BX Options History — July 2017

In July 2017, BX traded between $32.82 and $34.78. ATM implied volatility averaged 18.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.8% (HV 20d: 12.8%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-07-26: Highest Volume — 453,873 contracts
  • 2017-07-27: Largest IV spike — 17.3% change
  • 2017-07-05: Highest IV Rank — 28.0%
  • 2017-07-05: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.87$32.82$34.78$33.12$33.51
Max Pain$33.40$33.00$35.00$33.00$35.00
ATM IV18.6%15.2%21.4%20.8%16.1%
Expected Move5.2%4.1%6.2%5.6%4.6%
HV 20d12.8%10.6%14.8%14.0%14.8%
HV 60d21.4%21.1%21.8%21.8%21.5%
IV Rank15.1%0.0%28.0%25.3%4.4%
IV Percentile13.1%0.0%29.4%21.4%1.6%
Term Structure-0.3%-2.1%1.5%-0.5%-0.2%
VWIV18.5%14.8%21.9%20.5%16.7%
Skew 25d3.1%0.5%4.8%3.3%2.6%
Skew 10d6.1%-0.2%10.5%5.9%4.2%
Call IV 25d17.5%15.0%19.7%18.8%15.9%
Put IV 25d20.6%16.3%23.5%22.1%18.5%
Bid-Ask Spread %25.7611.9773.6829.1819.38
Gamma HHI0.110.090.140.090.14
Net GEX15.3M8.1M20.7M12.9M10.6M
Net DEX-443.1M-602.3M-227.6M-368.4M-279.4M
Net VEX-3.3M-3.5M-2.9M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.041.051.050.50
Total Volume46,104.5510,252453,87311,57518,889
Total OI524,845.1487,230575,034487,230511,405

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$33.12$33.0020.8%5.6%14.0%25.3%20.5%3.3%-0.5%12.9M-368.4M-3.3M1.0529.18N/AN/A5,6335,942299,408187,822
2017-07-05$33.01$33.0021.4%6.2%13.8%28.0%21.9%3.8%-1.0%12.6M-359.1M-3.2M0.9173.68N/AN/A6,0815,512300,334189,666
2017-07-06$32.82$33.0020.8%5.5%13.8%25.3%19.8%4.1%-0.7%11.6M-337.2M-3.2M0.5120.89N/AN/A7,3813,799301,649190,548
2017-07-07$33.00$33.0020.4%5.7%14.0%23.2%20.9%3.3%-1.5%12.1M-359.0M-3.2M0.6715.01N/AN/A7,9585,307300,939191,298
2017-07-10$33.38$33.0019.4%5.6%14.6%18.9%19.8%4.8%1.5%15.1M-402.8M-3.2M0.4713.92N/AN/A8,8514,192300,980191,441
2017-07-11$33.51$33.0020.3%5.4%12.0%23.0%19.7%4.3%-1.7%16.3M-422.4M-3.2M0.4513.22N/AN/A7,0743,178304,031191,773
2017-07-12$33.77$33.0019.5%5.4%11.7%19.1%19.7%3.4%-0.4%18.1M-454.8M-3.1M0.4014.97N/AN/A10,2584,094305,960192,407
2017-07-13$33.89$33.0019.9%5.4%11.6%20.8%19.3%2.7%-1.5%18.4M-471.9M-3.1M0.8615.61N/AN/A41,30535,548306,346192,792
2017-07-14$34.43$33.0019.1%5.4%11.9%17.2%18.5%2.6%1.5%18.3M-580.0M-3.2M0.4015.21N/AN/A14,2455,680325,095212,118
2017-07-17$34.55$33.0018.3%5.2%11.9%13.7%18.5%3.4%0.0%18.7M-561.2M-3.3M0.6911.97N/AN/A12,0648,342323,929210,795
2017-07-18$34.50$33.0019.6%5.6%10.8%19.6%18.7%3.0%-2.1%17.7M-583.4M-2.9M0.7713.25N/AN/A11,3318,730323,831215,839
2017-07-19$34.78$33.0020.4%5.8%10.6%23.2%20.7%2.9%-0.2%18.0M-602.3M-3.3M0.3446.93N/AN/A31,47010,686329,928221,607
2017-07-20$34.23$33.0017.7%5.1%12.5%11.0%17.3%3.1%0.7%16.5M-532.4M-3.4M0.5116.27N/AN/A17,0008,731345,317226,605
2017-07-21$34.29$33.0016.5%4.8%12.3%5.3%16.9%2.4%-1.4%15.6M-532.3M-3.5M0.5417.03N/AN/A14,6067,838345,389229,645
2017-07-24$34.37$33.0015.7%4.5%12.2%1.4%16.5%2.9%0.4%17.3M-500.9M-3.5M0.4716.53N/AN/A13,7696,439329,339219,113
2017-07-25$34.55$34.0015.8%4.5%12.3%1.8%15.8%2.8%0.2%19.6M-538.0M-3.3M0.6470.26N/AN/A7,7694,950335,288221,781
2017-07-26$34.51$34.0015.2%4.1%12.1%0.0%14.8%0.5%0.6%20.7M-498.2M-3.3M0.0460.01N/AN/A435,93017,943323,821224,261
2017-07-27$33.66$35.0017.8%4.9%14.8%12.1%17.1%2.7%0.1%8.1M-250.0M-3.3M0.6515.58N/AN/A35,51423,104292,415237,015
2017-07-28$33.44$35.0017.2%4.6%14.8%9.4%16.4%3.5%0.2%8.1M-227.6M-3.4M0.7716.32N/AN/A25,44219,506302,331242,641
2017-07-31$33.51$35.0016.1%4.6%14.8%4.4%16.7%2.6%-0.2%10.6M-279.4M-3.2M0.5019.38N/AN/A12,6246,265283,874227,531