BX Options History — December 2016

In December 2016, BX traded between $25.81 and $29.88. ATM implied volatility averaged 26.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 10.9% (HV 20d: 37.2%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-12-07: Highest Volume — 96,101 contracts
  • 2016-12-07: Largest IV spike — 16.1% change
  • 2016-12-30: Highest IV Rank — 23.2%
  • 2016-12-08: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.13$25.81$29.88$26.14$27.00
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV26.3%23.2%30.4%25.7%30.4%
Expected Move7.4%6.6%8.5%7.8%7.9%
HV 20d37.2%33.3%42.3%34.6%35.5%
HV 60d30.2%26.5%31.5%26.6%30.8%
IV Rank12.7%4.8%23.2%11.1%23.2%
IV Percentile28.5%7.1%56.3%23.4%56.3%
Term Structure0.7%-1.1%2.4%-0.4%2.2%
VWIV26.1%23.4%30.6%27.4%27.5%
Skew 25d3.1%2.1%11.1%3.1%2.4%
Skew 10d3.8%-16.4%10.5%3.0%0.5%
Call IV 25d25.4%22.3%29.3%24.6%28.7%
Put IV 25d28.5%25.1%40.4%27.7%31.1%
Bid-Ask Spread %16.972.1332.0820.1818.66
Gamma HHI0.150.100.440.100.11
Net GEX10.6M646.6K30.1M2.2M8.8M
Net DEX-218.8M-416.2M-4.4M-35.5M-83.0M
Net VEX-2.3M-2.5M-2.0M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.113.820.620.45
Total Volume29,862.90511,02496,10113,48424,263
Total OI535,102.571483,846583,107483,846559,161

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$26.14$26.0025.7%7.8%34.6%11.1%27.4%3.1%-0.4%2.2M-35.5M-2.0M0.6220.18N/AN/A8,3105,174298,495185,351
2016-12-02$25.81$26.0025.4%7.5%33.3%10.3%25.4%2.6%-0.1%646.6K-4.4M-2.0M0.906.75N/AN/A6,7206,015302,090187,125
2016-12-05$26.38$26.0023.8%7.1%33.5%6.3%24.7%2.5%0.5%2.3M-54.2M-2.0M0.712.13N/AN/A9,7686,912299,312185,034
2016-12-06$26.55$26.0023.6%6.8%33.5%5.8%24.8%2.5%0.6%3.6M-73.1M-2.0M1.252.34N/AN/A4,9026,122304,071187,005
2016-12-07$28.58$26.0027.4%7.9%41.4%15.5%28.0%2.1%0.3%6.5M-245.9M-2.1M0.1113.28N/AN/A86,2089,893304,857186,961
2016-12-08$29.88$26.0029.5%8.5%42.3%21.1%30.6%11.1%-0.2%9.4M-383.6M-2.4M0.1320.88N/AN/A84,83410,965340,818189,099
2016-12-09$29.58$26.0028.7%8.2%41.8%19.0%29.5%2.4%0.4%14.0M-416.2M-2.5M0.4015.81N/AN/A26,93610,806386,247192,992
2016-12-12$29.19$26.0028.9%8.3%41.3%19.5%28.6%3.4%-0.2%13.3M-351.1M-2.5M0.5312.97N/AN/A12,3786,608383,180194,682
2016-12-13$29.40$26.0027.1%7.8%38.9%14.9%27.4%3.1%-0.1%15.0M-373.1M-2.5M0.5411.88N/AN/A11,9216,396384,389195,822
2016-12-14$29.21$26.0026.6%7.5%38.6%13.6%25.9%2.4%-0.3%14.8M-356.0M-2.5M0.4923.06N/AN/A11,3145,509385,580197,527
2016-12-15$29.24$26.0025.6%7.3%37.6%11.0%26.4%2.6%-0.4%15.6M-359.9M-2.4M0.4920.96N/AN/A11,6595,766383,613197,816
2016-12-16$29.02$26.0025.1%7.2%37.7%9.8%26.0%2.6%-0.0%30.1M-331.8M-2.4M0.529.15N/AN/A10,6735,535384,532198,513
2016-12-19$29.05$26.0023.4%6.7%37.0%5.4%23.4%3.0%1.4%12.3M-268.3M-2.4M0.6320.61N/AN/A9,2415,835352,894169,146
2016-12-20$28.84$26.0023.2%6.6%36.7%4.8%24.3%2.8%2.0%12.3M-254.5M-2.4M3.8217.32N/AN/A8,39732,103354,702170,844
2016-12-21$28.50$26.0023.7%6.8%37.1%6.0%23.8%3.3%2.1%11.6M-227.8M-2.2M3.0427.06N/AN/A10,15730,851356,393160,795
2016-12-22$27.99$26.0024.3%6.9%37.1%7.5%23.9%2.5%-1.1%10.2M-185.7M-2.2M1.0532.08N/AN/A12,69813,351359,072161,690
2016-12-23$28.13$26.0025.5%7.1%36.6%10.8%24.9%2.8%1.8%10.6M-196.7M-2.3M0.4223.13N/AN/A24,58910,335364,528167,775
2016-12-27$27.77$26.0027.7%7.4%35.2%16.4%24.7%3.2%2.0%11.3M-170.4M-2.2M0.4120.29N/AN/A12,3545,007371,182152,273
2016-12-28$27.37$26.0027.4%7.4%35.8%15.6%25.6%2.3%2.4%10.4M-131.5M-2.2M1.7820.88N/AN/A13,54624,156375,795153,809
2016-12-29$27.10$26.0028.9%7.6%35.8%19.5%26.2%2.3%2.2%7.2M-91.7M-2.2M0.6417.05N/AN/A11,5187,396379,176172,808
2016-12-30$27.00$26.0030.4%7.9%35.5%23.2%27.5%2.4%2.2%8.8M-83.0M-2.2M0.4518.66N/AN/A16,7127,551384,032175,129