BX Options History — December 2017

In December 2017, BX traded between $31.45 and $32.97. ATM implied volatility averaged 19.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.0% (HV 20d: 16.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-12-13: Highest Volume — 53,515 contracts
  • 2017-12-26: Largest IV spike — 9.2% change
  • 2017-12-04: Highest IV Rank — 34.1%
  • 2017-12-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.05$31.45$32.97$31.54$32.07
Max Pain$31.85$31.00$32.00$32.00$32.00
ATM IV19.7%17.6%22.3%22.2%19.6%
Expected Move5.7%5.1%6.8%6.8%5.4%
HV 20d16.8%13.2%19.1%16.2%19.1%
HV 60d16.0%15.0%17.2%15.0%17.0%
IV Rank22.5%13.0%34.1%33.6%21.6%
IV Percentile42.2%13.9%71.4%69.8%42.5%
Term Structure1.6%-2.1%14.3%-2.1%2.7%
VWIV20.3%17.6%23.5%23.5%19.0%
Skew 25d2.8%2.1%4.1%2.4%2.1%
Skew 10d7.4%4.8%24.2%8.1%7.1%
Call IV 25d18.8%16.6%21.1%21.1%18.1%
Put IV 25d21.6%19.5%25.0%23.5%20.2%
Bid-Ask Spread %26.8714.2038.2834.5321.63
Gamma HHI0.130.100.290.290.14
Net GEX8.4M-9.4M18.4M-9.4M15.3M
Net DEX-160.6M-315.0M-62.1M-89.8M-168.8M
Net VEX-2.6M-2.8M-2.5M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.124.730.550.62
Total Volume21,436.6510,33653,51525,48110,336
Total OI557,015.05501,027590,187581,071549,937

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$31.54$32.0022.2%6.8%16.2%33.6%23.5%2.4%-2.1%-9.4M-89.8M-2.7M0.5534.53N/AN/A16,4209,061333,518247,553
2017-12-04$32.14$31.0022.3%6.4%16.7%34.1%22.4%4.1%4.8%7.2M-184.8M-2.7M0.2923.39N/AN/A18,0895,259338,099244,576
2017-12-05$32.11$31.0021.7%6.6%16.7%31.1%22.9%3.5%3.3%8.2M-184.4M-2.7M0.9315.11N/AN/A5,9465,545343,596244,842
2017-12-06$31.56$31.0021.8%6.5%17.6%31.7%22.7%2.5%-0.9%5.0M-112.1M-2.6M0.2931.83N/AN/A19,5745,736344,815245,372
2017-12-07$31.95$32.0020.4%6.0%17.9%25.5%22.7%2.8%1.0%4.9M-121.7M-2.7M1.0314.20N/AN/A8,0608,320332,382246,879
2017-12-08$32.17$32.0020.5%6.0%17.9%26.2%21.6%3.0%0.2%4.6M-168.3M-2.6M0.8126.18N/AN/A7,5986,135333,517248,032
2017-12-11$32.16$32.0020.4%6.1%17.4%25.3%21.3%2.2%0.4%2.7M-145.8M-2.5M4.7326.77N/AN/A7,26034,314332,481246,820
2017-12-12$32.07$32.0020.2%5.7%17.0%24.4%20.6%2.9%-0.5%7.1M-148.0M-2.6M0.9123.55N/AN/A5,5405,067333,623246,989
2017-12-13$31.94$32.0019.6%5.7%16.0%22.1%19.8%2.7%0.3%3.3M-103.6M-2.5M0.1528.92N/AN/A46,6766,839334,051247,432
2017-12-14$31.68$32.0019.0%5.6%15.8%19.0%20.6%2.5%0.7%1.7M-85.5M-2.5M0.3932.15N/AN/A14,7525,819305,905247,463
2017-12-15$31.45$32.0018.8%5.6%13.2%18.3%18.7%2.7%0.9%1.2M-62.1M-2.5M0.9222.98N/AN/A10,3719,500313,992248,214
2017-12-18$31.82$32.0018.0%5.2%13.9%14.8%18.3%2.4%0.6%8.5M-121.7M-2.5M0.3324.29N/AN/A18,7666,213284,132216,895
2017-12-19$31.70$32.0018.4%5.3%13.9%16.3%17.6%2.7%0.8%10.7M-112.6M-2.5M0.6623.59N/AN/A8,5265,597295,434219,498
2017-12-20$32.00$32.0017.6%5.1%14.3%13.0%18.4%2.8%0.7%13.4M-159.5M-2.5M0.8131.76N/AN/A9,1787,438296,301220,467
2017-12-21$32.97$32.0017.8%5.1%17.8%13.8%18.9%2.4%-0.5%18.4M-315.0M-2.5M0.1238.28N/AN/A45,7655,417299,754220,987
2017-12-22$32.75$32.0018.4%5.2%17.7%16.2%19.3%2.7%0.7%17.8M-284.8M-2.8M0.7223.43N/AN/A8,3786,070324,946221,157
2017-12-26$32.22$32.0020.0%5.7%18.3%23.8%20.0%3.4%14.3%15.2M-203.5M-2.7M0.6829.29N/AN/A6,5324,420321,593219,614
2017-12-27$32.57$32.0018.9%5.3%18.5%18.5%18.8%3.4%3.0%17.9M-251.1M-2.6M0.7237.67N/AN/A6,8694,970322,701220,605
2017-12-28$32.20$32.0019.2%5.3%19.1%20.0%18.6%2.5%2.2%15.0M-189.5M-2.6M0.6427.90N/AN/A7,5494,828324,590221,539
2017-12-29$32.07$32.0019.6%5.4%19.1%21.6%19.0%2.1%2.7%15.3M-168.8M-2.5M0.6221.63N/AN/A6,3793,957326,924223,013