BX Options History — November 2018

In November 2018, BX traded between $31.06 and $35.39. ATM implied volatility averaged 28.6%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 11.5% (HV 20d: 40.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2018-11-30: Highest Volume — 30,871 contracts
  • 2018-11-23: Largest IV spike — 22.9% change
  • 2018-11-20: Highest IV Rank — 65.3%
  • 2018-11-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.47$31.06$35.39$33.58$33.88
Max Pain$34.83$34.00$35.00$35.00$34.50
ATM IV28.6%22.9%33.8%29.5%27.2%
Expected Move8.3%6.7%9.7%8.9%8.3%
HV 20d40.1%34.8%44.2%43.3%34.8%
HV 60d34.0%32.3%36.6%32.3%36.0%
IV Rank45.5%23.7%65.3%49.1%40.0%
IV Percentile86.0%58.3%98.4%92.1%80.2%
Term Structure-0.2%-2.0%1.9%-0.2%-0.2%
VWIV29.8%23.7%35.3%30.7%29.4%
Skew 25d4.7%3.4%5.9%4.2%5.9%
Skew 10d8.2%-8.5%12.6%10.0%-8.5%
Call IV 25d27.1%21.2%32.0%27.8%25.5%
Put IV 25d31.8%25.3%37.0%32.0%31.4%
Bid-Ask Spread %22.1811.3261.5931.4439.63
Gamma HHI0.180.150.210.160.17
Net GEX7.6M3.7M12.2M4.3M9.9M
Net DEX-170.3M-330.0M-21.2M-138.5M-211.8M
Net VEX-2.7M-2.9M-2.3M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.232.750.610.23
Total Volume16,376.1911,82530,87130,83430,871
Total OI438,381.857420,134448,807433,476448,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$33.58$35.0029.5%8.9%43.3%49.1%30.7%4.2%-0.2%4.3M-138.5M-2.7M0.6131.44N/AN/A19,14611,688267,889165,587
2018-11-02$33.37$35.0028.4%8.8%43.3%44.9%31.4%5.0%0.2%6.2M-144.2M-2.8M1.0915.42N/AN/A7,0877,728278,385166,725
2018-11-05$33.94$35.0028.4%7.9%43.9%44.8%28.3%4.6%-0.8%6.6M-185.6M-2.8M0.8713.38N/AN/A7,2276,320272,697163,264
2018-11-06$34.25$35.0026.7%7.5%44.2%38.4%26.1%4.6%0.1%7.3M-219.5M-2.8M0.9415.24N/AN/A7,3186,909274,816164,001
2018-11-07$34.94$35.0022.9%6.7%37.7%23.7%23.7%4.2%0.6%9.5M-290.9M-2.8M0.8611.32N/AN/A8,3227,195276,844164,449
2018-11-08$35.39$35.0023.3%6.9%37.9%25.3%24.6%3.9%0.8%11.1M-330.0M-2.9M0.8322.10N/AN/A7,3136,054278,668164,618
2018-11-09$34.00$35.0026.7%7.6%40.6%38.4%27.6%4.8%-0.0%8.4M-205.8M-2.8M1.5214.17N/AN/A6,4899,849280,162165,276
2018-11-12$33.28$35.0030.6%8.7%40.8%53.0%32.7%3.4%0.2%5.7M-130.9M-2.8M2.1439.01N/AN/A5,59411,962277,917164,559
2018-11-13$33.53$35.0030.0%8.4%39.9%51.0%29.1%5.3%-0.4%7.6M-164.9M-2.7M0.8720.01N/AN/A7,3626,421278,610155,359
2018-11-14$33.00$35.0030.8%9.0%40.1%54.0%34.6%5.0%0.3%6.1M-130.6M-2.6M1.2826.22N/AN/A5,1886,637281,551157,267
2018-11-15$32.44$35.0031.2%9.1%39.7%55.5%31.9%4.9%0.5%4.4M-77.2M-2.5M1.0916.76N/AN/A5,9236,479281,916157,064
2018-11-16$32.53$35.0029.7%8.2%39.6%49.6%29.8%5.1%-1.3%4.0M-84.9M-2.5M0.6316.56N/AN/A9,0005,676282,173157,028
2018-11-19$31.77$35.0029.7%8.5%40.2%49.7%32.3%5.1%-1.4%5.4M-62.0M-2.4M1.8414.54N/AN/A7,09813,078274,460145,674
2018-11-20$31.06$35.0033.8%9.7%40.3%65.3%35.3%5.0%-2.0%3.7M-21.2M-2.3M1.4315.68N/AN/A7,23310,315276,027155,912
2018-11-21$32.26$35.0027.4%7.9%40.5%41.0%27.8%4.8%-0.5%5.5M-87.9M-2.5M1.3118.59N/AN/A6,2018,121275,555160,167
2018-11-23$33.18$34.5033.7%8.5%41.4%64.9%31.7%5.4%1.9%9.0M-162.2M-2.6M1.1461.59N/AN/A6,0726,932277,400160,578
2018-11-26$34.53$34.0027.8%8.2%42.1%42.3%28.9%4.7%-0.1%12.2M-270.2M-2.7M0.5711.93N/AN/A10,5766,022276,358158,960
2018-11-27$33.81$34.5028.2%8.3%39.3%44.1%29.2%4.6%-0.5%10.6M-215.6M-2.6M1.0811.72N/AN/A6,7267,276278,189159,506
2018-11-28$34.15$34.5027.3%8.3%37.4%40.4%29.4%4.0%0.2%11.6M-239.1M-2.6M1.2916.99N/AN/A5,6207,231279,084160,681
2018-11-29$33.88$34.5027.5%8.5%36.1%41.4%31.1%4.3%-0.8%10.2M-202.7M-2.6M2.7533.41N/AN/A4,17311,468279,740162,096
2018-11-30$33.88$34.5027.2%8.3%34.8%40.0%29.4%5.9%-0.2%9.9M-211.8M-2.5M0.2339.63N/AN/A25,1935,678280,488168,319