BX Options History — April 2016

In April 2016, BX traded between $26.59 and $29.45. ATM implied volatility averaged 31.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.2% (HV 20d: 33.3%). Max pain ranged from $27.00 to $28.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-04-21: Highest Volume — 28,149 contracts
  • 2016-04-28: Largest IV spike — 11.9% change
  • 2016-04-07: Highest IV Rank — 43.5%
  • 2016-04-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$26.59$29.45$28.10$27.40
Max Pain$27.64$27.00$28.50$28.00$28.50
ATM IV31.1%26.7%35.5%32.9%30.7%
Expected Move8.7%7.6%9.8%7.7%8.9%
HV 20d33.3%30.3%36.4%31.1%35.9%
HV 60d45.8%41.4%49.4%49.4%41.5%
IV Rank33.4%23.2%43.5%37.4%32.4%
IV Percentile46.7%27.8%64.7%58.7%42.9%
Term Structure-0.5%-2.4%0.6%0.5%-0.6%
VWIV30.9%25.9%35.3%28.8%30.0%
Skew 25d5.8%3.5%7.6%5.2%4.8%
Skew 10d10.5%3.8%18.6%14.1%9.2%
Call IV 25d28.4%25.4%32.5%28.4%29.0%
Put IV 25d34.1%29.1%40.0%33.6%33.8%
Bid-Ask Spread %11.968.4322.568.479.07
Gamma HHI0.130.090.250.130.09
Net GEX1.2M-5.3M8.6M2.9M780.3K
Net DEX10.3M-65.3M98.3M-1.5M50.5M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.631.660.741.60
Total Volume16,364.95210,36428,14913,83427,747
Total OI319,502.19287,081344,135334,490311,391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$28.10$28.0032.9%7.7%31.1%37.4%28.8%5.2%0.5%2.9M-1.5M-1.2M0.748.47N/AN/A7,9605,874211,152123,338
2016-04-04$27.42$28.0033.0%9.3%31.3%37.7%33.3%6.8%-0.9%-814.3K42.2M-1.1M1.6612.87N/AN/A5,5579,204205,976118,192
2016-04-05$27.31$27.0033.9%9.4%31.3%39.7%34.6%7.0%-0.0%-1.3M49.8M-1.1M1.0011.67N/AN/A5,2775,285207,544120,378
2016-04-06$27.62$27.0034.2%9.2%30.3%40.5%33.8%6.1%-0.6%-743.1K36.5M-1.2M1.0511.55N/AN/A5,3345,590208,338120,936
2016-04-07$26.96$27.0035.5%9.7%30.3%43.5%34.5%6.7%-1.7%-2.9M69.3M-1.1M1.3413.31N/AN/A4,7206,345208,472122,016
2016-04-08$26.60$27.0035.2%9.8%30.5%42.7%35.3%7.6%-0.1%-4.8M94.1M-1.0M1.1314.38N/AN/A7,6678,685208,826123,259
2016-04-11$26.59$27.0034.6%9.6%30.3%41.3%33.2%6.1%-1.0%-5.3M98.3M-1.0M0.8210.80N/AN/A5,6854,679206,530122,924
2016-04-12$27.16$27.0033.5%9.5%31.3%38.8%33.2%6.7%-0.3%-4.5M62.6M-1.1M0.6312.18N/AN/A9,5095,976209,079122,920
2016-04-13$28.62$27.0031.8%8.2%36.2%35.0%28.9%5.3%-2.4%3.9M-29.1M-1.2M0.6514.11N/AN/A11,5437,532212,835125,472
2016-04-14$29.01$27.0031.4%8.7%35.6%34.0%30.7%6.8%-1.8%8.6M-65.3M-1.2M0.6710.05N/AN/A7,1544,760217,858126,120
2016-04-15$28.73$27.0029.9%8.2%34.6%30.6%30.4%5.9%-2.1%2.9M-44.1M-1.2M0.729.88N/AN/A7,2995,278217,864126,271
2016-04-18$29.05$27.0029.6%8.4%34.0%29.9%32.3%6.6%0.5%3.2M-37.9M-1.1M1.1313.36N/AN/A6,8867,762191,83795,244
2016-04-19$29.39$28.0029.2%8.4%34.2%29.0%32.0%5.5%0.4%4.1M-54.9M-1.2M1.1812.73N/AN/A10,14811,972195,12897,108
2016-04-20$29.45$27.5026.7%7.7%34.1%23.3%26.7%3.6%0.5%4.3M-60.4M-1.2M1.1513.21N/AN/A11,28112,970200,878100,378
2016-04-21$28.14$28.0029.1%8.3%36.4%28.8%28.4%6.2%-0.2%2.9M-34.0K-1.1M1.3922.56N/AN/A11,78116,368206,303103,137
2016-04-22$28.47$28.5028.2%8.1%35.5%26.9%29.5%5.8%0.6%1.9M-4.2M-1.2M0.9712.05N/AN/A8,9378,702206,159110,170
2016-04-25$28.20$28.5029.4%8.5%35.7%29.5%29.3%4.7%-0.0%1.9M11.2M-1.1M0.919.55N/AN/A7,3516,657198,630103,221
2016-04-26$28.72$28.5028.3%8.0%32.6%26.9%28.2%4.8%-0.5%2.9M-12.3M-1.2M0.788.43N/AN/A6,6785,222200,519104,594
2016-04-27$28.89$28.5026.7%7.6%32.3%23.2%25.9%3.5%0.1%4.2M-26.6M-1.2M0.6312.43N/AN/A12,1797,683203,236104,926
2016-04-28$27.72$28.5029.8%8.6%35.7%30.5%30.3%5.1%-0.9%631.1K38.7M-1.2M0.848.55N/AN/A8,9377,490202,573107,814
2016-04-29$27.40$28.5030.7%8.9%35.9%32.4%30.0%4.8%-0.6%780.3K50.5M-1.2M1.609.07N/AN/A10,67017,077203,704107,687