BX Options History — June 2016

In June 2016, BX traded between $23.34 and $26.92. ATM implied volatility averaged 31.5%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.2% (HV 20d: 29.3%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-06-20: Highest Volume — 21,430 contracts
  • 2016-06-24: Largest IV spike — 34.1% change
  • 2016-06-27: Highest IV Rank — 52.3%
  • 2016-06-27: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.47$23.34$26.92$26.27$24.51
Max Pain$26.55$25.50$27.00$27.00$25.50
ATM IV31.5%25.8%40.7%28.8%34.3%
Expected Move8.9%7.5%11.9%8.0%8.7%
HV 20d29.3%23.3%37.3%27.7%37.3%
HV 60d30.8%28.6%33.3%31.3%33.2%
IV Rank30.1%16.5%52.3%25.9%36.5%
IV Percentile40.9%14.3%81.0%25.4%59.9%
Term Structure0.9%-3.7%8.3%-0.6%2.7%
VWIV30.3%25.5%38.4%27.7%30.0%
Skew 25d6.4%3.6%11.9%5.0%7.6%
Skew 10d13.2%6.4%23.0%10.8%13.8%
Call IV 25d28.7%24.6%36.6%26.9%30.0%
Put IV 25d35.1%28.6%48.5%31.9%37.7%
Bid-Ask Spread %31.627.2676.5324.4221.03
Gamma HHI0.140.090.370.120.09
Net GEX193.0K-3.4M2.3M928.1K19.6K
Net DEX35.5M-13.2M83.5M18.3M46.4M
Net VEX-1.1M-1.2M-958.4K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.601.310.600.94
Total Volume13,960.5919,14821,43014,25313,455
Total OI317,064.455281,355342,177323,226305,885

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$26.27$27.0028.8%8.0%27.7%25.9%27.7%5.0%-0.6%928.1K18.3M-1.2M0.6024.42N/AN/A8,8855,368222,591100,635
2016-06-02$26.29$27.0028.4%8.4%26.9%24.9%28.3%4.3%-0.6%976.1K17.3M-1.2M1.1120.56N/AN/A4,8015,309223,921101,624
2016-06-03$26.10$27.0027.8%8.2%26.7%21.8%27.4%3.6%-0.2%-127.2K26.8M-1.2M0.8917.77N/AN/A7,9787,069225,198102,094
2016-06-06$26.73$27.0027.2%7.8%28.2%19.9%27.3%4.5%0.0%1.2M127.6K-1.2M1.097.26N/AN/A5,8806,435221,134101,897
2016-06-07$26.80$27.0026.2%7.8%28.2%17.5%26.4%4.8%0.9%1.7M-4.0M-1.2M1.3111.71N/AN/A4,7426,227224,874102,842
2016-06-08$26.92$27.0025.8%7.5%28.2%16.5%26.4%3.8%0.7%2.3M-13.2M-1.2M0.9911.78N/AN/A5,0234,984226,157103,354
2016-06-09$26.57$27.0027.3%7.8%28.5%20.1%27.3%4.9%-0.2%1.6M2.5M-1.2M0.9834.38N/AN/A4,6114,537228,102103,036
2016-06-10$26.09$27.0028.9%8.6%28.7%23.3%28.8%5.4%1.8%-831.5K30.6M-1.2M0.6318.95N/AN/A8,0985,079228,695103,593
2016-06-13$25.76$27.0031.0%8.9%28.0%28.4%30.8%6.2%-3.7%-708.4K39.2M-1.1M1.2010.83N/AN/A4,2205,069227,287103,543
2016-06-14$25.04$27.0034.4%9.9%29.6%37.0%32.7%6.5%-1.4%-1.9M68.9M-1.1M0.6622.33N/AN/A8,8095,810227,852103,703
2016-06-15$25.16$27.0033.6%9.6%29.7%34.8%32.5%7.3%-1.0%-2.3M68.6M-1.0M0.7476.53N/AN/A8,9066,596229,183104,083
2016-06-16$24.94$27.0033.8%9.6%28.8%35.4%33.2%5.9%0.6%-3.4M74.7M-1.1M0.8117.02N/AN/A9,6347,812230,878106,205
2016-06-17$24.87$27.0032.5%9.4%28.0%32.3%34.6%6.4%-1.4%198.9K83.5M-1.1M0.8124.46N/AN/A8,4956,870233,569108,608
2016-06-20$25.50$26.0028.5%8.4%28.0%22.3%28.9%6.3%2.8%832.5K22.5M-1.1M0.6120.57N/AN/A13,3168,114198,42482,931
2016-06-21$25.36$26.0029.0%8.6%27.9%23.5%29.6%7.0%3.0%1.1M23.9M-1.1M0.8118.09N/AN/A7,4536,043206,29086,660
2016-06-22$25.18$26.0029.4%9.3%23.3%24.6%31.2%10.8%5.9%905.3K32.8M-1.1M1.0174.19N/AN/A7,0957,138208,20888,478
2016-06-23$25.87$26.0028.6%8.3%24.4%22.7%25.5%6.1%2.8%2.1M10.8M-1.1M0.6253.35N/AN/A7,0814,382210,52190,284
2016-06-24$24.55$26.0038.4%11.0%30.3%46.6%38.4%7.9%8.3%232.9K48.7M-1.1M0.6839.66N/AN/A8,7575,940212,59190,468
2016-06-27$23.34$26.0040.7%11.9%33.8%52.3%33.6%11.9%0.7%-318.3K70.4M-958.4K0.8869.60N/AN/A11,1259,791206,89789,442
2016-06-28$23.85$26.0037.7%10.0%34.5%44.9%35.1%8.2%-0.9%-308.1K65.7M-997.4K0.8273.72N/AN/A8,1156,624207,91193,044
2016-06-29$24.71$25.5040.2%9.0%37.3%51.0%31.2%6.8%-0.5%137.2K46.3M-1.1M0.7927.44N/AN/A8,6556,802209,05593,671
2016-06-30$24.51$25.5034.3%8.7%37.3%36.5%30.0%7.6%2.7%19.6K46.4M-1.1M0.9421.03N/AN/A6,9466,509211,41794,468