BX Options History — January 2017

In January 2017, BX traded between $28.11 and $31.35. ATM implied volatility averaged 29.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 3.4% (HV 20d: 33.3%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-01-04: Highest Volume — 72,443 contracts
  • 2017-01-26: Largest IV drop — 14.5% change
  • 2017-01-04: Highest IV Rank — 40.1%
  • 2017-01-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.14$28.11$31.35$28.11$30.79
Max Pain$28.40$26.00$29.00$26.00$29.00
ATM IV29.9%22.2%36.9%35.2%24.7%
Expected Move8.3%6.6%9.5%8.4%7.1%
HV 20d33.3%31.1%43.1%37.6%31.6%
HV 60d33.7%31.6%34.2%31.6%33.5%
IV Rank22.0%2.3%40.1%35.6%8.8%
IV Percentile51.1%2.8%79.8%76.6%21.8%
Term Structure-0.6%-1.8%1.0%-1.7%-0.0%
VWIV30.3%24.3%33.9%30.2%24.3%
Skew 25d2.9%1.7%4.1%2.9%2.3%
Skew 10d5.1%0.9%26.6%0.9%4.1%
Call IV 25d28.2%20.5%34.6%33.6%23.3%
Put IV 25d31.2%23.2%38.6%36.5%25.6%
Bid-Ask Spread %23.3210.8029.2617.7023.15
Gamma HHI0.220.140.320.140.29
Net GEX17.6M11.4M25.3M11.4M19.3M
Net DEX-363.1M-507.3M-195.1M-195.1M-305.6M
Net VEX-2.5M-2.7M-2.3M-2.3M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.172.090.380.75
Total Volume35,815.414,12672,44322,59435,117
Total OI564,575.45438,270649,843560,132459,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$28.11$26.0035.2%8.4%37.6%35.6%30.2%2.9%-1.7%11.4M-195.1M-2.3M0.3817.70N/AN/A16,3476,247384,104176,028
2017-01-04$30.02$26.0036.9%8.5%43.1%40.1%31.0%4.0%-1.7%15.6M-410.6M-2.5M0.1729.26N/AN/A61,65910,784388,559178,823
2017-01-05$30.31$28.0034.7%9.5%43.1%34.3%32.1%3.2%-1.6%19.8M-479.8M-2.6M0.8418.49N/AN/A22,70319,185423,990184,157
2017-01-06$30.57$28.0032.6%8.7%35.2%28.9%30.1%2.2%-1.8%21.4M-507.3M-2.6M0.6124.55N/AN/A19,61811,933428,020194,625
2017-01-09$30.41$28.0033.6%9.4%31.7%31.5%32.7%4.1%-0.2%17.3M-448.9M-2.6M0.6925.63N/AN/A11,1617,739421,182194,491
2017-01-10$30.09$28.0032.6%9.0%31.7%29.1%33.2%3.7%-1.2%17.3M-411.0M-2.6M0.6725.50N/AN/A8,4775,649423,004198,168
2017-01-11$30.16$28.0031.7%8.9%31.3%26.7%31.5%3.0%-1.0%17.7M-425.2M-2.6M0.6320.47N/AN/A24,22315,278423,312199,488
2017-01-12$30.15$28.0031.9%9.0%31.2%27.2%32.1%3.2%-0.9%18.0M-424.5M-2.6M1.8719.38N/AN/A8,70016,310432,553210,344
2017-01-13$30.11$29.0030.4%8.5%31.1%23.2%33.9%4.0%-0.4%18.5M-419.8M-2.6M1.7926.56N/AN/A9,56917,109434,534211,230
2017-01-17$29.61$29.0031.6%9.0%31.8%26.5%33.1%2.5%-0.4%15.3M-336.3M-2.5M1.0426.35N/AN/A13,24113,797428,181213,869
2017-01-18$29.62$29.0030.0%8.6%31.6%22.4%33.6%3.6%1.0%16.5M-339.9M-2.5M1.7725.76N/AN/A7,36813,025431,665215,978
2017-01-19$29.21$29.0030.4%8.8%32.1%23.4%32.2%2.5%-0.9%18.2M-273.5M-2.4M1.5026.83N/AN/A8,94313,378430,597217,523
2017-01-20$29.55$29.0027.8%8.1%32.2%16.7%28.7%3.2%-0.3%15.3M-327.3M-2.4M0.3721.25N/AN/A43,16716,162432,095217,748
2017-01-23$29.61$29.0027.6%8.2%31.8%16.2%28.5%2.8%-0.2%11.5M-204.5M-2.4M2.0910.80N/AN/A11,34323,750269,256170,748
2017-01-24$30.43$29.0028.4%8.4%32.1%18.2%30.0%1.9%-1.3%14.7M-288.9M-2.5M0.9927.80N/AN/A24,48824,199273,610164,660
2017-01-25$30.53$29.0028.1%8.6%32.1%17.3%30.0%1.7%-0.9%16.1M-312.1M-2.6M1.3013.89N/AN/A22,60529,282287,891166,463
2017-01-26$31.28$29.0024.0%6.6%32.2%6.9%26.8%2.3%-0.0%25.3M-403.2M-2.7M0.9726.77N/AN/A27,49126,548301,607174,308
2017-01-27$31.35$29.0022.2%6.6%31.4%2.3%25.5%2.6%0.5%24.3M-417.4M-2.6M1.0928.45N/AN/A22,77024,847302,431175,396
2017-01-30$30.97$29.0023.4%7.1%31.5%5.2%25.5%2.6%0.1%18.8M-331.9M-2.7M0.4627.91N/AN/A15,1366,960288,156163,423
2017-01-31$30.79$29.0024.7%7.1%31.6%8.8%24.3%2.3%-0.0%19.3M-305.6M-2.7M0.7523.15N/AN/A20,05315,064293,660165,632