BX Options History — July 2016

In July 2016, BX traded between $23.02 and $27.68. ATM implied volatility averaged 29.1%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 9.8% (HV 20d: 38.9%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-07-27: Highest Volume — 64,181 contracts
  • 2016-07-21: Largest IV drop — 8.9% change
  • 2016-07-06: Highest IV Rank — 43.2%
  • 2016-07-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.47$23.02$27.68$24.53$26.82
Max Pain$24.82$24.00$27.00$25.50$27.00
ATM IV29.1%23.6%37.0%33.1%24.4%
Expected Move8.2%6.6%10.2%8.1%7.0%
HV 20d38.9%30.3%43.3%37.3%30.3%
HV 60d32.8%31.7%34.5%32.9%31.7%
IV Rank21.7%4.2%43.2%33.6%4.5%
IV Percentile25.4%2.0%65.9%53.6%2.4%
Term Structure-0.4%-2.8%1.3%-0.6%0.3%
VWIV29.1%25.9%34.4%28.3%26.6%
Skew 25d5.7%2.8%9.7%9.7%3.9%
Skew 10d11.0%6.1%16.7%14.3%12.9%
Call IV 25d26.9%21.4%33.1%27.7%23.6%
Put IV 25d32.6%26.7%40.8%37.4%27.5%
Bid-Ask Spread %16.726.2828.6328.6315.01
Gamma HHI0.160.110.220.120.15
Net GEX2.1M-8.5M9.4M-1.4M4.8M
Net DEX-17.2M-146.0M122.2M53.0M-38.7M
Net VEX-1.3M-1.8M-949.7K-1.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.464.282.300.59
Total Volume32,062.213,33864,18120,41639,623
Total OI381,871.45309,328432,540309,735432,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$24.53$25.5033.1%8.1%37.3%33.6%28.3%9.7%-0.6%-1.4M53.0M-1.0M2.3028.63N/AN/A6,18814,228213,46296,273
2016-07-05$23.29$25.0034.6%10.0%39.7%37.4%32.3%7.5%-0.2%-2.0M84.8M-949.7K4.2823.73N/AN/A10,37444,425208,693100,635
2016-07-06$23.02$25.0037.0%10.0%39.5%43.2%34.4%7.6%-2.0%-8.1M122.2M-983.5K2.7912.04N/AN/A9,88327,539211,165133,808
2016-07-07$23.39$25.0035.4%10.2%40.2%39.4%33.4%7.2%-2.8%-8.5M103.3M-1.0M0.8417.15N/AN/A13,27711,139213,240143,354
2016-07-08$24.08$24.0032.4%8.9%42.1%31.9%31.9%6.2%-1.8%-3.1M57.6M-1.1M0.5222.00N/AN/A40,63721,307220,142145,250
2016-07-11$24.15$24.0031.7%8.8%41.9%30.3%29.7%6.6%-0.8%-1.7M52.0M-1.2M0.6415.25N/AN/A8,2555,242246,570150,349
2016-07-12$24.62$24.0031.1%8.5%42.5%28.8%29.9%5.1%-1.6%1.2M17.4M-1.2M0.8621.17N/AN/A8,6667,469250,087150,651
2016-07-13$24.86$24.0031.0%8.6%41.6%28.5%31.8%6.2%-0.5%2.5M3.4M-1.3M0.9318.33N/AN/A7,4826,995253,975151,124
2016-07-14$25.08$24.0029.8%8.4%41.7%25.5%29.6%4.7%-0.8%2.5M-9.3M-1.3M0.8114.55N/AN/A7,3695,969255,228153,086
2016-07-15$25.00$25.0028.8%8.2%41.6%23.2%28.8%5.4%-0.3%309.5K-5.1M-1.3M1.1514.45N/AN/A6,3237,260256,651153,319
2016-07-18$25.13$25.0028.6%8.2%41.6%22.6%28.0%6.6%1.3%3.2M-3.5M-1.2M0.7127.21N/AN/A7,9205,648244,504116,504
2016-07-19$25.30$24.0027.7%8.0%40.6%20.3%27.8%6.0%1.1%4.1M-13.3M-1.2M0.6419.15N/AN/A33,14021,232248,549117,410
2016-07-20$25.94$24.0027.2%7.8%41.6%19.1%27.0%4.1%0.4%5.2M-55.0M-1.3M0.4622.34N/AN/A15,1816,950249,513120,927
2016-07-21$26.90$24.0024.7%7.0%43.3%13.2%27.2%5.5%0.3%7.0M-108.3M-1.4M0.507.49N/AN/A17,7808,935256,544122,629
2016-07-22$27.39$25.0023.6%6.6%42.7%4.2%26.5%5.3%0.8%6.6M-146.0M-1.4M0.5210.41N/AN/A15,1547,924263,122125,470
2016-07-25$27.65$25.0025.4%7.4%37.4%7.0%27.7%4.7%0.5%7.0M-142.9M-1.4M2.0911.41N/AN/A15,35432,136257,437121,529
2016-07-26$27.68$25.0025.3%7.4%31.0%6.8%27.7%4.5%0.3%7.7M-136.8M-1.7M2.356.28N/AN/A8,34519,586265,002147,550
2016-07-27$27.50$25.0025.1%7.3%31.1%6.4%25.9%2.8%-0.3%9.4M-132.3M-1.6M0.9410.10N/AN/A33,14131,040266,304150,220
2016-07-28$27.00$27.0025.9%7.5%30.4%8.5%27.2%4.6%-0.1%5.3M-47.3M-1.7M0.9417.61N/AN/A26,81625,312261,461163,152
2016-07-29$26.82$27.0024.4%7.0%30.3%4.5%26.6%3.9%0.3%4.8M-38.7M-1.8M0.5915.01N/AN/A24,98814,635267,114165,426