BX Options History — November 2017

In November 2017, BX traded between $30.87 and $33.02. ATM implied volatility averaged 20.8%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.1% (HV 20d: 17.7%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-11-01: Highest Volume — 27,095 contracts
  • 2017-11-16: Largest IV drop — 17.0% change
  • 2017-11-03: Highest IV Rank — 43.4%
  • 2017-11-15: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.99$30.87$33.02$32.86$31.75
Max Pain$32.69$32.00$33.00$33.00$32.00
ATM IV20.8%18.8%24.4%19.7%21.7%
Expected Move5.9%5.2%6.5%6.0%6.4%
HV 20d17.7%15.9%18.8%15.9%16.7%
HV 60d16.1%15.1%17.6%17.6%15.2%
IV Rank27.1%18.3%43.4%22.3%31.2%
IV Percentile50.3%29.8%77.0%39.7%65.1%
Term Structure-0.1%-6.1%1.2%-1.3%-0.9%
VWIV21.0%18.6%24.8%20.8%21.5%
Skew 25d3.8%2.4%6.1%6.1%2.7%
Skew 10d6.6%-11.6%20.4%8.1%12.3%
Call IV 25d19.2%16.6%21.8%16.6%20.6%
Put IV 25d23.0%20.7%25.4%22.7%23.3%
Bid-Ask Spread %17.069.3835.3617.6813.19
Gamma HHI0.110.100.140.130.11
Net GEX5.6M1.2M12.9M12.9M3.6M
Net DEX-133.2M-261.7M8.3M-254.0M-121.6M
Net VEX-2.8M-3.1M-2.6M-2.9M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.392.242.241.13
Total Volume16,953.28610,80427,09527,09518,313
Total OI568,296.714541,445582,565541,445576,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$32.86$33.0019.7%6.0%15.9%22.3%20.8%6.1%-1.3%12.9M-254.0M-2.9M2.2417.68N/AN/A8,37418,721319,568221,877
2017-11-02$32.43$33.0021.8%6.3%16.4%31.7%21.4%4.7%-0.2%8.2M-170.7M-3.0M0.7135.36N/AN/A11,3458,056321,631236,424
2017-11-03$32.94$33.0024.4%6.2%17.4%43.4%21.6%3.5%-6.1%10.8M-239.6M-3.1M0.6223.49N/AN/A8,1585,026325,463240,177
2017-11-06$33.02$33.0020.3%6.0%17.4%24.9%24.4%4.0%1.0%11.9M-261.7M-3.0M0.5812.98N/AN/A7,9284,598322,322237,711
2017-11-07$33.00$33.0020.3%6.0%17.3%24.8%21.3%5.7%0.8%12.1M-256.7M-3.0M0.8719.09N/AN/A6,4675,618324,061239,079
2017-11-08$32.59$33.0021.0%5.9%17.7%28.2%20.6%3.2%-0.3%9.7M-225.3M-3.0M0.9813.97N/AN/A6,4996,359324,480240,017
2017-11-09$32.38$33.0020.7%6.2%17.8%26.7%21.0%3.9%1.0%7.1M-169.5M-3.0M0.8112.25N/AN/A8,0366,532325,981240,981
2017-11-10$31.98$33.0021.4%6.3%18.2%30.0%21.6%5.1%0.5%4.7M-124.8M-2.9M0.559.38N/AN/A12,9227,118326,239241,882
2017-11-13$31.67$33.0021.0%5.9%18.2%28.2%20.8%3.1%0.8%3.5M-81.1M-2.8M0.7813.17N/AN/A12,94810,041324,127242,003
2017-11-14$31.17$33.0022.2%6.4%18.8%33.7%22.6%4.3%-0.9%1.2M-4.7M-2.8M0.8715.10N/AN/A9,7878,493326,699245,338
2017-11-15$30.87$33.0022.8%6.5%18.1%36.3%24.8%3.6%-0.3%1.4M8.3M-2.7M0.4520.31N/AN/A16,7167,512327,706247,130
2017-11-16$31.67$33.0018.9%5.4%18.8%18.8%19.6%2.4%1.2%3.6M-94.7M-2.7M0.5410.66N/AN/A11,5586,235332,682247,470
2017-11-17$31.77$33.0018.8%5.3%18.8%18.3%18.7%3.1%1.1%5.0M-101.1M-2.8M1.0513.50N/AN/A8,5568,984334,143248,422
2017-11-20$31.83$33.0019.9%5.5%18.0%23.2%19.1%2.7%1.1%4.4M-123.7M-2.7M0.3918.46N/AN/A14,7185,767322,471240,956
2017-11-21$31.90$32.5020.1%5.2%18.1%24.1%18.6%3.0%-0.4%5.0M-121.1M-2.8M0.9213.64N/AN/A7,7947,178329,606241,482
2017-11-22$31.90$32.0019.0%5.2%18.0%19.3%18.6%5.3%0.6%4.3M-136.7M-2.7M0.8217.00N/AN/A8,2306,789330,860241,299
2017-11-24$31.67$32.0019.2%5.5%17.8%20.0%19.1%2.9%0.7%3.3M-94.8M-2.7M0.8016.04N/AN/A5,9964,808331,784243,120
2017-11-27$31.32$32.0020.7%6.0%17.9%26.9%20.6%3.2%0.0%1.6M-58.4M-2.7M0.5021.75N/AN/A9,8774,930327,626241,265
2017-11-28$31.53$32.0020.7%5.8%17.6%26.8%20.7%3.6%-0.6%1.3M-77.3M-2.6M0.6613.08N/AN/A8,2605,411327,834242,198
2017-11-29$31.54$32.0021.5%6.4%17.0%30.2%23.5%3.8%-0.6%2.8M-88.4M-2.6M1.1728.08N/AN/A7,0808,281330,551242,900
2017-11-30$31.75$32.0021.7%6.4%16.7%31.2%21.5%2.7%-0.9%3.6M-121.6M-2.7M1.1313.19N/AN/A8,6059,708332,115244,551