BX Options History — September 2017

In September 2017, BX traded between $31.52 and $33.44. ATM implied volatility averaged 19.0%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.8%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-09-27: Highest Volume — 31,014 contracts
  • 2017-09-05: Largest IV spike — 10.8% change
  • 2017-09-27: Highest IV Rank — 28.7%
  • 2017-09-05: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.48$31.52$33.44$32.75$33.35
Max Pain$32.13$32.00$33.00$32.00$33.00
ATM IV19.0%17.5%21.1%17.8%20.3%
Expected Move5.4%4.8%6.1%4.8%5.8%
HV 20d17.8%14.5%22.5%21.0%14.6%
HV 60d17.5%17.3%18.0%17.3%17.5%
IV Rank19.1%12.3%28.7%13.9%25.1%
IV Percentile26.4%10.7%48.0%15.9%40.9%
Term Structure0.8%-0.9%3.2%0.4%0.6%
VWIV18.8%16.2%22.5%16.2%21.5%
Skew 25d2.8%1.7%4.2%2.5%2.9%
Skew 10d6.6%4.3%11.5%5.5%9.5%
Call IV 25d17.9%15.9%20.2%16.9%20.1%
Put IV 25d20.7%17.9%23.0%19.4%23.0%
Bid-Ask Spread %28.3618.2146.9920.2629.89
Gamma HHI0.100.090.110.100.11
Net GEX12.0M4.4M17.8M13.8M16.5M
Net DEX-238.8M-351.2M-123.4M-291.8M-343.6M
Net VEX-3.1M-3.3M-3.0M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.401.341.341.20
Total Volume16,535.39,64731,01418,32116,670
Total OI546,030.35496,947580,512570,207545,611

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$32.75$32.0017.8%4.8%21.0%13.9%16.2%2.5%0.4%13.8M-291.8M-3.3M1.3420.26N/AN/A7,83010,491321,407248,800
2017-09-05$31.95$32.0019.8%6.1%22.5%22.6%21.6%2.3%0.0%9.0M-191.5M-3.2M1.0038.38N/AN/A10,22210,255318,349248,338
2017-09-06$31.93$32.0020.1%6.0%22.5%24.2%21.0%3.4%-0.3%9.2M-180.8M-3.2M1.2224.92N/AN/A7,5089,158320,507251,168
2017-09-07$31.52$32.0020.2%5.9%22.5%24.7%22.5%2.9%-0.3%7.2M-130.7M-3.1M1.0619.46N/AN/A9,56010,095320,404251,744
2017-09-08$31.55$32.0019.6%5.6%18.9%21.7%20.2%2.9%0.0%4.4M-123.4M-3.1M1.1421.97N/AN/A7,0217,995320,678255,998
2017-09-11$32.09$32.0019.0%5.5%19.6%19.1%18.8%3.4%-0.2%10.9M-201.1M-3.1M1.3121.16N/AN/A7,79510,192319,163253,639
2017-09-12$32.17$32.0018.6%5.5%18.6%17.5%18.0%3.3%0.8%11.0M-208.9M-3.1M1.1718.21N/AN/A6,2987,379320,886255,027
2017-09-13$32.00$32.0019.1%5.5%18.7%19.7%19.3%2.1%0.3%11.3M-190.2M-3.1M1.2619.92N/AN/A6,1777,771321,396255,569
2017-09-14$32.05$32.0017.7%5.4%18.5%13.3%17.7%2.9%1.7%12.0M-198.1M-3.0M1.0218.99N/AN/A6,6316,762322,160257,925
2017-09-15$32.29$32.0018.3%5.6%17.4%16.2%18.7%2.9%1.8%10.4M-232.2M-3.0M1.1530.24N/AN/A8,1619,361322,321258,191
2017-09-18$32.30$32.0017.5%5.0%17.4%12.3%17.2%2.3%1.8%10.2M-210.1M-3.0M0.6625.17N/AN/A9,5316,334291,421205,526
2017-09-19$32.40$32.0018.0%5.2%16.5%14.7%17.7%3.0%3.2%11.0M-220.3M-3.0M0.6021.86N/AN/A6,1643,688296,537208,562
2017-09-20$32.70$32.0017.8%5.1%15.4%13.6%18.1%2.4%2.6%13.2M-252.5M-3.1M0.8332.74N/AN/A5,2824,365297,809209,135
2017-09-21$32.83$32.0017.5%4.9%15.4%12.6%16.8%2.5%1.9%14.1M-274.5M-3.0M0.4046.66N/AN/A8,8773,587299,135210,476
2017-09-22$33.17$32.0018.3%5.0%15.3%15.9%17.0%2.0%2.6%14.5M-311.3M-3.0M0.6538.77N/AN/A11,6777,600301,627211,291
2017-09-25$33.10$32.0019.9%5.1%15.4%23.3%17.5%3.8%-0.1%15.0M-297.2M-3.0M1.0236.40N/AN/A9,2139,433301,563211,737
2017-09-26$32.85$32.0019.7%5.4%15.6%22.1%18.6%1.7%1.3%13.8M-269.9M-3.1M1.0846.99N/AN/A8,0358,710304,997214,807
2017-09-27$33.08$32.5021.1%5.8%15.7%28.7%19.5%4.2%-0.9%14.8M-296.0M-3.1M0.6934.60N/AN/A18,35412,660307,512216,840
2017-09-28$33.44$33.0019.4%5.2%14.5%21.1%18.4%3.4%-0.2%17.8M-351.2M-3.2M0.8420.69N/AN/A7,5306,334318,999223,352
2017-09-29$33.35$33.0020.3%5.8%14.6%25.1%21.5%2.9%0.6%16.5M-343.6M-3.2M1.2029.89N/AN/A7,5809,090320,435225,176