BX Options History — March 2018

In March 2018, BX traded between $31.52 and $34.34. ATM implied volatility averaged 24.4%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.2% (HV 20d: 18.2%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2018-03-07: Highest Volume — 49,258 contracts
  • 2018-03-22: Largest IV spike — 21.0% change
  • 2018-03-27: Highest IV Rank — 85.7%
  • 2018-03-28: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.15$31.52$34.34$33.55$32.02
Max Pain$33.95$33.00$34.00$34.00$33.00
ATM IV24.4%19.8%32.1%24.9%26.7%
Expected Move7.0%5.8%8.2%7.2%7.6%
HV 20d18.2%12.7%26.3%26.3%19.7%
HV 60d21.7%21.0%22.1%22.0%21.7%
IV Rank47.5%25.1%85.7%49.9%58.8%
IV Percentile78.8%46.4%98.8%90.1%92.5%
Term Structure2.0%-5.0%14.2%-0.4%-0.4%
VWIV25.0%20.4%33.8%26.8%26.3%
Skew 25d4.7%0.4%9.2%4.7%3.4%
Skew 10d10.4%1.6%19.3%6.6%14.6%
Call IV 25d22.8%17.6%28.5%23.4%24.7%
Put IV 25d27.5%22.0%35.6%28.1%28.1%
Bid-Ask Spread %35.4813.2077.3124.7915.82
Gamma HHI0.160.130.190.150.14
Net GEX5.8M-710.5K14.3M6.6M728.8K
Net DEX-173.7M-303.5M-10.8M-229.4M-54.3M
Net VEX-3.2M-3.5M-3.0M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.345.881.030.34
Total Volume22,762.71410,00749,25825,53516,806
Total OI470,358.143414,362506,652466,841489,437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$33.55$34.0024.9%7.2%26.3%49.9%26.8%4.7%-0.4%6.6M-229.4M-3.5M1.0324.79N/AN/A12,58812,947311,951154,890
2018-03-02$33.37$34.0024.8%7.1%26.3%49.6%27.8%3.9%-1.0%6.0M-204.6M-3.4M2.1434.30N/AN/A8,28517,694316,243157,223
2018-03-05$33.45$34.0023.1%7.0%24.1%41.3%23.7%4.2%0.5%5.5M-220.6M-3.2M1.9525.72N/AN/A6,66412,989310,687156,050
2018-03-06$33.41$34.0023.2%7.0%22.0%41.8%26.3%3.9%0.1%4.7M-200.7M-3.3M2.6525.45N/AN/A6,02615,979312,175156,436
2018-03-07$33.20$34.0023.7%7.1%21.1%44.1%24.4%3.4%-0.2%3.5M-183.2M-3.3M5.8830.18N/AN/A7,16342,095312,878160,568
2018-03-08$33.36$34.0022.5%6.7%21.0%38.1%22.6%9.2%0.1%4.3M-173.9M-3.3M1.5951.87N/AN/A8,35813,291313,752165,241
2018-03-09$34.01$34.0020.7%6.1%19.3%29.3%21.4%6.5%1.7%10.6M-257.8M-3.3M1.0034.37N/AN/A10,72710,696317,278168,610
2018-03-12$34.34$34.0021.2%6.8%15.5%31.6%22.6%0.4%2.6%14.3M-303.5M-3.3M0.6429.74N/AN/A16,21310,330317,559165,901
2018-03-13$34.17$34.0021.8%6.8%15.1%34.9%21.8%4.2%3.9%14.3M-293.1M-3.4M0.6951.02N/AN/A11,8468,191326,164168,636
2018-03-14$34.00$34.0021.4%6.6%15.1%32.8%23.4%6.4%3.3%10.2M-259.9M-3.3M1.6243.23N/AN/A7,78912,629325,853168,824
2018-03-15$33.62$34.0020.8%6.2%15.4%29.9%21.5%3.3%0.8%5.4M-214.5M-3.3M0.8045.78N/AN/A12,83310,314326,376172,960
2018-03-16$33.88$34.0019.8%5.8%12.7%25.1%20.4%4.7%0.7%8.4M-219.3M-3.3M0.8541.39N/AN/A9,3977,999332,709173,943
2018-03-19$33.34$34.0022.5%6.5%13.7%38.3%22.4%3.8%2.4%6.8M-178.6M-3.1M1.0127.47N/AN/A8,3718,485279,115135,247
2018-03-20$33.41$34.0023.7%6.9%13.5%44.1%23.4%4.3%9.5%6.7M-189.2M-3.3M0.8464.37N/AN/A8,2866,966282,313140,850
2018-03-21$33.26$34.0023.6%6.8%13.4%43.6%24.6%4.7%14.2%6.4M-172.3M-3.2M1.1034.71N/AN/A5,3065,856284,289143,966
2018-03-22$32.45$34.0028.5%7.6%15.8%68.0%33.8%6.2%13.4%3.6M-103.4M-3.1M0.9777.31N/AN/A19,64019,141285,565146,376
2018-03-23$31.84$34.0028.6%7.9%16.4%68.3%28.9%4.4%1.3%2.1M-49.7M-3.0M1.1740.06N/AN/A20,53824,068293,751161,333
2018-03-26$32.34$34.0029.2%7.7%17.7%71.2%26.7%5.9%-4.4%2.2M-99.4M-3.3M1.5515.15N/AN/A5,8769,119300,164174,866
2018-03-27$31.65$34.0032.1%8.1%18.8%85.7%28.2%8.6%-5.0%-214.9K-28.8M-3.2M0.7319.13N/AN/A5,7814,226301,459180,917
2018-03-28$31.52$34.0029.2%8.2%18.8%71.2%27.2%2.9%-0.3%-710.5K-10.8M-3.0M0.5113.20N/AN/A10,9065,603303,552181,414
2018-03-29$32.02$33.0026.7%7.6%19.7%58.8%26.3%3.4%-0.4%728.8K-54.3M-3.1M0.3415.82N/AN/A12,5544,252305,320184,117