BX Options History — March 2017

In March 2017, BX traded between $28.59 and $30.63. ATM implied volatility averaged 22.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.6% (HV 20d: 22.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2017-03-13: Highest Volume — 53,854 contracts
2017-03-21: Largest IV spike — 11.5% change
2017-03-27: Highest IV Rank — 25.7%
2017-03-14: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.79	$28.59	$30.63	$30.05	$29.72
Max Pain	$29.74	$29.00	$30.00	$30.00	$30.00
ATM IV	22.0%	19.2%	24.7%	21.3%	24.4%
Expected Move	6.3%	5.6%	7.0%	6.0%	6.2%
HV 20d	22.6%	17.8%	26.4%	19.1%	22.6%
HV 60d	25.7%	19.9%	29.5%	29.5%	19.9%
IV Rank	9.5%	0.0%	25.7%	3.7%	24.2%
IV Percentile	12.2%	0.0%	36.1%	3.2%	33.7%
Term Structure	0.7%	-2.4%	3.6%	0.3%	-2.4%
VWIV	21.9%	19.6%	24.3%	21.4%	21.1%
Skew 25d	2.0%	0.6%	3.0%	1.5%	2.5%
Skew 10d	4.8%	-1.6%	11.3%	3.8%	2.6%
Call IV 25d	21.0%	18.8%	22.8%	21.2%	22.3%
Put IV 25d	23.0%	20.0%	25.5%	22.7%	24.8%
Bid-Ask Spread %	24.47	7.21	101.09	22.48	7.21
Gamma HHI	0.20	0.10	0.33	0.33	0.14
Net GEX	1.9M	-5.0M	10.2M	10.2M	1.2M
Net DEX	-119.5M	-245.5M	6.4M	-157.3M	-91.4M
Net VEX	-2.7M	-2.9M	-2.3M	-2.6M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.29	4.84	0.56	2.82
Total Volume	23,154	12,873	53,854	20,915	24,497
Total OI	464,571.478	381,838	543,000	483,104	436,375

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$30.05	$30.00	21.3%	6.0%	19.1%	3.7%	21.4%	1.5%	0.3%	10.2M	-157.3M	-2.6M	0.56	22.48	N/A	N/A	13,370	7,545	292,404	190,700
2017-03-02	$29.75	$30.00	21.3%	6.0%	18.5%	3.5%	20.9%	1.7%	0.6%	7.9M	-124.3M	-2.5M	0.86	10.55	N/A	N/A	8,228	7,108	296,035	192,058
2017-03-03	$29.52	$30.00	21.0%	5.9%	17.8%	2.0%	20.9%	1.8%	0.7%	3.1M	-88.9M	-2.5M	0.54	24.63	N/A	N/A	13,588	7,326	297,328	193,618
2017-03-06	$29.54	$29.00	21.0%	6.5%	17.8%	2.1%	23.0%	1.8%	0.6%	3.9M	-92.9M	-2.5M	0.84	32.75	N/A	N/A	11,499	9,690	289,025	193,125
2017-03-07	$29.28	$29.00	20.8%	6.8%	17.9%	1.0%	23.9%	1.2%	0.4%	1.4M	-60.8M	-2.5M	1.33	18.55	N/A	N/A	6,981	9,296	290,888	196,043
2017-03-08	$29.05	$29.00	20.9%	6.8%	18.0%	1.4%	23.6%	2.2%	0.2%	494.0K	-35.1M	-2.4M	0.85	19.96	N/A	N/A	9,218	7,859	291,305	196,398
