BX Options History — October 2017

In October 2017, BX traded between $32.89 and $34.79. ATM implied volatility averaged 20.7%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.0% (HV 20d: 12.7%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2017-10-26: Highest Volume — 55,881 contracts
2017-10-19: Largest IV drop — 16.7% change
2017-10-04: Highest IV Rank — 39.5%
2017-10-03: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.54	$32.89	$34.79	$32.99	$33.35
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	20.7%	15.5%	23.5%	21.5%	19.2%
Expected Move	5.9%	4.4%	6.9%	6.4%	5.3%
HV 20d	12.7%	10.7%	15.8%	15.1%	15.8%
HV 60d	17.3%	17.0%	17.8%	17.6%	17.3%
IV Rank	26.8%	3.3%	39.5%	30.4%	19.9%
IV Percentile	42.3%	1.6%	63.9%	53.6%	34.1%
Term Structure	-0.4%	-2.3%	0.9%	-1.0%	0.5%
VWIV	20.9%	16.8%	24.0%	22.2%	18.2%
Skew 25d	3.1%	1.3%	4.7%	4.7%	2.9%
Skew 10d	6.0%	-4.7%	11.2%	11.2%	5.0%
Call IV 25d	19.5%	15.7%	22.9%	18.4%	17.7%
Put IV 25d	22.5%	18.2%	26.1%	23.1%	20.6%
Bid-Ask Spread %	19.77	10.96	50.52	47.02	13.13
Gamma HHI	0.13	0.10	0.20	0.10	0.15
Net GEX	18.0M	12.9M	28.7M	15.3M	15.8M
Net DEX	-354.8M	-515.9M	-265.9M	-288.8M	-320.2M
Net VEX	-3.1M	-3.3M	-2.8M	-3.1M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.11	1.78	0.57	0.98
Total Volume	21,747.182	10,561	55,881	19,550	16,213
Total OI	555,822.136	532,800	579,601	543,745	537,355

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
2017-10-02	$32.99	$33.00	21.5%	6.4%	15.1%	30.4%	22.2%	4.7%	-1.0%	15.3M	-288.8M	-3.1M	0.57	47.02	N/A	N/A	12,448	7,102	320,030	223,715
2017-10-03	$33.17	$33.00	22.8%	6.9%	12.0%	36.3%	23.9%	3.8%	-1.1%	16.7M	-322.5M	-3.2M	0.58	32.40	N/A	N/A	13,033	7,587	324,286	227,040
2017-10-04	$33.60	$33.00	23.5%	6.7%	12.5%	39.5%	23.6%	3.9%	-1.5%	19.1M	-376.3M	-3.3M	0.51	24.22	N/A	N/A	8,423	4,323	327,963	229,282
2017-10-05	$33.65	$33.00	23.1%	6.0%	11.1%	37.8%	22.0%	2.7%	-0.4%	20.5M	-384.2M	-3.2M	0.50	22.21	N/A	N/A	10,125	5,083	328,918	229,744
2017-10-06	$33.42	$33.00	23.1%	6.4%	11.7%	37.7%	22.2%	2.0%	-0.6%	18.2M	-348.2M	-3.3M	1.78	16.30	N/A	N/A	11,988	21,324	330,503	229,612
2017-10-09	$33.25	$33.00	23.2%	6.5%	10.7%	38.3%	23.2%	3.5%	-0.3%	17.1M	-317.8M	-3.3M	0.54	15.64	N/A	N/A	7,326	3,923	329,039	243,827
2017-10-10	$33.07	$33.00	23.2%	6.4%	11.0%	38.1%	22.7%	2.8%	-0.5%	17.0M	-298.5M	-3.1M	0.57	14.25	N/A	N/A	7,998	4,584	330,229	228,234
2017-10-11	$33.17	$33.00	23.0%	6.4%	10.8%	37.3%	22.3%	3.4%	-0.8%	18.1M	-314.1M	-3.2M	1.00	12.33	N/A	N/A	6,726	6,754	332,119	228,446
2017-10-12	$33.00	$33.00	23.3%	6.3%	11.0%	38.5%	22.4%	4.2%	-1.6%	16.5M	-285.6M	-3.1M	0.61	13.02	N/A	N/A	6,576	3,985	332,839	231,040
2017-10-13	$32.89	$33.00	22.1%	6.3%	10.9%	33.2%	22.7%	2.0%	0.7%	16.0M	-272.7M	-3.1M	0.79	50.52	N/A	N/A	6,967	5,501	334,078	231,815
2017-10-16	$33.14	$33.00	23.1%	6.5%	11.2%	37.5%	22.2%	4.3%	-0.8%	17.1M	-300.3M	-3.1M	0.65	15.85	N/A	N/A	9,783	6,354	330,085	231,190
2017-10-17	$33.14	$33.00	23.0%	6.6%	11.2%	37.3%	24.0%	3.7%	-2.3%	17.6M	-306.5M	-3.1M	0.58	17.39	N/A	N/A	9,520	5,509	334,579	231,471
2017-10-18	$33.50	$33.00	21.9%	6.3%	11.3%	32.2%	21.7%	4.2%	-1.9%	20.9M	-362.5M	-3.1M	0.74	24.67	N/A	N/A	22,956	16,913	335,582	231,852
2017-10-19	$34.25	$33.00	18.2%	5.2%	13.5%	15.7%	18.8%	3.0%	0.9%	28.7M	-502.6M	-3.1M	0.27	18.26	N/A	N/A	28,936	7,809	337,853	240,925
2017-10-20	$34.37	$33.00	17.5%	5.0%	13.2%	12.6%	18.2%	2.4%	0.1%	19.2M	-515.9M	-3.0M	0.29	10.96	N/A	N/A	30,696	9,012	339,625	239,976
2017-10-23	$34.79	$33.00	15.5%	4.4%	13.6%	3.3%	18.0%	2.8%	0.7%	22.0M	-487.7M	-3.0M	0.48	14.22	N/A	N/A	19,267	9,209	314,374	219,553
2017-10-24	$34.56	$33.00	16.7%	4.9%	13.5%	8.9%	18.3%	2.7%	0.1%	20.6M	-438.4M	-3.0M	0.69	13.84	N/A	N/A	10,613	7,289	315,233	223,850
2017-10-25	$34.20	$33.00	17.0%	5.1%	14.2%	10.3%	16.8%	1.8%	0.3%	18.2M	-425.4M	-2.8M	0.59	12.79	N/A	N/A	10,334	6,144	319,551	226,247
2017-10-26	$33.79	$33.00	16.7%	4.9%	14.5%	8.7%	17.4%	1.3%	-0.1%	15.5M	-352.8M	-2.9M	0.11	16.01	N/A	N/A	50,422	5,459	320,381	227,156
2017-10-27	$33.51	$33.00	17.9%	5.2%	14.8%	14.1%	18.4%	2.3%	0.6%	12.9M	-319.0M	-3.1M	0.49	16.38	N/A	N/A	13,234	6,488	318,384	227,306
2017-10-30	$32.99	$33.00	19.8%	6.1%	15.4%	23.0%	20.5%	3.2%	-0.6%	13.1M	-265.9M	-3.0M	0.48	13.61	N/A	N/A	9,808	4,694	315,202	217,598
2017-10-31	$33.35	$33.00	19.2%	5.3%	15.8%	19.9%	18.2%	2.9%	0.5%	15.8M	-320.2M	-3.0M	0.98	13.13	N/A	N/A	8,201	8,012	318,329	219,026