BX Options History — September 2019

In September 2019, BX traded between $48.66 and $53.59. ATM implied volatility averaged 27.5%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.9% (HV 20d: 26.6%). Max pain ranged from $46.00 to $52.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2019-09-27: Highest Volume — 57,038 contracts
  • 2019-09-10: Largest IV spike — 8.5% change
  • 2019-09-30: Highest IV Rank — 56.2%
  • 2019-09-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.51$48.66$53.59$48.66$48.90
Max Pain$49.20$46.00$52.00$46.00$50.00
ATM IV27.5%24.1%32.0%28.5%32.0%
Expected Move8.0%7.3%9.3%8.2%9.1%
HV 20d26.6%23.1%31.7%31.2%31.7%
HV 60d28.6%27.7%30.1%27.9%30.1%
IV Rank41.5%30.7%56.2%44.8%56.2%
IV Percentile68.7%45.6%88.1%77.4%88.1%
Term Structure1.0%-1.0%3.1%-1.0%-0.3%
VWIV28.3%25.9%32.5%29.3%31.6%
Skew 25d4.1%2.9%5.2%4.1%5.2%
Skew 10d9.7%4.4%19.9%8.5%19.9%
Call IV 25d26.0%22.6%30.3%26.6%29.3%
Put IV 25d30.1%26.0%35.1%30.7%34.5%
Bid-Ask Spread %40.0522.1662.3022.1644.18
Gamma HHI0.130.080.180.130.08
Net GEX11.8M2.0M18.0M9.9M2.0M
Net DEX-626.9M-809.0M-325.6M-472.1M-325.6M
Net VEX-2.3M-2.7M-2.0M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.242.850.451.42
Total Volume16,699.155,09157,0389,94935,448
Total OI397,311.05354,761438,722369,169400,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$48.66$46.0028.5%8.2%31.2%44.8%29.3%4.1%-1.0%9.9M-472.1M-2.4M0.4522.16N/AN/A6,8733,076184,290184,879
2019-09-04$49.16$46.0026.6%7.6%30.1%38.6%27.0%4.0%-0.0%11.5M-518.5M-2.4M0.7322.94N/AN/A6,9775,090188,108186,707
2019-09-05$50.00$49.0024.6%7.6%30.2%32.3%26.8%3.3%0.4%13.4M-590.9M-2.3M0.7929.91N/AN/A11,9999,444191,337190,810
2019-09-06$50.50$48.0024.1%7.6%27.6%30.7%26.7%3.3%0.7%18.0M-631.8M-2.4M0.6629.82N/AN/A9,5666,270198,599196,932
2019-09-09$50.90$48.0024.3%7.7%27.7%31.3%26.7%4.1%2.9%13.5M-655.2M-2.3M0.6139.68N/AN/A7,7994,778200,259198,289
2019-09-10$49.78$48.0026.4%7.7%25.7%38.1%27.8%4.1%-0.1%13.0M-562.2M-2.5M0.8326.17N/AN/A6,1575,083201,242200,470
2019-09-11$50.07$49.0025.8%7.7%25.1%36.1%27.9%4.4%1.1%13.4M-574.9M-2.6M0.4535.61N/AN/A4,5012,040202,835204,278
2019-09-12$52.38$48.0025.3%7.6%26.1%34.3%27.7%4.1%1.4%12.1M-741.9M-2.3M0.4237.48N/AN/A15,1516,410203,039205,191
2019-09-13$53.59$50.0027.3%8.4%26.2%41.0%29.6%4.5%2.7%11.9M-809.0M-2.1M0.2453.85N/AN/A18,0644,287204,371208,151
2019-09-16$53.50$50.0029.3%8.5%25.1%47.3%28.5%4.0%0.9%11.4M-777.9M-2.1M0.3358.28N/AN/A21,8377,180203,893205,337
2019-09-17$53.24$50.0028.9%8.3%25.0%46.2%29.2%4.3%-0.1%13.0M-762.7M-2.2M0.2654.67N/AN/A12,2783,155217,173209,790
2019-09-18$52.94$50.0028.3%8.1%24.8%44.2%29.7%3.8%3.1%13.1M-753.8M-2.2M0.3362.30N/AN/A5,5871,850222,705212,019
2019-09-19$52.72$50.0026.5%7.5%24.7%38.3%25.9%2.9%2.1%12.5M-741.7M-2.1M0.4058.94N/AN/A4,8411,928223,706213,178
2019-09-20$52.76$50.0026.2%7.3%24.7%37.3%26.0%3.9%1.9%12.0M-740.0M-2.1M0.3946.76N/AN/A8,2113,204225,157213,565
2019-09-23$53.15$50.0027.3%7.5%23.1%41.0%27.0%3.7%0.9%11.0M-637.7M-2.0M0.4131.45N/AN/A6,1602,512193,377161,384
2019-09-24$52.49$50.0029.0%7.8%23.8%46.4%27.8%5.1%0.3%12.7M-602.3M-2.2M2.1625.22N/AN/A3,1376,781203,203164,188
2019-09-25$52.92$50.0028.5%7.6%23.8%44.9%27.0%4.1%0.6%13.7M-632.6M-2.2M1.2628.96N/AN/A2,2562,835204,348168,942
2019-09-26$52.61$50.0029.4%8.0%24.0%47.9%30.2%3.9%1.1%13.3M-608.1M-2.2M1.3330.64N/AN/A6,0838,097205,281169,796
2019-09-27$49.99$52.0031.2%9.3%30.7%53.6%32.5%4.8%1.2%5.3M-399.6M-2.6M2.8561.91N/AN/A14,79942,239203,517174,950
2019-09-30$48.90$50.0032.0%9.1%31.7%56.2%31.6%5.2%-0.3%2.0M-325.6M-2.7M1.4244.18N/AN/A14,62520,823202,134198,791