BX Options History — May 2017

In May 2017, BX traded between $29.30 and $33.02. ATM implied volatility averaged 17.7%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.8% (HV 20d: 20.5%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-05-02: Highest Volume — 67,756 contracts
  • 2017-05-17: Largest IV spike — 22.1% change
  • 2017-05-17: Highest IV Rank — 23.1%
  • 2017-05-17: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.91$29.30$33.02$30.88$32.88
Max Pain$30.14$30.00$31.00$31.00$30.00
ATM IV17.7%16.8%21.2%17.2%18.1%
Expected Move5.1%4.8%6.1%4.9%5.2%
HV 20d20.5%12.9%32.2%15.0%31.6%
HV 60d20.4%18.0%24.4%18.6%23.7%
IV Rank9.2%5.7%23.1%7.3%10.9%
IV Percentile3.8%0.4%13.5%0.4%7.9%
Term Structure0.2%-1.1%1.6%1.6%0.2%
VWIV18.0%16.7%20.4%17.2%18.0%
Skew 25d2.2%1.5%3.5%2.0%2.1%
Skew 10d4.5%1.8%8.3%3.1%1.8%
Call IV 25d17.1%16.4%19.2%16.9%17.5%
Put IV 25d19.2%18.3%22.8%18.8%19.6%
Bid-Ask Spread %18.046.1074.2130.1228.07
Gamma HHI0.190.160.300.170.18
Net GEX7.0M-8.1M15.7M4.3M15.3M
Net DEX-227.1M-448.0M-19.9M-235.2M-430.5M
Net VEX-2.8M-2.9M-2.6M-2.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.312.950.480.43
Total Volume25,883.27311,02367,75617,36718,879
Total OI465,497.455432,253489,951432,253457,618

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$30.88$31.0017.2%4.9%15.0%7.3%17.2%2.0%1.6%4.3M-235.2M-2.6M0.4830.12N/AN/A11,7065,661230,140202,113
2017-05-02$30.81$31.0016.8%4.8%14.5%5.7%17.6%2.0%0.7%4.8M-219.7M-2.6M0.5174.21N/AN/A44,79022,966232,197202,893
2017-05-03$30.80$31.0016.8%4.8%14.5%5.7%17.1%2.2%0.7%7.0M-232.9M-2.9M0.5843.18N/AN/A6,9944,029267,800220,646
2017-05-04$30.25$30.0017.7%5.3%16.1%9.2%18.1%2.3%0.5%-8.1M-151.6M-2.9M0.4014.24N/AN/A10,9134,419268,995220,956
2017-05-05$30.31$30.0017.2%5.3%15.8%7.1%18.6%2.2%0.9%-6.1M-162.4M-2.8M2.9511.39N/AN/A7,30921,548268,107221,355
2017-05-08$30.13$30.0017.5%5.3%15.2%8.3%18.1%2.2%0.7%5.1M-141.4M-2.8M0.7012.12N/AN/A13,8229,658266,446199,889
2017-05-09$30.01$30.0017.3%5.0%15.3%7.6%17.5%1.5%0.0%5.6M-122.5M-2.9M1.3216.07N/AN/A7,73910,204271,314199,045
2017-05-10$29.99$30.0017.0%5.1%15.1%6.3%17.8%2.3%0.7%5.2M-111.5M-2.8M2.1910.67N/AN/A5,89112,923273,290199,305
2017-05-11$29.99$30.0017.3%5.1%15.1%7.4%17.9%2.2%0.4%5.6M-134.4M-2.7M2.3117.38N/AN/A6,21914,357273,687201,447
2017-05-12$29.93$30.0017.0%4.9%14.7%6.3%17.4%1.8%0.3%5.0M-125.9M-2.8M2.796.15N/AN/A4,59312,793275,477201,808
2017-05-15$30.13$30.0017.5%5.1%14.8%8.4%17.6%1.9%0.1%7.3M-161.7M-2.7M1.757.12N/AN/A5,5049,633273,350201,530
2017-05-16$30.23$30.0017.4%5.0%12.9%8.0%17.2%2.0%-0.3%7.8M-140.2M-2.8M1.2013.01N/AN/A7,7629,276275,360202,110
2017-05-17$29.30$30.0021.2%6.1%16.2%23.1%20.4%3.5%-0.3%399.7K-19.9M-2.8M0.848.66N/AN/A14,42612,115276,192201,840
2017-05-18$29.31$30.0019.6%5.6%16.1%16.6%18.8%3.2%-1.1%354.8K-26.2M-2.7M0.316.31N/AN/A32,22210,131277,289202,825
2017-05-19$29.80$30.0018.3%5.2%17.2%11.4%18.8%2.5%0.2%5.4M-81.2M-2.7M1.056.10N/AN/A11,19111,716261,373202,933
2017-05-22$32.15$30.0018.1%5.2%32.2%10.9%18.6%1.9%0.2%12.6M-391.2M-2.7M0.4224.39N/AN/A43,17218,168249,217186,421
2017-05-23$32.46$30.0017.7%5.0%32.0%9.1%19.0%2.4%0.1%15.7M-421.1M-2.8M0.3312.78N/AN/A35,04411,527260,706194,112
2017-05-24$32.56$30.0017.8%5.0%31.8%9.5%17.5%1.7%0.2%15.7M-418.8M-2.8M0.6219.52N/AN/A13,9038,687262,346198,728
2017-05-25$32.51$30.0017.2%4.9%31.4%7.3%16.7%2.3%-0.1%15.2M-404.7M-2.8M0.619.66N/AN/A10,1166,192259,944196,053
2017-05-26$32.60$30.0017.0%4.8%31.4%6.6%16.8%1.6%-0.3%14.2M-415.0M-2.7M0.5211.08N/AN/A11,8766,184260,500197,211
2017-05-30$33.02$30.0017.8%5.1%31.6%9.6%18.4%1.8%-0.4%14.8M-448.0M-2.7M1.1514.76N/AN/A10,78512,389252,923193,453
2017-05-31$32.88$30.0018.1%5.2%31.6%10.9%18.0%2.1%0.2%15.3M-430.5M-2.6M0.4328.07N/AN/A13,2075,672256,948200,670