BX Options History — February 2016

In February 2016, BX traded between $23.08 and $27.48. ATM implied volatility averaged 46.6%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 15.2% (HV 20d: 61.8%). Max pain ranged from $27.50 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.03.

Notable Days

2016-02-03: Highest Volume — 73,958 contracts
2016-02-08: Largest IV spike — 22.0% change
2016-02-09: Highest IV Rank — 100.0%
2016-02-11: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.71	$23.08	$27.48	$27.48	$26.01
Max Pain	$28.07	$27.50	$29.00	$27.50	$28.00
ATM IV	46.6%	39.6%	60.2%	39.6%	41.7%
Expected Move	13.5%	11.7%	17.3%	11.7%	12.9%
HV 20d	61.8%	57.0%	67.1%	58.0%	58.3%
HV 60d	46.6%	41.7%	49.8%	41.7%	49.7%
IV Rank	73.5%	57.5%	100.0%	62.0%	57.7%
IV Percentile	92.4%	82.9%	100.0%	86.9%	82.9%
Term Structure	-0.4%	-2.2%	0.7%	0.2%	0.1%
VWIV	46.9%	38.7%	60.5%	46.8%	47.1%
Skew 25d	7.2%	4.5%	11.0%	5.3%	5.2%
Skew 10d	14.9%	8.2%	23.8%	12.1%	17.4%
Call IV 25d	43.8%	38.4%	55.2%	38.7%	40.5%
Put IV 25d	51.0%	44.0%	66.3%	44.0%	45.7%
Bid-Ask Spread %	14.83	6.97	26.60	10.60	23.99
Gamma HHI	0.22	0.17	0.28	0.28	0.19
Net GEX	4.6M	674.0K	8.5M	8.0M	2.9M
Net DEX	33.1M	-48.8M	111.8M	-48.8M	51.0M
Net VEX	-1.2M	-1.4M	-1.0M	-1.4M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.41	2.05	0.41	0.83
Total Volume	26,589.3	17,752	73,958	23,300	20,522
Total OI	419,660.7	389,390	443,011	389,390	427,500

Daily Data (20 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
2016-02-01	$27.48	$27.50	39.6%	11.7%	58.0%	62.0%	46.8%	5.3%	0.2%	8.0M	-48.8M	-1.4M	0.41	10.60	N/A	N/A	16,508	6,792	288,747	100,643
2016-02-02	$26.33	$27.50	42.5%	12.7%	59.7%	69.8%	45.9%	5.7%	0.1%	5.7M	11.6M	-1.2M	0.61	6.97	N/A	N/A	12,388	7,577	292,743	102,630
2016-02-03	$26.43	$27.50	42.7%	12.2%	59.0%	70.5%	39.7%	4.5%	0.4%	6.5M	-1.1M	-1.3M	0.64	9.07	N/A	N/A	45,188	28,770	294,786	105,051
2016-02-04	$26.36	$29.00	43.8%	12.7%	58.0%	73.2%	44.2%	6.3%	-0.1%	7.2M	-17.0M	-1.3M	0.71	11.49	N/A	N/A	19,628	13,857	297,804	106,445
2016-02-05	$26.43	$29.00	43.8%	12.7%	57.0%	73.2%	46.0%	5.6%	0.3%	8.5M	-20.6M	-1.4M	1.23	11.74	N/A	N/A	14,237	17,500	298,214	111,982
2016-02-08	$24.43	$29.00	53.4%	15.2%	62.4%	99.0%	51.3%	8.5%	0.7%	2.5M	75.9M	-1.1M	1.06	10.71	N/A	N/A	12,309	13,086	294,918	115,569
2016-02-09	$24.42	$28.00	54.1%	15.5%	61.3%	100.0%	50.8%	9.0%	0.3%	2.5M	75.1M	-1.1M	1.26	13.68	N/A	N/A	8,805	11,121	297,585	118,369
2016-02-10	$24.58	$28.00	52.7%	14.8%	61.0%	96.4%	51.0%	9.2%	-1.4%	2.7M	75.5M	-1.1M	1.31	12.52	N/A	N/A	9,137	11,960	299,422	118,960
2016-02-11	$23.08	$28.00	60.2%	17.3%	64.3%	100.0%	60.5%	11.0%	0.5%	674.0K	111.8M	-1.0M	1.22	12.48	N/A	N/A	16,281	19,800	301,999	120,181
2016-02-12	$24.57	$28.00	54.8%	15.8%	66.2%	87.5%	53.2%	10.1%	-1.3%	2.4M	72.5M	-1.2M	0.74	14.51	N/A	N/A	17,024	12,568	304,901	124,829
2016-02-16	$25.84	$28.00	50.4%	14.5%	66.7%	77.6%	50.1%	9.1%	-0.6%	5.5M	21.4M	-1.3M	0.62	13.72	N/A	N/A	12,045	7,525	302,088	123,217
2016-02-17	$26.57	$28.00	45.2%	13.0%	66.8%	65.6%	43.0%	6.6%	0.2%	8.2M	-16.9M	-1.3M	0.80	10.98	N/A	N/A	14,935	11,887	304,973	123,787
2016-02-18	$26.47	$28.00	46.2%	13.4%	66.6%	68.0%	51.7%	6.7%	-2.2%	7.9M	-1.6M	-1.4M	2.05	12.96	N/A	N/A	8,078	16,539	310,382	127,610
2016-02-19	$25.86	$28.00	44.2%	12.7%	67.1%	63.3%	43.5%	7.3%	-0.4%	3.9M	47.3M	-1.2M	1.78	12.25	N/A	N/A	9,404	16,785	311,559	131,452
2016-02-22	$26.58	$28.00	41.6%	12.0%	63.1%	57.5%	42.1%	6.8%	-0.6%	5.9M	6.3M	-1.3M	0.67	12.87	N/A	N/A	11,192	7,511	289,449	126,005
2016-02-23	$25.79	$28.00	44.5%	12.9%	62.4%	64.0%	45.8%	7.6%	-0.9%	3.8M	41.5M	-1.2M	1.11	26.60	N/A	N/A	10,222	11,303	294,444	127,809
2016-02-24	$25.76	$28.00	43.9%	13.0%	60.0%	62.7%	45.9%	6.5%	-1.2%	3.3M	53.5M	-1.2M	1.56	22.40	N/A	N/A	7,193	11,214	297,663	132,982
2016-02-25	$25.48	$28.00	44.0%	12.9%	59.2%	62.9%	41.5%	6.3%	-2.0%	2.3M	67.2M	-1.2M	1.25	24.31	N/A	N/A	7,897	9,855	299,127	133,371
2016-02-26	$25.64	$28.00	42.8%	12.5%	59.0%	60.1%	38.7%	6.5%	-0.7%	2.2M	57.5M	-1.2M	0.77	22.68	N/A	N/A	13,056	10,087	300,628	133,390
2016-02-29	$26.01	$28.00	41.7%	12.9%	58.3%	57.7%	47.1%	5.2%	0.1%	2.9M	51.0M	-1.2M	0.83	23.99	N/A	N/A	11,221	9,301	297,406	130,094