BX Options History — March 2016

In March 2016, BX traded between $26.34 and $29.07. ATM implied volatility averaged 35.6%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 5.5% (HV 20d: 41.0%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-03-01: Highest Volume — 36,919 contracts
  • 2016-03-16: Largest IV drop — 11.2% change
  • 2016-03-01: Highest IV Rank — 52.6%
  • 2016-03-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.74$26.34$29.07$27.08$28.04
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV35.6%32.3%39.5%39.5%32.8%
Expected Move10.1%8.0%12.0%12.0%8.0%
HV 20d41.0%30.5%55.8%55.8%31.6%
HV 60d49.6%48.4%51.2%50.0%49.7%
IV Rank43.6%36.0%52.6%52.6%37.2%
IV Percentile66.9%57.5%79.0%79.0%57.9%
Term Structure0.4%-2.0%2.5%-0.1%-1.0%
VWIV35.5%28.7%43.4%43.4%28.7%
Skew 25d5.5%3.9%8.2%5.3%6.0%
Skew 10d11.5%1.8%19.0%14.0%12.3%
Call IV 25d33.1%28.4%37.6%37.6%28.4%
Put IV 25d38.6%34.1%42.9%42.9%34.4%
Bid-Ask Spread %17.197.8230.1727.628.02
Gamma HHI0.210.080.480.290.11
Net GEX6.3M-2.6M19.5M7.5M2.2M
Net DEX-22.5M-197.9M92.5M-18.7M416.5K
Net VEX-1.3M-1.6M-1.0M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.412.520.521.00
Total Volume21,214.09113,32136,91936,91913,321
Total OI414,773.909286,121499,135435,070332,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$27.08$28.0039.5%12.0%55.8%52.6%43.4%5.3%-0.1%7.5M-18.7M-1.3M0.5227.62N/AN/A24,24212,677303,502131,568
2016-03-02$28.13$28.0037.6%11.4%55.1%48.3%39.4%5.3%0.3%13.6M-101.2M-1.5M0.5921.85N/AN/A16,6279,737317,024135,306
2016-03-03$28.53$28.0036.8%10.9%55.2%46.4%38.6%4.6%-0.5%15.6M-139.4M-1.5M0.4124.69N/AN/A15,5046,396319,548137,161
2016-03-04$29.07$28.0035.7%10.7%55.4%43.9%37.5%4.6%-0.0%19.1M-197.9M-1.6M0.6229.13N/AN/A16,90710,404326,485138,207
2016-03-07$29.02$28.0036.8%11.0%55.5%46.4%37.4%4.9%1.2%19.5M-165.4M-1.6M0.5820.26N/AN/A10,8776,349324,482139,684
2016-03-08$28.23$28.0038.1%11.2%47.7%49.5%39.2%5.2%0.6%14.6M-86.0M-1.5M0.7730.17N/AN/A10,4628,107329,640141,784
2016-03-09$27.54$28.0038.8%11.2%49.0%51.0%41.0%4.8%0.8%9.9M-34.9M-1.4M1.8418.74N/AN/A8,71115,990333,161143,384
2016-03-10$27.35$28.0038.4%11.6%49.2%50.1%40.2%5.0%2.4%7.5M-4.4M-1.4M0.9712.68N/AN/A9,0158,749334,390149,307
2016-03-11$27.55$28.0037.4%10.8%42.1%47.8%38.4%5.8%0.5%6.7M-2.3M-1.3M0.9914.10N/AN/A9,2929,165336,234150,347
2016-03-14$27.36$28.0038.3%11.0%37.3%49.9%39.3%5.1%-2.0%5.4M9.2M-1.2M1.688.45N/AN/A5,9369,953333,765147,284
2016-03-15$27.08$28.0037.7%10.9%33.6%48.5%37.5%5.1%0.4%2.5M38.7M-1.2M0.657.82N/AN/A10,2656,665335,367153,870
2016-03-16$27.75$28.0033.5%9.6%33.3%38.9%33.9%4.9%2.3%4.3M-2.5M-1.2M0.5622.90N/AN/A13,1547,397334,435154,368
2016-03-17$28.50$28.0033.8%9.7%34.3%39.6%33.3%3.9%-0.9%3.5M-45.3M-1.3M0.4819.65N/AN/A12,6266,079337,239154,990
2016-03-18$27.98$28.0032.3%9.3%33.8%36.0%31.4%4.3%-0.4%1.6M-13.6M-1.2M0.6517.15N/AN/A18,49112,031342,381156,754
2016-03-21$27.98$28.0032.6%9.0%32.7%36.8%31.3%6.8%0.8%2.7M2.7M-1.2M0.7521.50N/AN/A11,0558,283191,87494,247
2016-03-22$27.82$28.0032.6%8.6%30.5%36.7%30.2%4.7%1.5%3.0M7.4M-1.2M1.8012.12N/AN/A5,3149,583198,61597,908
2016-03-23$27.00$28.0032.5%9.5%32.7%36.7%33.2%8.2%2.5%1.1M47.6M-1.1M2.5215.45N/AN/A8,44421,308199,800101,399
2016-03-24$26.43$28.0036.1%9.9%33.5%44.8%34.7%7.4%0.7%-354.0K75.4M-1.0M1.9913.57N/AN/A7,20714,308201,461106,196
2016-03-28$26.34$28.0034.6%9.7%33.5%41.3%33.2%7.0%0.0%-2.6M92.5M-1.0M0.7512.00N/AN/A8,9766,695195,917117,381
2016-03-29$27.57$28.0033.6%8.7%36.8%39.2%31.2%5.6%-0.7%-356.6K34.8M-1.2M0.5711.05N/AN/A14,3388,120199,766119,323
2016-03-30$27.97$28.0033.0%8.3%34.4%37.7%28.9%6.0%0.5%1.4M7.5M-1.2M0.659.29N/AN/A10,8737,077205,499121,269
2016-03-31$28.04$28.0032.8%8.0%31.6%37.2%28.7%6.0%-1.0%2.2M416.5K-1.2M1.008.02N/AN/A6,6566,665209,961122,743