BX Options History — June 2017 In June 2017, BX traded between $32.53 and $33.71. ATM implied volatility averaged 18.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 6.3% (HV 20d: 24.9%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2017-06-22 : Highest Volume — 65,702 contracts2017-06-13 : Largest IV drop — 7.3% change2017-06-29 : Highest IV Rank — 23.1%2017-06-12 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.11 $32.53 $33.71 $33.44 $33.38 Max Pain $32.68 $30.00 $33.00 $30.00 $33.00 ATM IV 18.6% 17.4% 21.1% 17.8% 19.7% Expected Move 5.4% 5.0% 5.9% 5.0% 5.4% HV 20d 24.9% 14.3% 32.9% 31.9% 14.3% HV 60d 22.1% 21.4% 23.8% 23.8% 21.7% IV Rank 12.9% 8.0% 23.1% 9.5% 19.8% IV Percentile 11.9% 4.8% 23.8% 6.7% 17.5% Term Structure 0.8% -0.8% 2.1% -0.1% -0.4% VWIV 19.1% 16.8% 21.6% 16.8% 20.6% Skew 25d 2.4% 1.3% 4.2% 1.5% 3.1% Skew 10d 4.9% 1.1% 8.1% 1.1% 7.0% Call IV 25d 17.7% 16.6% 19.3% 17.8% 18.4% Put IV 25d 20.1% 18.8% 23.0% 19.4% 21.6% Bid-Ask Spread % 36.41 15.56 97.51 25.26 25.12 Gamma HHI 0.12 0.09 0.19 0.15 0.09 Net GEX 13.2M 7.4M 16.2M 13.9M 14.6M Net DEX -398.4M -517.0M -318.8M -492.0M -405.0M Net VEX -3.0M -3.4M -2.7M -2.7M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.11 1.47 0.52 1.05 Total Volume 17,803.273 10,717 65,702 27,404 10,717 Total OI 470,973 411,410 495,139 460,844 495,139
Daily Data (22 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 2017-06-01 $33.44 $30.00 17.8% 5.0% 31.9% 9.5% 16.8% 1.5% -0.1% 13.9M -492.0M -2.7M 0.52 25.26 N/A N/A 17,998 9,406 258,651 202,193 2017-06-02 $33.71 $30.00 17.9% 5.1% 30.9% 9.9% 18.2% 2.1% -0.0% 13.5M -517.0M -2.7M 0.68 75.51 N/A N/A 14,659 9,930 264,011 206,104 2017-06-05 $33.32 $32.00 18.0% 5.5% 31.4% 10.4% 19.1% 2.0% 0.2% 13.1M -449.0M -2.9M 0.95 19.10 N/A N/A 11,096 10,551 262,133 208,298 2017-06-06 $33.10 $33.00 18.1% 5.5% 31.5% 10.6% 19.0% 1.3% 1.0% 13.8M -424.4M -2.9M 1.47 21.21 N/A N/A 5,734 8,418 264,184 210,856 2017-06-07 $33.27 $33.00 17.7% 5.6% 31.3% 9.2% 19.3% 2.1% 0.8% 13.3M -442.4M -2.9M 1.02 20.76 N/A N/A 5,655 5,748 265,363 211,926 2017-06-08 $33.35 $33.00 17.4% 5.7% 31.3% 8.0% 19.6% 2.1% 1.3% 12.9M -451.2M -2.8M 0.58 26.41 N/A N/A 9,499 5,473 265,120 212,426 2017-06-09 $33.28 $33.00 18.1% 5.8% 31.3% 10.8% 20.1% 2.1% 0.4% 14.1M -446.9M -2.9M 0.54 40.75 N/A N/A 8,305 4,471 267,430 213,166 2017-06-12 $32.55 $33.00 19.1% 5.9% 32.7% 14.6% 21.1% 2.4% 2.1% 13.6M -361.6M -2.9M 0.59 16.84 N/A N/A 13,250 7,827 265,363 211,422 2017-06-13 $32.92 $33.00 17.7% 5.5% 32.8% 9.1% 19.4% 2.3% 1.6% 16.2M -400.6M -2.9M 0.94 17.61 N/A N/A 6,747 6,363 269,113 215,326 2017-06-14 $32.83 $33.00 17.9% 5.5% 32.9% 10.0% 20.0% 2.4% 1.5% 16.1M -393.6M -2.9M 0.88 28.81 N/A N/A 6,975 6,114 270,328 217,124 2017-06-15 $32.53 $33.00 18.6% 5.7% 30.6% 12.7% 20.9% 2.4% 1.9% 13.1M -356.0M -2.9M 0.85 17.78 N/A N/A 7,324 6,192 272,058 219,333 2017-06-16 $32.59 $33.00 18.3% 5.4% 30.6% 11.6% 18.9% 2.5% 0.6% 7.4M -354.4M -2.9M 0.80 15.56 N/A N/A 8,589 6,900 272,044 220,055 2017-06-19 $33.14 $33.00 17.8% 5.1% 30.6% 9.6% 17.6% 2.8% 1.5% 9.7M -336.2M -2.8M 0.69 44.24 N/A N/A 10,444 7,212 234,019 177,391 2017-06-20 $32.95 $33.00 17.6% 5.1% 15.7% 9.0% 17.7% 2.7% 1.6% 9.7M -320.8M -2.8M 0.72 22.92 N/A N/A 7,480 5,349 240,527 179,587 2017-06-21 $32.94 $33.00 17.9% 5.1% 15.4% 9.8% 17.9% 2.4% 1.1% 10.2M -318.8M -2.9M 0.61 72.73 N/A N/A 11,443 6,985 243,031 180,177 2017-06-22 $33.17 $33.00 18.7% 5.2% 15.5% 13.3% 18.1% 1.5% 1.6% 12.4M -359.4M -2.8M 0.11 97.51 N/A N/A 59,364 6,338 249,160 182,496 2017-06-23 $33.11 $33.00 19.1% 5.2% 15.5% 14.7% 18.6% 2.0% 2.0% 14.9M -390.0M -3.3M 1.19 22.69 N/A N/A 5,357 6,356 300,444 185,371 2017-06-26 $33.13 $33.00 19.9% 5.2% 15.5% 17.7% 18.4% 3.5% -0.1% 14.0M -379.6M -3.3M 0.70 21.56 N/A N/A 7,635 5,368 298,226 184,208 2017-06-27 $32.97 $33.00 20.7% 5.3% 15.0% 21.2% 19.5% 4.2% -0.8% 12.9M -359.0M -3.4M 0.63 37.67 N/A N/A 8,743 5,470 300,044 185,896 2017-06-28 $33.42 $33.00 20.2% 5.3% 15.6% 19.5% 18.4% 3.2% -0.6% 15.5M -414.2M -3.3M 0.53 36.70 N/A N/A 7,731 4,105 302,096 187,090 2017-06-29 $33.24 $33.00 21.1% 5.7% 14.5% 23.1% 21.6% 2.8% -0.3% 14.5M -392.0M -3.4M 0.90 94.29 N/A N/A 6,492 5,859 304,446 188,031 2017-06-30 $33.38 $33.00 19.7% 5.4% 14.3% 19.8% 20.6% 3.1% -0.4% 14.6M -405.0M -3.3M 1.05 25.12 N/A N/A 5,221 5,496 304,819 190,320
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