BX Options History — October 2016

In October 2016, BX traded between $23.50 and $25.60. ATM implied volatility averaged 27.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.0% (HV 20d: 20.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2016-10-14: Highest Volume — 65,622 contracts
  • 2016-10-12: Largest IV drop — 8.3% change
  • 2016-10-11: Highest IV Rank — 28.5%
  • 2016-10-11: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.54$23.50$25.60$25.11$25.05
Max Pain$25.43$25.00$26.00$26.00$25.00
ATM IV27.5%22.4%32.4%30.2%23.8%
Expected Move7.6%6.8%8.6%7.5%7.3%
HV 20d20.5%17.8%22.4%22.0%19.9%
HV 60d19.9%18.5%21.2%21.1%19.0%
IV Rank15.8%2.8%28.5%22.8%6.3%
IV Percentile27.2%3.2%59.9%39.3%9.9%
Term Structure-0.9%-3.9%0.6%-0.9%0.5%
VWIV26.8%24.0%30.1%25.9%26.2%
Skew 25d5.0%3.7%7.0%5.0%4.8%
Skew 10d10.6%4.7%23.4%5.3%7.9%
Call IV 25d25.1%21.4%29.1%27.6%22.3%
Put IV 25d30.1%25.3%34.1%32.5%27.1%
Bid-Ask Spread %19.596.0487.8318.1315.28
Gamma HHI0.150.100.190.160.10
Net GEX-6.1M-11.9M5.6M-5.7M-3.2M
Net DEX164.9M41.8M256.9M127.8M101.7M
Net VEX-1.7M-1.8M-1.6M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.364.650.910.71
Total Volume24,837.14311,47065,62213,87811,470
Total OI475,340.952422,471511,921422,471467,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$25.11$26.0030.2%7.5%22.0%22.8%25.9%5.0%-0.9%-5.7M127.8M-1.7M0.9118.13N/AN/A7,2596,619237,449185,022
2016-10-04$25.07$26.0030.8%7.6%22.0%24.5%26.4%5.7%-0.8%-5.8M133.5M-1.7M0.8611.92N/AN/A7,4416,414239,232185,701
2016-10-05$25.20$26.0031.1%7.3%22.2%25.0%26.0%4.6%-1.6%-6.0M121.5M-1.7M0.8213.65N/AN/A11,8219,720241,085185,605
2016-10-06$24.78$26.0031.3%8.3%22.4%25.7%30.1%5.7%0.3%-6.2M156.1M-1.6M1.0913.99N/AN/A9,66410,523241,987191,315
2016-10-07$24.71$26.0031.4%8.2%21.1%25.9%27.9%5.7%-0.5%-6.6M168.4M-1.6M1.4012.06N/AN/A8,26811,581244,648195,452
2016-10-10$24.67$26.0030.9%8.1%20.4%24.7%29.5%4.7%-3.3%-6.7M178.1M-1.6M0.7015.04N/AN/A12,2018,567243,319199,203
2016-10-11$24.23$26.0032.4%8.6%19.4%28.5%29.0%4.9%-2.4%-4.9M200.5M-1.6M0.8218.34N/AN/A14,19511,636250,154200,491
2016-10-12$24.20$26.0029.7%8.2%19.4%21.6%28.6%3.7%-1.7%-5.0M208.8M-1.6M2.1434.15N/AN/A13,36028,571253,453206,911
2016-10-13$23.85$26.0029.4%8.1%19.3%20.7%27.7%7.0%-1.7%-7.0M239.0M-1.6M2.4812.16N/AN/A16,20740,151256,105222,833
2016-10-14$23.71$25.0028.6%7.6%19.3%18.7%26.6%5.1%-3.9%-8.7M240.8M-1.7M4.6512.55N/AN/A11,61354,009265,946230,104
2016-10-17$23.50$25.0028.0%8.0%19.1%17.2%26.7%5.9%-2.6%-10.2M256.9M-1.6M1.867.86N/AN/A14,56327,049266,806231,943
2016-10-18$23.57$25.0025.9%7.3%19.0%11.7%25.9%5.7%0.3%-11.5M254.1M-1.6M2.1515.75N/AN/A9,31620,066268,963237,453
2016-10-19$23.77$25.0025.0%7.2%18.0%9.5%26.6%5.4%-0.6%-11.9M233.4M-1.6M0.576.04N/AN/A8,2514,715271,682236,838
2016-10-20$23.61$25.0024.5%7.0%17.8%8.0%25.8%4.6%0.2%-11.9M247.0M-1.6M0.786.79N/AN/A6,9385,422274,623237,298
2016-10-21$24.09$25.0024.0%7.0%19.8%6.8%24.6%4.8%-1.5%-11.1M202.1M-1.6M0.478.95N/AN/A10,5414,988275,468236,237
2016-10-24$24.77$25.0024.5%7.5%22.2%8.2%24.9%5.5%0.3%-6.4M124.2M-1.7M0.3828.15N/AN/A15,4365,864263,223225,946
2016-10-25$25.10$25.0025.5%7.6%21.9%10.8%26.6%3.9%0.3%-4.3M97.3M-1.8M1.0839.27N/AN/A10,22911,030271,444227,348
2016-10-26$25.31$25.0024.3%7.5%22.0%7.6%28.1%4.1%0.6%-2.4M74.1M-1.8M0.8015.03N/AN/A11,4499,172274,777224,337
2016-10-27$25.60$25.0022.4%6.8%22.2%2.8%24.0%3.8%0.1%848.7K41.8M-1.8M0.3687.83N/AN/A13,8344,933278,481227,652
2016-10-28$25.50$25.0023.4%6.9%20.3%5.3%26.6%4.3%0.1%5.6M54.9M-1.8M0.4818.46N/AN/A11,1305,364280,476228,100
2016-10-31$25.05$25.0023.8%7.3%19.9%6.3%26.2%4.8%0.5%-3.2M101.7M-1.7M0.7115.28N/AN/A6,6924,778264,011203,039