BX Options History — May 2016

In May 2016, BX traded between $24.81 and $27.60. ATM implied volatility averaged 30.6%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.7% (HV 20d: 30.0%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-05-20: Highest Volume — 30,614 contracts
  • 2016-05-31: Largest IV spike — 14.3% change
  • 2016-05-19: Highest IV Rank — 39.2%
  • 2016-05-19: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.30$24.81$27.60$27.60$26.20
Max Pain$28.21$27.00$30.00$28.50$27.00
ATM IV30.6%26.6%33.7%30.2%30.4%
Expected Move8.8%7.2%9.6%8.6%8.3%
HV 20d30.0%23.9%36.0%34.9%28.5%
HV 60d34.1%31.2%41.8%41.5%31.3%
IV Rank31.9%21.8%39.2%31.2%29.6%
IV Percentile40.7%19.0%60.7%38.5%35.3%
Term Structure0.4%-1.1%1.6%0.0%-1.1%
VWIV30.1%26.4%33.4%30.3%28.2%
Skew 25d4.9%2.6%5.8%4.7%4.8%
Skew 10d9.1%1.7%11.9%10.6%7.7%
Call IV 25d28.5%26.2%31.6%27.7%26.4%
Put IV 25d33.4%29.3%37.4%32.3%31.2%
Bid-Ask Spread %15.116.9364.869.0616.81
Gamma HHI0.120.090.200.090.13
Net GEX-106.1K-2.2M2.0M998.4K673.6K
Net DEX58.0M-18.0M116.4M31.6M22.2M
Net VEX-1.0M-1.3M-845.7K-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.331.190.480.80
Total Volume14,866.4299,94430,61412,18513,078
Total OI308,489.095299,615325,955299,615319,526

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$27.60$28.5030.2%8.6%34.9%31.2%30.3%4.7%0.0%998.4K31.6M-1.2M0.489.06N/AN/A8,2083,977196,805102,810
2016-05-03$27.02$28.5031.0%9.2%35.7%33.0%31.3%4.9%0.1%216.4K56.1M-1.1M0.339.42N/AN/A12,9364,259200,119103,241
2016-05-04$26.52$28.5031.9%9.6%36.0%35.2%33.4%5.2%0.0%-571.8K74.4M-1.0M0.538.53N/AN/A8,0354,257199,057103,980
2016-05-05$26.79$30.0030.6%9.0%35.3%32.2%30.8%5.0%0.8%-463.5K68.5M-1.0M0.5012.22N/AN/A6,6483,296197,966104,370
2016-05-06$26.71$29.0030.8%8.8%34.9%32.7%30.5%4.4%1.0%-250.7K68.1M-1.0M0.549.76N/AN/A7,1013,830199,677104,598
2016-05-09$26.78$29.0030.3%9.0%34.9%31.4%30.4%4.5%1.2%-250.4K67.6M-1.0M0.3610.15N/AN/A10,3113,710196,970102,656
2016-05-10$26.92$29.0029.8%8.6%34.1%30.4%30.6%5.0%0.6%206.2K54.3M-1.0M0.578.86N/AN/A9,1645,236198,967101,247
2016-05-11$26.79$29.0029.2%8.6%27.9%29.1%31.4%4.7%0.7%259.6K58.3M-1.0M0.6610.22N/AN/A7,0924,650201,323101,334
2016-05-12$26.37$29.0031.2%9.3%27.5%33.5%30.6%5.1%1.6%-463.4K76.6M-963.2K0.429.23N/AN/A8,9263,725201,521101,703
2016-05-13$25.81$29.0031.1%9.1%28.0%33.4%32.6%4.9%1.1%-906.9K95.5M-919.5K0.9210.15N/AN/A10,1269,327201,204102,715
2016-05-16$25.95$28.0031.2%9.0%27.7%33.5%30.0%5.3%0.7%-942.4K80.7M-934.5K0.668.70N/AN/A7,2974,801199,076101,775
2016-05-17$25.88$28.0031.8%9.2%26.9%35.1%29.5%5.3%0.4%-963.1K87.8M-908.4K0.689.75N/AN/A6,0844,114201,270102,670
2016-05-18$25.31$28.0032.7%9.4%27.3%37.0%30.1%5.6%-0.8%-1.7M96.3M-906.9K0.748.05N/AN/A7,9305,900206,757103,604
2016-05-19$24.81$28.0033.7%9.6%23.9%39.2%32.9%5.8%1.0%-2.2M116.4M-845.7K0.686.93N/AN/A12,9138,772207,532105,197
2016-05-20$25.42$28.0032.2%9.3%25.5%35.3%31.0%5.7%-0.5%-966.9K93.5M-969.5K0.537.44N/AN/A19,98310,631212,479108,964
2016-05-23$25.16$28.0031.9%9.0%25.5%34.6%29.9%5.1%0.1%-972.3K69.0M-1.0M1.199.94N/AN/A6,5047,748208,75799,712
2016-05-24$26.23$27.0029.9%8.3%29.5%29.5%27.7%5.1%-0.1%208.7K24.5M-1.2M0.5012.60N/AN/A11,8555,881212,07498,249
2016-05-25$26.72$27.0028.8%8.0%30.4%27.0%27.2%4.8%0.2%1.9M-8.5M-1.3M0.5958.66N/AN/A9,9565,887219,09199,323
2016-05-26$26.49$27.0027.8%7.8%27.1%24.7%26.9%4.5%0.6%2.0M2.4M-1.2M0.8615.94N/AN/A6,5695,634223,283100,714
2016-05-27$26.86$27.0026.6%7.2%27.5%21.8%26.4%2.6%0.8%2.0M-18.0M-1.3M0.9464.86N/AN/A8,1777,667224,688101,267
2016-05-31$26.20$27.0030.4%8.3%28.5%29.6%28.2%4.8%-1.1%673.6K22.2M-1.2M0.8016.81N/AN/A7,2665,812220,62198,905