BX Options History — September 2018

In September 2018, BX traded between $35.32 and $39.78. ATM implied volatility averaged 22.2%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.4% (HV 20d: 21.8%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-09-21: Highest Volume — 54,754 contracts
  • 2018-09-12: Largest IV drop — 8.6% change
  • 2018-09-26: Highest IV Rank — 34.1%
  • 2018-09-11: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.26$35.32$39.78$36.99$38.10
Max Pain$35.95$34.00$37.00$34.00$37.00
ATM IV22.2%19.1%24.8%19.1%23.0%
Expected Move6.3%5.5%6.7%5.5%6.1%
HV 20d21.8%16.8%27.5%16.8%27.5%
HV 60d20.4%18.5%22.0%18.5%20.3%
IV Rank24.5%13.2%34.1%13.2%27.3%
IV Percentile61.6%32.9%84.5%32.9%65.5%
Term Structure0.2%-0.8%1.4%0.3%-0.8%
VWIV22.4%20.3%26.0%20.3%21.9%
Skew 25d2.6%0.8%3.5%2.2%0.8%
Skew 10d5.3%3.6%6.9%4.2%3.6%
Call IV 25d21.4%18.7%23.3%18.7%22.4%
Put IV 25d23.9%20.9%26.4%20.9%23.2%
Bid-Ask Spread %14.016.0928.2522.138.49
Gamma HHI0.220.160.320.190.26
Net GEX20.6M15.4M24.4M23.3M16.5M
Net DEX-517.4M-814.4M-351.5M-531.0M-468.9M
Net VEX-3.1M-3.2M-3.0M-3.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.251.710.751.00
Total Volume20,174.7378,20654,7549,91314,712
Total OI430,719.421393,624456,287425,990407,862

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$36.99$34.0019.1%5.5%16.8%13.2%20.3%2.2%0.3%23.3M-531.0M-3.2M0.7522.13N/AN/A5,6574,256291,270134,720
2018-09-05$36.62$34.0019.6%5.7%17.3%14.9%20.3%2.6%-0.4%22.8M-487.9M-3.1M1.0110.33N/AN/A4,0904,116291,870134,967
2018-09-06$35.41$36.0020.9%6.3%20.8%19.6%21.0%2.8%0.2%18.5M-358.5M-3.1M0.5920.43N/AN/A12,1687,183292,264135,147
2018-09-07$35.32$36.0021.4%6.4%20.6%21.7%22.9%3.1%-0.2%17.9M-351.5M-3.2M0.999.45N/AN/A6,1656,087295,341138,047
2018-09-10$35.96$36.0022.7%6.4%21.2%26.3%23.1%2.8%-0.2%20.7M-429.0M-3.2M0.6913.58N/AN/A7,1734,977295,639137,816
2018-09-11$35.64$36.0024.0%6.7%21.3%31.1%26.0%3.5%-0.6%19.8M-395.1M-3.2M1.7128.25N/AN/A5,0148,590297,336138,016
2018-09-12$35.78$36.0021.9%6.5%19.4%23.5%24.3%3.1%0.9%20.3M-410.5M-3.1M1.0713.29N/AN/A6,9787,475298,743141,694
2018-09-13$35.91$36.0022.3%6.5%18.8%25.0%23.6%3.2%0.6%21.8M-420.0M-3.2M0.8019.47N/AN/A6,5875,291299,535143,065
2018-09-14$36.94$36.0021.2%6.3%20.8%20.8%21.6%2.8%1.3%24.4M-541.7M-3.2M0.3417.54N/AN/A13,5674,609300,367145,337
2018-09-17$37.03$36.0022.6%6.5%20.7%25.9%23.0%3.1%1.4%24.2M-538.2M-3.2M1.5710.80N/AN/A10,07615,843299,211143,625
2018-09-18$37.53$36.0022.1%6.4%19.9%24.3%22.5%2.6%0.2%22.2M-593.2M-3.1M0.3013.34N/AN/A19,7095,834300,249150,672
2018-09-19$37.55$36.0021.5%6.2%19.2%22.0%22.2%2.3%1.3%23.1M-587.0M-3.1M1.4213.30N/AN/A8,61812,220301,938151,935
2018-09-20$37.83$36.0021.5%6.1%19.3%22.0%21.8%2.4%1.3%23.7M-625.7M-3.1M0.5814.72N/AN/A14,8228,525303,502151,405
2018-09-21$39.70$36.0022.0%6.2%25.3%23.7%22.2%2.0%1.1%18.8M-814.4M-3.1M0.2510.19N/AN/A43,92710,827304,251152,036
2018-09-24$39.78$36.0023.3%6.3%25.2%28.5%22.4%1.5%-0.7%19.0M-663.4M-3.1M0.517.17N/AN/A17,7729,033267,202126,422
2018-09-25$39.02$36.0024.0%6.3%26.5%30.9%22.1%2.7%-0.8%19.3M-582.9M-3.0M0.7718.41N/AN/A10,3887,999268,126129,336
2018-09-26$38.67$37.0024.8%6.7%26.8%34.1%23.2%2.7%-0.7%18.6M-549.8M-3.1M1.689.19N/AN/A9,06715,254270,769132,127
2018-09-27$38.08$37.0023.8%6.1%27.5%30.3%21.5%2.7%-0.8%15.4M-482.4M-3.1M0.266.09N/AN/A22,7995,912271,577140,250
2018-09-28$38.10$37.0023.0%6.1%27.5%27.3%21.9%0.8%-0.8%16.5M-468.9M-3.0M1.008.49N/AN/A7,3657,347266,213141,649