BX Options History — September 2016

In September 2016, BX traded between $24.99 and $26.97. ATM implied volatility averaged 25.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.8% (HV 20d: 16.8%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-09-15: Highest Volume — 50,577 contracts
  • 2016-09-09: Largest IV spike — 16.3% change
  • 2016-09-29: Highest IV Rank — 19.0%
  • 2016-09-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.98$24.99$26.97$26.97$25.64
Max Pain$27.21$26.00$29.00$26.00$26.00
ATM IV25.6%22.1%28.7%25.4%27.8%
Expected Move7.2%6.2%8.1%7.1%7.0%
HV 20d16.8%13.0%21.0%16.9%21.0%
HV 60d26.6%21.0%29.7%29.7%21.4%
IV Rank11.0%1.9%19.0%10.3%16.5%
IV Percentile13.0%2.0%27.8%9.9%22.6%
Term Structure0.7%-1.2%3.5%0.1%2.9%
VWIV23.8%18.1%28.0%24.4%23.9%
Skew 25d5.0%3.8%6.4%4.5%5.5%
Skew 10d10.5%2.5%36.4%8.3%14.5%
Call IV 25d23.7%20.5%27.5%23.4%25.0%
Put IV 25d28.7%24.5%32.9%27.8%30.5%
Bid-Ask Spread %16.502.9777.093.3414.87
Gamma HHI0.140.100.300.120.15
Net GEX-333.9K-5.7M5.8M3.9M-5.2M
Net DEX63.9M-28.3M137.2M-28.3M96.6M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.414.190.730.67
Total Volume17,762.09511,71850,57715,68616,170
Total OI444,017.476373,900501,591471,164424,191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$26.97$26.0025.4%7.1%16.9%10.3%24.4%4.5%0.1%3.9M-28.3M-1.8M0.733.34N/AN/A9,0566,630275,503195,661
2016-09-02$26.86$26.0024.1%6.5%14.8%7.1%23.8%4.6%0.3%3.2M-14.4M-1.7M0.632.97N/AN/A11,1707,028277,422197,421
2016-09-06$26.70$29.0025.7%7.0%13.6%11.2%22.8%4.9%0.1%3.2M-3.9M-1.7M0.857.27N/AN/A6,6885,662278,314196,792
2016-09-07$26.61$29.0025.0%6.9%13.0%9.5%18.1%4.7%0.1%3.6M-44.6K-1.7M1.085.30N/AN/A5,6326,086279,725196,974
2016-09-08$26.77$29.0023.8%6.8%13.3%6.3%19.2%4.3%-0.1%3.7M-14.9M-1.7M0.747.32N/AN/A8,6996,429280,241197,495
2016-09-09$26.12$29.0027.6%8.0%15.4%16.2%22.7%5.9%0.2%2.4M47.1M-1.7M1.077.73N/AN/A10,10510,785280,637198,951
2016-09-12$26.41$28.0026.9%8.0%15.9%14.3%25.1%5.4%1.1%3.1M16.2M-1.7M0.617.08N/AN/A13,4268,204281,373202,830
2016-09-13$25.73$28.0028.6%8.1%17.0%18.7%26.1%5.4%-0.0%1.9M84.1M-1.7M0.9827.22N/AN/A8,4928,352284,419205,423
2016-09-14$25.58$28.0028.6%7.9%17.0%18.7%28.0%6.4%-1.0%1.6M107.6M-1.6M1.2113.41N/AN/A7,2778,805286,434206,509
2016-09-15$25.82$27.0025.9%7.5%17.6%11.6%25.5%4.8%0.2%5.8M84.2M-1.6M4.198.22N/AN/A9,74140,836287,724208,530
2016-09-16$25.74$27.0025.9%7.2%16.1%11.6%27.3%5.8%-1.2%-2.9M111.0M-1.6M0.8213.16N/AN/A7,0145,762291,746209,845
2016-09-19$25.83$27.0024.4%7.0%16.3%7.8%24.3%4.6%0.2%-3.0M82.4M-1.6M0.4115.31N/AN/A11,5644,735214,343159,557
2016-09-20$25.96$27.0024.4%7.0%16.6%8.0%24.6%5.0%0.2%-1.9M68.4M-1.6M1.0135.58N/AN/A9,1659,216220,577159,947
2016-09-21$26.39$26.5022.1%6.3%18.1%1.9%21.6%4.6%0.0%-1.2M47.8M-1.7M0.6420.57N/AN/A7,5014,786224,638164,773
2016-09-22$26.05$27.0022.9%6.5%18.4%3.9%22.4%4.1%-0.6%-1.4M66.6M-1.7M0.4520.35N/AN/A11,4195,141226,854167,797
2016-09-23$25.84$27.0022.2%6.2%18.2%2.2%21.5%3.8%0.6%-3.5M80.5M-1.7M1.6019.06N/AN/A6,61010,585232,835169,269
2016-09-26$25.46$26.5025.5%7.2%18.2%10.7%23.8%5.4%3.5%-4.6M106.8M-1.7M0.6712.24N/AN/A9,8336,550228,809172,223
2016-09-27$25.01$26.5025.9%7.3%18.3%11.6%23.7%5.0%3.5%-4.9M133.8M-1.7M1.4714.00N/AN/A6,95510,220231,339174,673
2016-09-28$25.15$26.0026.2%7.1%18.6%12.6%24.8%5.4%1.1%-5.7M133.0M-1.7M1.2477.09N/AN/A6,1157,586232,539181,887
2016-09-29$24.99$26.0028.7%7.7%18.6%19.0%27.4%5.7%2.4%-5.3M137.2M-1.7M0.8314.43N/AN/A9,2537,721234,141184,006
2016-09-30$25.64$26.0027.8%7.0%21.0%16.5%23.9%5.5%2.9%-5.2M96.6M-1.7M0.6714.87N/AN/A9,6566,514237,869186,322