BX Options History — August 2016

In August 2016, BX traded between $25.97 and $28.32. ATM implied volatility averaged 23.2%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.4% (HV 20d: 21.9%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.06.

Notable Days

2016-08-16: Highest Volume — 34,804 contracts
2016-08-02: Largest IV spike — 6.0% change
2016-08-02: Highest IV Rank — 12.9%
2016-08-02: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.58	$25.97	$28.32	$26.50	$27.41
Max Pain	$26.13	$26.00	$27.00	$27.00	$26.00
ATM IV	23.2%	21.3%	27.6%	26.0%	23.3%
Expected Move	6.6%	5.9%	7.9%	7.5%	6.5%
HV 20d	21.9%	15.7%	30.9%	30.9%	15.7%
HV 60d	31.1%	29.4%	32.6%	31.8%	29.5%
IV Rank	3.0%	0.0%	12.9%	8.7%	5.0%
IV Percentile	2.8%	0.0%	11.9%	7.1%	5.6%
Term Structure	0.5%	-0.2%	1.3%	-0.0%	0.4%
VWIV	23.9%	20.6%	29.7%	26.7%	23.0%
Skew 25d	4.5%	3.4%	5.3%	5.3%	5.0%
Skew 10d	9.4%	6.1%	12.5%	8.9%	10.0%
Call IV 25d	21.4%	19.2%	25.4%	24.0%	21.7%
Put IV 25d	25.9%	23.3%	30.3%	29.3%	26.7%
Bid-Ask Spread %	6.99	2.87	14.35	13.42	4.20
Gamma HHI	0.15	0.12	0.18	0.16	0.13
Net GEX	6.4M	3.5M	9.3M	4.4M	4.9M
Net DEX	-94.7M	-152.9M	-3.4M	-33.9M	-53.4M
Net VEX	-1.8M	-1.9M	-1.7M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.26	6.25	0.36	1.47
Total Volume	13,881.652	6,014	34,804	16,016	10,459
Total OI	449,504	406,014	485,392	406,014	471,002

