	$29.00	42.1%	11.6%	39.2%	75.4%	36.5%	9.3%	-1.2%	-2.8M	141.3M	-782.0K	1.07	14.28	N/A	N/A	6,993	7,470	204,519	110,768
2016-01-08	$25.52	$29.00	42.2%	10.9%	39.4%	75.7%	38.5%	9.4%	-2.3%	-2.6M	160.3M	-682.8K	1.01	15.33	N/A	N/A	8,071	8,174	205,924	111,436
2016-01-11	$24.70	$29.00	43.9%	11.7%	40.3%	80.5%	43.9%	10.7%	-2.2%	-2.5M	170.1M	-577.3K	0.86	16.72	N/A	N/A	12,268	10,532	202,675	109,417
2016-01-12	$25.14	$30.00	41.1%	11.6%	38.5%	72.3%	37.8%	8.4%	-0.6%	-2.6M	162.9M	-676.4K	0.56	15.47	N/A	N/A	10,999	6,123	206,948	113,548
2016-01-13	$24.47	$29.00	46.3%	12.9%	37.9%	87.6%	41.3%	9.7%	-0.7%	-2.0M	166.2M	-705.9K	0.85	19.57	N/A	N/A	10,146	8,642	211,139	114,097
2016-01-14	$25.62	$29.00	44.3%	12.3%	39.3%	81.8%	37.9%	8.0%	-2.9%	-1.9M	140.9M	-790.0K	0.14	20.86	N/A	N/A	74,357	10,073	213,820	116,892
2016-01-15	$24.50	$30.00	53.7%	14.5%	39.7%	100.0%	40.6%	7.2%	-3.5%	1.6M	150.8M	-884.4K	0.65	21.72	N/A	N/A	17,094	11,083	273,468	119,172
2016-01-19	$24.09	$29.00	47.3%	13.5%	37.1%	82.7%	45.9%	8.3%	-2.0%	400.5K	96.0M	-837.9K	0.48	19.56	N/A	N/A	15,766	7,585	228,232	91,821
2016-01-20	$23.79	$29.00	49.7%	14.3%	36.4%	89.2%	49.7%	10.6%	-1.1%	131.2K	101.4M	-821.4K	0.43	17.88	N/A	N/A	16,174	6,891	230,114	96,597
2016-01-21	$24.25	$29.00	50.3%	14.5%	36.7%	90.8%	49.0%	7.8%	-2.2%	886.8K	79.0M	-904.3K	0.11	16.43	N/A	N/A	56,698	6,041	235,293	97,994
2016-01-22	$26.01	$27.50	45.2%	13.1%	46.6%	77.0%	45.3%	6.3%	-0.5%	4.5M	1.8M	-1.2M	0.31	27.47	N/A	N/A	17,444	5,375	282,771	100,589
2016-01-25	$25.01	$27.50	45.9%	13.6%	46.2%	79.0%	48.8%	6.5%	-0.8%	3.4M	42.2M	-1.1M	0.52	14.56	N/A	N/A	9,647	5,061	282,631	96,453
2016-01-26	$26.22	$27.50	44.7%	13.3%	50.5%	75.8%	48.8%	6.3%	-0.0%	5.4M	-6.0M	-1.3M	0.67	17.09	N/A	N/A	7,377	4,924	284,611	98,264
2016-01-27	$25.46	$27.50	45.1%	13.7%	51.1%	76.7%	48.1%	6.7%	-1.7%	3.7M	37.0M	-1.1M	1.08	15.97	N/A	N/A	8,589	9,301	286,158	99,628
2016-01-28	$25.11	$27.50	45.0%	13.1%	51.1%	76.4%	44.9%	7.4%	1.1%	2.0M	66.7M	-1.0M	0.64	18.91	N/A	N/A	14,185	9,025	289,036	105,140
2016-01-29	$25.84	$27.50	41.6%	12.1%	52.7%	67.3%	44.5%	5.4%	0.3%	4.4M	28.7M	-1.2M	0.75	14.79	N/A	N/A	9,887	7,406	292,868	105,366