BX Options History — February 2017

In February 2017, BX traded between $29.43 and $31.21. ATM implied volatility averaged 21.6%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.3% (HV 20d: 19.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-02-01: Highest Volume — 63,423 contracts
  • 2017-02-03: Largest IV drop — 9.4% change
  • 2017-02-02: Highest IV Rank — 7.3%
  • 2017-02-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.34$29.43$31.21$31.21$29.43
Max Pain$29.95$29.00$30.00$29.00$30.00
ATM IV21.6%20.6%24.2%23.0%22.1%
Expected Move6.2%5.8%6.9%6.6%6.2%
HV 20d19.3%16.1%29.2%29.2%17.2%
HV 60d31.0%29.2%33.2%33.0%29.4%
IV Rank2.1%0.0%7.3%4.2%7.2%
IV Percentile3.2%0.0%17.1%7.1%8.7%
Term Structure0.2%-1.2%0.9%0.9%0.2%
VWIV21.5%20.0%24.9%20.0%21.9%
Skew 25d1.9%0.9%2.8%1.1%2.8%
Skew 10d3.6%-1.1%12.6%1.5%6.5%
Call IV 25d21.1%20.1%23.3%23.2%21.4%
Put IV 25d23.0%21.8%25.6%24.3%24.3%
Bid-Ask Spread %15.198.3625.3325.3319.50
Gamma HHI0.310.230.400.240.25
Net GEX15.8M4.3M32.1M32.1M5.2M
Net DEX-215.5M-393.1M-85.0M-393.1M-87.1M
Net VEX-2.6M-2.7M-2.5M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.161.260.160.72
Total Volume21,649.15813,37163,42363,42315,397
Total OI461,120436,915482,230469,528480,371

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$31.21$29.0023.0%6.6%29.2%4.2%20.0%1.1%0.9%32.1M-393.1M-2.7M0.1625.33N/AN/A54,5858,838299,605169,923
2017-02-02$30.69$30.0024.2%6.9%19.6%7.3%24.9%2.4%-0.0%17.1M-264.7M-2.7M0.618.61N/AN/A14,6318,894271,797173,153
2017-02-03$30.76$30.0021.9%6.5%19.4%1.5%22.7%1.9%0.5%21.3M-280.1M-2.7M0.5318.79N/AN/A10,3245,519276,169174,664
2017-02-06$30.63$30.0022.0%6.3%19.2%1.8%22.3%2.3%-0.0%17.9M-262.4M-2.6M0.7712.08N/AN/A9,8477,576268,471168,444
2017-02-07$30.52$30.0021.6%6.3%19.2%0.6%21.9%1.5%0.2%17.5M-248.3M-2.6M0.5413.83N/AN/A14,5517,841270,823171,345
2017-02-08$30.42$30.0021.7%6.5%18.8%1.0%22.2%1.8%0.6%17.5M-233.5M-2.6M0.4512.83N/AN/A11,0184,983277,261173,996
2017-02-09$30.05$30.0022.0%6.4%19.3%1.7%22.6%0.9%0.0%14.5M-196.2M-2.6M0.5315.42N/AN/A13,6277,286282,501174,436
2017-02-10$30.31$30.0021.2%6.3%19.6%0.0%21.7%1.6%0.7%15.5M-218.6M-2.6M0.8011.63N/AN/A9,8167,810286,939177,282
2017-02-13$30.45$30.0021.5%6.2%19.6%1.0%21.4%1.8%-0.2%17.2M-235.2M-2.6M0.6915.23N/AN/A8,4165,807277,305176,120
2017-02-14$30.40$30.0021.7%6.3%18.5%1.7%20.9%2.2%-1.2%17.8M-223.7M-2.6M0.818.36N/AN/A7,3875,984279,566176,489
2017-02-15$30.94$30.0020.7%5.9%19.4%0.0%21.0%1.6%0.3%24.0M-297.5M-2.6M1.2613.81N/AN/A18,13922,880281,530176,931
2017-02-16$30.48$30.0021.0%6.0%19.5%1.1%20.5%1.9%0.0%17.3M-221.4M-2.7M0.5212.62N/AN/A9,3824,919285,150195,131
2017-02-17$30.19$30.0020.9%6.0%19.6%0.9%20.8%1.7%0.4%10.5M-170.9M-2.6M0.528.65N/AN/A12,5816,526286,546195,684
2017-02-21$30.48$30.0020.6%5.8%19.8%0.0%20.1%2.4%0.1%16.7M-211.2M-2.6M0.4511.82N/AN/A11,5695,236278,692178,702
2017-02-22$30.34$30.0020.8%5.8%17.4%1.0%20.4%1.2%0.1%16.3M-200.0M-2.6M0.6021.51N/AN/A9,5965,804283,165179,257
2017-02-23$29.82$30.0021.1%6.0%18.4%2.4%20.9%2.8%0.5%10.1M-137.6M-2.6M0.4716.34N/AN/A13,2406,223285,409182,421
2017-02-24$29.46$30.0021.4%6.1%16.1%3.3%21.2%2.4%0.1%4.3M-85.0M-2.5M0.8821.62N/AN/A12,55811,056289,142184,333
2017-02-27$29.86$30.0021.5%5.9%17.0%4.0%21.2%1.7%0.2%8.3M-127.9M-2.5M0.9120.55N/AN/A11,22310,265286,002186,525
2017-02-28$29.43$30.0022.1%6.2%17.2%7.2%21.9%2.8%0.2%5.2M-87.1M-2.5M0.7219.50N/AN/A8,9436,454290,613189,758