2017-03-09	$28.59	$29.00	22.3%	6.8%	18.7%	8.5%	23.7%	2.1%	-0.2%	-111.5K	6.4M	-2.3M	0.29	19.21	N/A	N/A	32,626	9,569	292,244	196,843
2017-03-10	$28.94	$29.00	20.7%	6.5%	19.1%	0.5%	22.5%	2.3%	0.9%	827.5K	-32.1M	-2.5M	0.61	13.80	N/A	N/A	14,475	8,805	307,976	198,999
2017-03-13	$30.41	$29.00	21.9%	6.8%	26.2%	6.5%	23.6%	2.2%	1.6%	8.2M	-212.9M	-2.7M	1.08	29.69	N/A	N/A	25,925	27,929	303,836	200,216
2017-03-14	$30.24	$30.00	22.7%	7.0%	26.3%	10.6%	24.3%	2.6%	1.6%	3.4M	-186.5M	-2.9M	0.63	13.48	N/A	N/A	10,819	6,770	314,567	217,557
2017-03-15	$30.49	$30.00	20.9%	6.5%	26.4%	1.7%	22.5%	2.3%	1.8%	6.4M	-225.2M	-2.8M	0.86	32.65	N/A	N/A	11,051	9,487	318,362	218,300
2017-03-16	$30.63	$30.00	21.1%	6.2%	25.7%	2.4%	22.1%	1.1%	0.4%	6.3M	-245.5M	-2.8M	0.70	22.30	N/A	N/A	10,967	7,719	318,156	218,826
2017-03-17	$30.60	$30.00	20.1%	5.9%	25.1%	0.0%	21.0%	0.6%	0.8%	3.2M	-243.4M	-2.8M	0.85	22.06	N/A	N/A	6,965	5,908	321,438	221,562
2017-03-20	$30.60	$30.00	19.2%	5.6%	24.9%	0.0%	19.6%	1.9%	3.6%	3.3M	-209.9M	-2.8M	0.94	10.92	N/A	N/A	9,049	8,481	226,079	155,759
2017-03-21	$29.95	$30.00	21.4%	6.2%	25.8%	10.3%	21.2%	2.6%	2.0%	621.1K	-137.6M	-2.8M	1.43	26.60	N/A	N/A	10,917	15,573	229,725	159,995
2017-03-22	$30.05	$30.00	21.2%	6.1%	25.8%	9.3%	21.1%	2.8%	3.4%	-1.3M	-130.1M	-2.8M	0.62	34.49	N/A	N/A	10,990	6,778	232,420	170,136
2017-03-23	$29.85	$30.00	21.7%	6.1%	25.2%	11.8%	20.7%	2.3%	2.0%	-3.2M	-107.4M	-2.8M	1.02	23.23	N/A	N/A	6,979	7,126	236,318	172,781
2017-03-24	$29.67	$30.00	23.7%	6.5%	24.9%	20.9%	21.4%	1.8%	2.5%	-2.6M	-85.8M	-2.8M	2.44	22.38	N/A	N/A	6,134	14,940	238,113	176,024
2017-03-27	$29.58	$30.00	24.7%	6.1%	24.4%	25.7%	21.3%	2.8%	-1.6%	-4.6M	-68.7M	-2.8M	0.66	13.73	N/A	N/A	8,602	5,690	236,870	177,300
2017-03-28	$29.65	$30.00	24.4%	6.0%	23.8%	24.2%	20.8%	2.2%	-0.8%	-5.0M	-81.7M	-2.8M	0.63	15.41	N/A	N/A	8,022	5,051	239,264	178,927
2017-03-29	$29.39	$30.00	24.6%	5.8%	22.7%	25.1%	20.6%	1.6%	-1.0%	-1.5M	-47.3M	-2.8M	4.84	25.54	N/A	N/A	8,460	40,929	241,872	180,282
2017-03-30	$29.67	$30.00	24.0%	6.4%	22.8%	22.5%	23.0%	3.0%	-1.8%	507.6K	-89.4M	-2.9M	2.52	101.09	N/A	N/A	9,544	24,057	245,147	183,948
2017-03-31	$29.72	$30.00	24.4%	6.2%	22.6%	24.2%	21.1%	2.5%	-2.4%	1.2M	-91.4M	-2.9M	2.82	7.21	N/A	N/A	6,407	18,090	248,944	187,431