BX Options History — January 2018

In January 2018, BX traded between $32.89 and $36.74. ATM implied volatility averaged 25.8%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.7% (HV 20d: 19.1%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2018-01-16: Highest Volume — 61,893 contracts
2018-01-11: Largest IV drop — 31.5% change
2018-01-10: Highest IV Rank — 100.0%
2018-01-30: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.85	$32.89	$36.74	$32.89	$36.48
Max Pain	$32.74	$32.00	$34.00	$32.00	$34.00
ATM IV	25.8%	20.4%	35.0%	20.4%	25.3%
Expected Move	7.2%	5.3%	8.7%	5.3%	8.2%
HV 20d	19.1%	16.1%	20.8%	20.8%	16.1%
HV 60d	18.3%	17.8%	18.9%	17.8%	18.0%
IV Rank	54.6%	25.5%	100.0%	25.5%	51.8%
IV Percentile	89.4%	54.8%	100.0%	54.8%	94.8%
Term Structure	-0.2%	-2.7%	2.3%	1.9%	-0.2%
VWIV	25.8%	19.3%	31.1%	20.3%	29.9%
Skew 25d	3.3%	-1.3%	13.9%	3.0%	3.1%
Skew 10d	4.2%	-11.2%	16.6%	5.7%	4.9%
Call IV 25d	23.9%	18.6%	31.0%	19.6%	24.2%
Put IV 25d	27.2%	22.6%	44.9%	22.6%	27.3%
Bid-Ask Spread %	21.40	8.27	55.07	36.94	25.00
Gamma HHI	0.20	0.14	0.43	0.15	0.14
Net GEX	23.8M	16.8M	41.3M	18.2M	21.9M
Net DEX	-485.1M	-649.2M	-293.6M	-293.6M	-530.1M
Net VEX	-3.0M	-3.4M	-2.6M	-2.6M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.18	3.28	0.35	0.47
Total Volume	28,989.952	12,285	61,893	23,836	22,197
Total OI	527,187.381	401,528	645,400	542,221	473,262

Daily Data (21 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
2018-01-02	$32.89	$32.00	20.4%	5.3%	20.8%	25.5%	20.3%	3.0%	1.9%	18.2M	-293.6M	-2.6M	0.35	36.94	N/A	N/A	17,675	6,161	320,617	221,604
2018-01-03	$33.13	$32.00	20.9%	5.3%	19.9%	27.9%	19.3%	2.4%	1.5%	20.1M	-328.1M	-2.6M	0.41	30.19	N/A	N/A	13,600	5,609	322,882	223,752
2018-01-04	$33.19	$32.00	22.2%	6.5%	19.9%	33.5%	21.6%	-0.4%	2.3%	21.9M	-335.3M	-2.6M	0.39	55.07	N/A	N/A	17,572	6,786	325,602	225,954
2018-01-05	$32.99	$32.00	23.5%	6.4%	18.9%	44.0%	22.2%	3.6%	0.5%	22.9M	-303.7M	-2.6M	0.55	30.83	N/A	N/A	17,084	9,361	328,923	228,584
2018-01-08	$33.29	$32.00	26.9%	6.5%	18.7%	64.7%	22.3%	5.0%	0.2%	19.0M	-346.1M	-2.6M	1.01	32.89	N/A	N/A	6,097	6,188	328,991	230,120
2018-01-09	$33.81	$32.00	30.9%	6.7%	19.2%	85.8%	23.5%	3.7%	-1.4%	21.4M	-413.0M	-2.7M	0.28	26.10	N/A	N/A	23,300	6,478	330,824	231,943
2018-01-10	$34.36	$32.00	35.0%	6.9%	19.8%	100.0%	24.0%	-1.3%	1.8%	25.7M	-512.9M	-2.7M	0.21	12.79	N/A	N/A	32,212	6,744	338,070	233,659
2018-01-11	$34.53	$33.00	24.0%	6.7%	19.6%	45.6%	23.3%	6.6%	-1.6%	28.8M	-540.7M	-2.7M	0.18	21.54	N/A	N/A	32,870	5,859	342,888	235,916
2018-01-12	$35.28	$33.00	31.3%	7.0%	20.4%	81.7%	25.0%	13.9%	-1.7%	29.4M	-649.2M	-2.9M	0.19	20.80	N/A	N/A	44,976	8,476	356,083	237,607
2018-01-16	$34.95	$33.00	26.8%	7.6%	20.5%	59.2%	27.3%	2.0%	-1.4%	33.1M	-625.3M	-3.1M	0.20	18.49	N/A	N/A	51,653	10,240	371,706	238,646
2018-01-17	$34.99	$33.00	27.6%	7.9%	20.0%	63.5%	28.3%	2.2%	-2.7%	35.0M	-631.8M	-3.2M	0.34	18.90	N/A	N/A	17,837	6,006	391,431	240,361
2018-01-18	$34.93	$33.00	26.4%	7.6%	20.0%	57.3%	26.8%	2.0%	-1.5%	41.3M	-624.8M	-3.3M	0.53	22.73	N/A	N/A	20,337	10,852	393,881	241,431
2018-01-19	$34.66	$33.00	26.3%	7.7%	20.3%	56.8%	26.7%	3.8%	-0.5%	16.8M	-560.0M	-3.2M	0.40	13.04	N/A	N/A	21,796	8,799	398,471	246,929
2018-01-22	$35.00	$33.00	24.7%	7.4%	20.3%	48.9%	26.1%	2.4%	-0.3%	19.0M	-392.6M	-3.3M	0.51	9.96	N/A	N/A	10,608	5,418	290,732	110,796
2018-01-23	$35.82	$33.00	24.9%	7.7%	19.3%	49.8%	31.0%	2.4%	-0.3%	20.6M	-476.4M	-3.3M	0.32	13.61	N/A	N/A	13,915	4,513	296,755	113,388
2018-01-24	$36.10	$33.00	24.5%	7.6%	18.9%	48.1%	26.5%	1.7%	0.3%	20.9M	-506.8M	-3.4M	0.36	10.58	N/A	N/A	15,874	5,676	301,266	114,814
2018-01-25	$36.31	$33.00	22.3%	7.5%	17.2%	37.3%	26.5%	3.1%	0.5%	23.2M	-531.9M	-3.4M	0.37	11.84	N/A	N/A	15,208	5,670	306,742	116,681
2018-01-26	$36.74	$33.00	24.6%	7.8%	17.2%	48.5%	29.8%	3.5%	-0.2%	20.5M	-588.5M	-3.4M	3.28	8.27	N/A	N/A	14,199	46,563	311,437	117,891
2018-01-29	$36.36	$33.00	26.5%	8.6%	17.1%	57.8%	30.9%	2.6%	-0.5%	19.9M	-516.5M	-3.4M	0.55	11.71	N/A	N/A	12,354	6,831	304,568	156,837
2018-01-30	$36.06	$33.50	26.8%	8.7%	17.5%	59.3%	31.1%	3.4%	-0.1%	20.2M	-480.7M	-3.4M	0.59	18.16	N/A	N/A	9,542	5,653	308,308	160,583
2018-01-31	$36.48	$34.00	25.3%	8.2%	16.1%	51.8%	29.9%	3.1%	-0.2%	21.9M	-530.1M	-3.4M	0.47	25.00	N/A	N/A	15,072	7,125	311,817	161,445