BX Options History — April 2017

In April 2017, BX traded between $28.98 and $31.28. ATM implied volatility averaged 22.6%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.7% (HV 20d: 15.9%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-04-26: Highest Volume — 225,070 contracts
  • 2017-04-26: Largest IV drop — 16.7% change
  • 2017-04-12: Highest IV Rank — 35.7%
  • 2017-04-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.91$28.98$31.28$29.45$30.84
Max Pain$30.11$30.00$31.00$30.00$31.00
ATM IV22.6%15.4%26.9%24.9%17.8%
Expected Move6.3%4.1%7.0%6.9%5.0%
HV 20d15.9%12.0%22.9%22.9%15.0%
HV 60d19.6%18.7%20.1%19.9%18.9%
IV Rank18.7%0.0%35.7%26.7%9.7%
IV Percentile25.4%0.0%57.1%38.9%0.4%
Term Structure-0.7%-3.0%1.8%-0.2%-0.2%
VWIV22.4%14.7%28.2%24.2%17.6%
Skew 25d3.4%-0.6%5.9%3.1%2.0%
Skew 10d6.0%-0.1%12.5%12.5%4.7%
Call IV 25d20.7%15.9%24.9%22.6%17.4%
Put IV 25d24.0%15.2%28.4%25.7%19.4%
Bid-Ask Spread %25.1611.4140.4131.5018.90
Gamma HHI0.160.130.300.140.18
Net GEX2.7M-7.9M15.8M-615.2K1.3M
Net DEX-116.0M-318.1M-7.5M-59.1M-222.0M
Net VEX-2.8M-2.9M-2.4M-2.9M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.051.920.460.52
Total Volume32,881.89515,115225,07022,13320,095
Total OI460,300.368435,880498,053437,931446,478

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$29.45$30.0024.9%6.9%22.9%26.7%24.2%3.1%-0.2%-615.2K-59.1M-2.9M0.4631.50N/AN/A15,1586,975245,453192,478
2017-04-04$29.62$30.0025.4%7.0%22.7%29.0%24.1%3.3%-1.2%1.1M-81.4M-2.9M0.5311.41N/AN/A9,8745,241251,308193,400
2017-04-05$29.52$30.0025.1%6.7%22.5%27.3%23.6%4.3%-0.4%165.1K-64.3M-2.9M1.0027.44N/AN/A7,6497,633252,180194,016
2017-04-06$29.79$30.0023.3%6.6%21.8%19.2%23.0%4.5%-0.3%1.8M-100.7M-2.9M0.4214.69N/AN/A12,4175,184253,689199,252
2017-04-07$29.42$30.0024.6%6.8%22.1%25.1%22.3%3.3%-1.8%-7.9M-48.8M-2.9M0.5415.33N/AN/A14,7707,922255,636200,891
2017-04-10$29.42$30.0024.8%6.7%12.5%26.0%24.1%3.7%-1.7%2.6M-57.0M-2.8M0.6012.67N/AN/A10,7686,447257,731194,706
2017-04-11$29.22$30.0026.1%7.0%12.5%32.2%28.2%3.5%-2.6%2.1M-40.5M-2.8M0.4618.23N/AN/A10,6074,907262,144197,722
2017-04-12$29.24$30.0026.9%6.9%12.0%35.7%25.6%3.6%-3.0%2.5M-43.2M-2.8M0.5916.99N/AN/A9,9855,855266,889198,457
2017-04-13$28.98$30.0024.4%6.6%12.0%24.2%24.0%4.1%-1.8%-1.7M-10.1M-2.7M0.9024.77N/AN/A11,84010,635269,804199,568
2017-04-17$28.98$30.0025.1%7.0%12.0%27.2%25.4%3.5%1.8%2.0M-7.5M-2.7M1.9222.12N/AN/A5,32510,213270,748202,494
2017-04-18$29.60$30.0023.4%6.6%14.7%19.5%23.1%3.7%1.1%4.8M-88.4M-2.8M0.7319.66N/AN/A9,4586,922273,963204,381
2017-04-19$30.06$30.0024.0%6.9%13.9%22.5%24.7%3.1%-0.5%7.3M-148.7M-2.9M0.6630.21N/AN/A15,0979,978272,936204,293
2017-04-20$30.22$30.0021.6%6.2%14.0%11.4%21.8%4.6%1.0%9.5M-140.8M-2.8M0.8738.94N/AN/A22,98920,035275,970206,799
2017-04-21$30.38$30.0021.4%6.3%13.8%10.1%22.5%5.9%-2.5%6.1M-185.1M-2.7M0.5724.03N/AN/A19,98011,295283,418214,635
2017-04-24$30.40$30.0018.8%5.6%13.6%0.0%20.4%3.6%-0.4%662.2K-153.3M-2.6M1.4540.41N/AN/A7,09610,281249,121202,411
2017-04-25$30.89$30.0018.4%5.2%14.4%0.0%18.7%3.4%-0.7%2.3M-218.5M-2.7M0.6237.59N/AN/A18,86711,611250,549206,940
2017-04-26$31.28$30.0015.4%4.1%14.9%0.0%14.7%-0.6%0.2%15.8M-318.1M-2.4M0.0533.17N/AN/A214,66410,406250,217209,150
2017-04-27$30.95$31.0017.9%5.2%15.1%9.8%18.6%1.6%-0.0%1.6M-215.9M-2.7M0.6140.03N/AN/A22,70413,873225,152210,728
2017-04-28$30.84$31.0017.8%5.0%15.0%9.7%17.6%2.0%-0.2%1.3M-222.0M-2.6M0.5218.90N/AN/A13,2436,852231,768214,710