BX Options History — November 2016

In November 2016, BX traded between $23.57 and $26.57. ATM implied volatility averaged 25.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.0% (HV 20d: 29.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-11-16: Highest Volume — 48,779 contracts
  • 2016-11-15: Largest IV drop — 9.6% change
  • 2016-11-14: Highest IV Rank — 16.7%
  • 2016-11-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.19$23.57$26.57$24.97$25.73
Max Pain$25.19$25.00$26.00$25.00$26.00
ATM IV25.1%23.2%27.8%26.5%25.3%
Expected Move7.3%6.6%8.2%8.2%7.5%
HV 20d29.2%19.9%35.8%19.9%35.4%
HV 60d22.9%18.6%26.4%18.6%26.4%
IV Rank9.8%4.7%16.7%13.3%10.1%
IV Percentile16.8%6.7%31.3%22.2%20.6%
Term Structure-0.0%-1.8%1.1%-1.8%-0.3%
VWIV25.8%23.2%28.4%28.4%25.8%
Skew 25d3.5%2.3%5.3%5.3%2.7%
Skew 10d7.5%2.3%22.4%16.4%4.3%
Call IV 25d24.1%21.9%26.6%24.5%24.1%
Put IV 25d27.6%25.0%30.7%29.8%26.7%
Bid-Ask Spread %20.514.0933.8726.735.01
Gamma HHI0.130.090.430.100.11
Net GEX-823.7K-18.1M5.2M-3.7M794.1K
Net DEX36.9M-126.6M191.3M115.1M1.2M
Net VEX-1.8M-2.1M-1.5M-1.7M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.294.830.631.78
Total Volume21,867.1910,03348,77914,54914,619
Total OI480,771.905457,736505,636470,453478,271

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$24.97$25.0026.5%8.2%19.9%13.3%28.4%5.3%-1.8%-3.7M115.1M-1.7M0.6326.73N/AN/A8,9245,625264,812205,641
2016-11-02$24.41$25.0025.2%7.7%21.3%10.0%27.7%2.5%0.3%-5.3M142.4M-1.6M0.7227.70N/AN/A23,42016,812269,056207,139
2016-11-03$23.78$26.0026.8%7.8%22.4%14.2%27.1%4.7%0.6%-7.9M190.1M-1.6M0.2916.66N/AN/A17,9775,212283,803219,999
2016-11-04$23.57$25.0026.8%7.6%22.6%14.1%27.1%4.3%-0.2%-18.1M191.3M-1.6M0.7115.06N/AN/A18,33913,035287,332216,204
2016-11-07$23.82$25.0024.7%7.2%23.0%8.7%25.2%4.9%0.2%-4.0M157.0M-1.6M1.6425.73N/AN/A8,25513,540271,370186,366
2016-11-08$24.03$25.0024.4%7.0%22.5%7.8%24.6%4.5%-0.1%-3.3M146.4M-1.6M0.5019.21N/AN/A8,3154,196274,273187,365
2016-11-09$23.69$25.0025.2%6.9%23.0%9.9%24.5%4.5%-1.0%-3.5M163.1M-1.5M0.7922.84N/AN/A10,4248,282278,039188,397
2016-11-10$24.59$25.0025.7%7.3%26.1%11.2%26.1%4.3%-0.6%-1.8M92.3M-1.7M0.3125.71N/AN/A23,4867,250278,777191,843
2016-11-11$24.11$25.0026.6%7.7%27.1%13.4%26.5%2.7%0.6%-761.4K111.0M-1.7M0.4219.18N/AN/A17,7727,419292,944192,120
2016-11-14$25.26$25.0027.8%8.0%31.3%16.7%28.1%3.7%-0.3%583.1K7.0M-1.9M0.4117.38N/AN/A18,0647,393294,256188,643
2016-11-15$25.91$25.0025.2%7.2%32.2%9.9%25.7%2.9%0.0%2.9M-66.6M-2.0M0.4325.30N/AN/A17,8057,721302,644189,537
2016-11-16$25.45$25.0026.2%7.5%33.2%12.6%27.8%2.9%-0.3%1.5M-22.1M-1.9M4.8323.31N/AN/A8,37340,406304,529190,382
2016-11-17$25.94$25.0024.5%7.0%33.4%8.0%25.0%3.0%0.5%5.2M-63.4M-2.0M0.8020.06N/AN/A9,7527,812307,232194,593
2016-11-18$26.57$25.0024.1%6.8%33.6%7.2%25.7%3.4%1.1%4.4M-126.6M-2.1M0.5322.13N/AN/A17,2229,177309,718195,918
2016-11-21$26.22$25.0024.1%6.9%33.1%7.1%23.9%2.9%0.1%2.9M-55.3M-2.0M0.5525.00N/AN/A16,0518,842294,860175,613
2016-11-22$26.52$25.0023.2%6.6%33.0%4.7%23.2%3.1%0.2%3.6M-73.2M-2.0M0.8733.87N/AN/A7,3446,364293,277178,461
2016-11-23$26.03$25.0023.3%6.6%33.8%5.1%23.5%3.0%0.4%2.2M-30.7M-2.0M0.8925.61N/AN/A5,3034,730295,593180,903
2016-11-25$26.55$25.5023.7%6.9%34.3%6.1%24.5%2.7%-0.2%4.3M-75.7M-2.0M0.4924.54N/AN/A8,2664,056296,898181,833
2016-11-28$25.81$25.5024.5%7.2%35.8%8.1%25.5%2.6%0.0%1.1M-5.7M-1.9M0.604.09N/AN/A7,0944,243293,716178,170
2016-11-29$25.98$26.0023.9%6.9%35.2%6.6%25.2%2.3%0.3%1.7M-22.1M-1.9M0.665.69N/AN/A6,1824,109295,756179,927
2016-11-30$25.73$26.0025.3%7.5%35.4%10.1%25.8%2.7%-0.3%794.1K1.2M-1.9M1.785.01N/AN/A5,2619,358297,489180,782