BX Options History — August 2017 In August 2017, BX traded between $31.25 and $33.85. ATM implied volatility averaged 18.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.5% (HV 20d: 19.7%). Max pain ranged from $32.00 to $34.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.94.
Notable Days 2017-08-10 : Highest Volume — 32,832 contracts2017-08-10 : Largest IV spike — 14.2% change2017-08-11 : Highest IV Rank — 25.7%2017-08-11 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $32.46 $31.25 $33.85 $33.51 $32.64 Max Pain $32.70 $32.00 $34.50 $34.50 $32.00 ATM IV 18.2% 14.8% 20.4% 16.0% 18.8% Expected Move 5.2% 4.4% 6.0% 4.5% 4.9% HV 20d 19.7% 14.5% 22.5% 14.5% 22.0% HV 60d 19.5% 16.5% 23.5% 21.5% 17.3% IV Rank 15.5% 0.0% 25.7% 3.9% 18.3% IV Percentile 18.1% 0.0% 29.8% 1.6% 23.4% Term Structure 0.4% -0.5% 1.8% -0.1% -0.4% VWIV 18.9% 15.9% 22.8% 16.3% 17.9% Skew 25d 2.7% 1.8% 3.6% 1.9% 2.7% Skew 10d 5.8% 3.3% 10.1% 3.9% 5.6% Call IV 25d 17.4% 14.2% 19.8% 15.7% 17.5% Put IV 25d 20.1% 16.2% 22.5% 17.6% 20.2% Bid-Ask Spread % 18.46 5.98 90.02 9.38 18.06 Gamma HHI 0.11 0.09 0.14 0.14 0.09 Net GEX 9.4M 4.6M 16.8M 10.7M 14.8M Net DEX -215.3M -355.0M -103.5M -286.8M -282.6M Net VEX -3.3M -3.4M -3.1M -3.2M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.19 2.65 0.56 1.94 Total Volume 20,412 13,343 32,832 16,536 22,331 Total OI 546,607.652 512,837 565,671 512,837 565,671
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 2017-08-01 $33.51 $34.50 16.0% 4.5% 14.5% 3.9% 16.3% 1.9% -0.1% 10.7M -286.8M -3.2M 0.56 9.38 N/A N/A 10,609 5,927 285,249 227,588 2017-08-02 $32.96 $34.50 16.8% 4.8% 15.6% 7.4% 17.6% 2.5% -0.0% 7.2M -216.5M -3.2M 0.43 18.58 N/A N/A 16,868 7,324 287,864 228,710 2017-08-03 $33.25 $33.00 16.3% 4.9% 15.8% 5.0% 17.2% 1.9% 0.4% 10.2M -265.7M -3.3M 1.24 8.77 N/A N/A 7,593 9,399 295,858 231,159 2017-08-04 $33.84 $33.00 14.8% 4.4% 16.8% 0.0% 15.9% 2.0% 0.0% 16.8M -355.0M -3.1M 0.51 7.44 N/A N/A 8,864 4,479 296,620 235,163 2017-08-07 $33.82 $33.00 15.3% 4.6% 16.4% 2.3% 16.8% 1.8% 0.6% 12.7M -337.8M -3.2M 0.90 5.98 N/A N/A 8,269 7,470 290,749 232,423 2017-08-08 $33.85 $33.00 15.7% 4.7% 16.4% 4.5% 16.6% 2.3% 0.6% 13.3M -345.9M -3.2M 0.23 9.29 N/A N/A 18,597 4,295 292,199 235,129 2017-08-09 $33.44 $33.00 17.4% 5.2% 16.7% 11.9% 17.7% 2.5% 0.8% 11.0M -288.4M -3.4M 0.19 8.32 N/A N/A 21,147 4,109 300,489 235,961 2017-08-10 $32.26 $33.00 19.9% 6.0% 20.8% 23.1% 20.2% 3.1% 0.9% 6.3M -162.9M -3.4M 0.36 18.14 N/A N/A 24,072 8,760 311,660 236,564 2017-08-11 $31.93 $33.00 20.4% 6.0% 19.8% 25.7% 20.3% 2.6% 0.6% 5.3M -126.9M -3.4M 0.53 14.03 N/A N/A 12,669 6,763 320,109 238,255 2017-08-14 $32.48 $33.00 18.4% 5.4% 21.0% 16.6% 19.3% 2.2% -0.1% 9.2M -206.9M -3.3M 1.31 12.54 N/A N/A 8,967 11,713 313,205 235,663 2017-08-15 $32.37 $33.00 18.7% 5.4% 21.0% 17.6% 21.4% 2.5% -0.2% 8.5M -196.7M -3.3M 1.71 20.48 N/A N/A 9,883 16,939 314,631 240,729 2017-08-16 $32.17 $33.00 18.2% 5.2% 20.6% 15.7% 17.3% 2.3% 0.7% 7.8M -182.1M -3.3M 0.50 13.77 N/A N/A 12,848 6,364 316,825 237,830 2017-08-17 $31.59 $33.00 19.1% 5.4% 20.8% 19.8% 19.6% 3.0% 1.8% 4.6M -122.6M -3.3M 0.76 14.81 N/A N/A 10,836 8,221 320,258 237,866 2017-08-18 $31.70 $32.00 19.0% 5.4% 20.9% 19.0% 19.0% 2.9% 0.6% 5.7M -134.6M -3.3M 0.37 12.22 N/A N/A 14,541 5,421 324,944 239,468 2017-08-21 $31.25 $32.00 19.7% 5.5% 21.0% 22.1% 19.9% 3.6% 0.5% 4.7M -103.5M -3.2M 0.72 23.11 N/A N/A 8,932 6,414 309,968 228,439 2017-08-22 $31.87 $32.00 19.1% 5.5% 22.5% 19.5% 20.1% 2.8% -0.1% 7.7M -177.0M -3.3M 0.71 47.04 N/A N/A 14,802 10,457 311,789 231,244 2017-08-23 $31.83 $32.00 20.1% 5.6% 22.5% 23.9% 19.9% 3.5% -0.2% 9.0M -185.3M -3.3M 0.49 14.50 N/A N/A 10,274 5,077 318,864 235,686 2017-08-24 $31.62 $32.00 19.2% 5.5% 21.2% 20.1% 19.1% 2.9% 0.6% 8.7M -164.3M -3.3M 1.20 15.08 N/A N/A 6,850 8,208 321,460 235,933 2017-08-25 $31.67 $32.00 19.4% 5.5% 21.2% 20.8% 21.2% 3.0% 0.9% 7.8M -166.4M -3.2M 1.53 14.88 N/A N/A 9,542 14,574 322,647 239,137 2017-08-28 $31.94 $32.00 19.4% 5.1% 21.5% 20.8% 18.7% 3.6% -0.5% 9.4M -188.8M -3.3M 1.36 13.01 N/A N/A 7,265 9,914 318,909 242,119 2017-08-29 $31.91 $32.00 19.1% 5.0% 21.5% 19.8% 22.8% 3.6% 0.3% 9.6M -179.1M -3.2M 2.65 90.02 N/A N/A 5,461 14,491 319,748 242,601 2017-08-30 $32.57 $32.00 18.6% 4.9% 22.3% 17.3% 19.1% 3.1% 1.0% 14.0M -275.1M -3.3M 1.30 15.06 N/A N/A 9,534 12,403 320,271 244,322 2017-08-31 $32.64 $32.00 18.8% 4.9% 22.0% 18.3% 17.9% 2.7% -0.4% 14.8M -282.6M -3.3M 1.94 18.06 N/A N/A 7,605 14,726 320,915 244,756
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