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$26.50	$27.00	26.0%	7.5%	30.9%	8.7%	26.7%	5.3%	-0.0%	4.4M	-33.9M	-1.7M	0.36	13.42	N/A	N/A	11,788	4,228	256,544	149,470
2016-08-02	$25.97	$27.00	27.6%	7.9%	24.7%	12.9%	29.7%	4.9%	-0.2%	3.5M	-3.4M	-1.7M	0.47	14.35	N/A	N/A	12,196	5,696	258,287	150,617
2016-08-03	$26.50	$27.00	26.2%	7.4%	24.4%	9.3%	28.0%	5.3%	0.2%	4.5M	-32.9M	-1.7M	1.01	11.93	N/A	N/A	6,694	6,736	258,963	152,748
2016-08-04	$26.58	$26.00	25.5%	7.4%	24.2%	6.3%	28.1%	4.5%	0.1%	4.8M	-34.5M	-1.7M	1.26	13.13	N/A	N/A	7,126	8,962	260,635	154,202
2016-08-05	$27.19	$26.00	24.3%	7.3%	23.5%	1.9%	25.5%	4.7%	0.3%	4.8M	-79.0M	-1.8M	0.70	6.79	N/A	N/A	7,172	5,034	261,625	159,609
2016-08-08	$27.62	$26.00	23.3%	6.7%	23.7%	0.0%	27.0%	4.6%	-0.1%	6.0M	-102.0M	-1.7M	3.04	5.63	N/A	N/A	6,624	20,152	259,718	158,095
2016-08-09	$27.88	$26.00	22.7%	6.8%	23.3%	0.0%	22.8%	3.6%	0.8%	5.3M	-115.7M	-1.8M	0.28	6.25	N/A	N/A	14,518	3,997	261,267	174,502
2016-08-10	$27.82	$26.00	22.5%	6.8%	23.4%	0.0%	24.0%	4.4%	1.3%	5.8M	-119.3M	-1.8M	0.41	7.50	N/A	N/A	10,323	4,242	268,399	175,465
2016-08-11	$27.92	$26.00	22.4%	6.6%	23.4%	0.0%	23.4%	4.0%	0.8%	6.5M	-122.5M	-1.8M	0.46	8.86	N/A	N/A	7,803	3,559	269,967	175,747
2016-08-12	$27.60	$26.00	22.7%	6.6%	24.0%	0.9%	24.0%	3.4%	0.6%	5.5M	-102.7M	-1.8M	0.52	9.37	N/A	N/A	6,450	3,381	272,288	176,121
2016-08-15	$27.95	$26.00	22.5%	6.5%	24.1%	0.3%	23.0%	5.0%	0.8%	7.6M	-128.3M	-1.8M	0.73	8.99	N/A	N/A	7,554	5,542	271,696	174,880
2016-08-16	$27.86	$26.00	22.7%	6.5%	24.3%	0.8%	24.0%	4.8%	1.1%	7.9M	-122.0M	-1.8M	6.25	3.93	N/A	N/A	4,801	30,003	274,900	175,816
2016-08-17	$27.89	$26.00	21.4%	6.1%	23.1%	0.0%	21.9%	4.3%	1.0%	8.0M	-112.0M	-1.9M	0.92	5.65	N/A	N/A	3,277	3,008	274,125	201,109
2016-08-18	$28.32	$26.00	21.6%	6.2%	20.2%	0.5%	20.9%	4.4%	0.2%	9.3M	-152.9M	-1.9M	0.26	6.48	N/A	N/A	9,272	2,389	275,478	202,011
2016-08-19	$28.19	$26.00	21.5%	6.1%	19.5%	0.1%	20.8%	3.7%	1.0%	8.1M	-149.5M	-1.9M	0.74	4.94	N/A	N/A	8,042	5,938	281,984	203,408
2016-08-22	$28.21	$26.00	21.3%	6.0%	19.3%	0.0%	20.6%	4.2%	0.6%	8.4M	-133.4M	-1.9M	0.99	3.61	N/A	N/A	5,503	5,422	273,373	189,427
2016-08-23	$28.24	$26.00	21.4%	5.9%	19.3%	0.1%	20.7%	4.1%	0.3%	8.9M	-135.5M	-1.9M	0.56	2.87	N/A	N/A	7,004	3,888	275,178	190,795
2016-08-24	$28.16	$26.00	22.5%	6.3%	19.1%	2.9%	23.0%	4.7%	0.3%	8.8M	-127.8M	-1.9M	0.99	4.06	N/A	N/A	3,027	2,987	276,260	190,820
2016-08-25	$27.82	$26.00	22.5%	6.2%	18.4%	3.0%	21.9%	4.3%	0.6%	7.1M	-99.7M	-1.9M	0.68	3.38	N/A	N/A	6,540	4,423	278,175	193,057
2016-08-26	$27.42	$26.00	23.4%	6.5%	19.1%	5.3%	22.8%	4.5%	0.4%	5.2M	-62.9M	-1.8M	0.60	4.23	N/A	N/A	8,312	5,019	277,832	194,266
2016-08-29	$27.65	$26.00	23.4%	6.5%	18.6%	5.4%	22.0%	4.2%	0.5%	5.9M	-83.7M	-1.8M	0.53	3.33	N/A	N/A	6,470	3,412	273,738	194,477
2016-08-30	$27.58	$26.00	23.7%	6.5%	16.7%	6.1%	25.7%	4.9%	0.2%	5.7M	-71.1M	-1.8M	1.17	7.82	N/A	N/A	4,756	5,549	275,349	195,167
2016-08-31	$27.41	$26.00	23.3%	6.5%	15.7%	5.0%	23.0%	5.0%	0.4%	4.9M	-53.4M	-1.8M	1.47	4.20	N/A	N/A	4,235	6,224	275,359	195,643