BX Options History — October 2019 In October 2019, BX traded between $45.78 and $53.00. ATM implied volatility averaged 30.3%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.8% (HV 20d: 31.1%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.93.
Notable Days 2019-10-31 : Highest Volume — 551,973 contracts2019-10-23 : Largest IV drop — 11.0% change2019-10-08 : Highest IV Rank — 75.0%2019-10-08 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $48.86 $45.78 $53.00 $47.25 $53.00 Max Pain $48.00 $46.00 $50.00 $50.00 $49.00 ATM IV 30.3% 22.5% 37.8% 35.8% 22.6% Expected Move 8.5% 6.2% 10.4% 9.9% 6.2% HV 20d 31.1% 25.8% 36.4% 33.1% 25.8% HV 60d 31.1% 29.8% 32.1% 30.7% 29.8% IV Rank 50.6% 25.2% 75.0% 68.5% 25.7% IV Percentile 68.6% 26.2% 95.6% 94.0% 28.2% Term Structure -0.8% -2.2% 0.4% -1.3% 0.3% VWIV 30.3% 16.0% 41.1% 35.5% 16.0% Skew 25d 4.9% 2.4% 6.9% 5.7% 2.4% Skew 10d 9.6% 5.4% 13.4% 12.2% 5.4% Call IV 25d 28.4% 21.5% 36.5% 32.9% 22.0% Put IV 25d 33.3% 24.3% 42.1% 38.6% 24.3% Bid-Ask Spread % 23.33 7.89 35.68 35.68 30.15 Gamma HHI 0.09 0.06 0.14 0.07 0.14 Net GEX 6.4M -3.2M 21.2M -1.4M 21.2M Net DEX -411.7M -802.8M -129.7M -199.2M -792.1M Net VEX -2.7M -3.0M -2.4M -2.8M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.01 2.86 2.86 0.01 Total Volume 42,200.261 5,262 551,973 27,325 551,973 Total OI 455,714.652 420,695 472,025 420,695 470,038
Daily Data (23 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 2019-10-01 $47.25 $50.00 35.8% 9.9% 33.1% 68.5% 35.5% 5.7% -1.3% -1.4M -199.2M -2.8M 2.86 35.68 N/A N/A 7,087 20,238 209,895 210,800 2019-10-02 $46.72 $50.00 37.5% 10.3% 33.0% 74.0% 34.3% 5.6% -1.2% -3.2M -158.4M -2.8M 2.17 35.05 N/A N/A 11,274 24,415 212,626 216,553 2019-10-03 $47.60 $49.00 36.9% 9.8% 33.1% 72.1% 33.9% 5.8% -1.8% -1.9M -232.9M -2.9M 0.37 25.74 N/A N/A 20,883 7,667 215,310 218,382 2019-10-04 $47.06 $49.00 36.8% 10.0% 32.9% 71.9% 40.7% 6.9% -1.1% -2.2M -203.7M -3.0M 1.12 27.47 N/A N/A 8,520 9,536 229,254 223,727 2019-10-07 $45.78 $49.00 37.6% 10.3% 33.7% 74.5% 40.5% 6.8% -1.4% -2.0M -129.7M -2.9M 1.40 23.47 N/A N/A 9,289 12,960 225,721 221,333 2019-10-08 $45.78 $49.00 37.8% 10.4% 33.1% 75.0% 41.1% 6.8% -1.5% -2.5M -129.8M -3.0M 0.91 22.02 N/A N/A 5,161 4,718 229,271 226,054 2019-10-09 $46.53 $49.00 36.1% 10.0% 33.7% 69.6% 35.0% 6.3% -0.9% -1.0M -195.4M -3.0M 0.93 21.71 N/A N/A 6,883 6,370 230,814 228,465 2019-10-10 $46.59 $49.00 34.7% 9.8% 28.5% 65.1% 33.3% 6.6% -0.3% -972.2K -197.9M -3.0M 2.53 21.57 N/A N/A 5,617 14,228 233,833 232,293 2019-10-11 $47.42 $49.00 34.7% 9.7% 27.9% 65.1% 34.4% 6.2% -2.2% 3.9M -275.8M -3.0M 0.49 27.87 N/A N/A 12,730 6,234 236,666 233,685 2019-10-14 $46.50 $46.00 33.2% 9.4% 28.2% 60.1% 33.2% 6.0% -0.7% 58.0K -217.2M -2.9M 2.25 20.03 N/A N/A 6,403 14,403 233,000 221,867 2019-10-15 $47.24 $46.00 30.5% 8.7% 29.4% 51.2% 31.9% 4.8% -0.4% 3.1M -287.7M -2.8M 0.84 16.83 N/A N/A 3,745 3,150 236,174 228,220 2019-10-16 $46.91 $46.00 29.7% 8.5% 29.4% 48.7% 29.5% 5.3% -0.5% 1.5M -261.9M -2.8M 0.57 18.91 N/A N/A 3,358 1,904 237,570 228,487 2019-10-17 $47.82 $46.00 27.8% 8.0% 30.7% 42.5% 29.8% 4.7% -0.3% 7.5M -352.0M -2.8M 0.74 19.81 N/A N/A 8,342 6,153 238,246 228,507 2019-10-18 $48.48 $46.00 28.2% 8.1% 31.4% 44.0% 27.9% 4.4% -0.5% 11.4M -414.9M -2.7M 0.51 19.27 N/A N/A 9,942 5,072 238,940 228,630 2019-10-21 $49.17 $46.00 28.0% 8.2% 31.8% 43.2% 28.9% 4.0% -1.3% 9.6M -465.9M -2.6M 0.46 17.16 N/A N/A 9,627 4,382 221,365 214,104 2019-10-22 $49.01 $46.00 28.4% 8.3% 31.6% 44.5% 29.4% 4.3% -1.0% 9.8M -450.6M -2.8M 0.95 18.16 N/A N/A 8,674 8,238 228,259 215,885 2019-10-23 $51.36 $48.00 25.3% 7.0% 36.1% 34.4% 25.5% 3.8% -0.7% 15.0M -657.3M -2.5M 0.48 25.52 N/A N/A 27,071 12,893 231,781 222,224 2019-10-24 $52.00 $48.00 24.1% 6.8% 36.4% 30.5% 24.3% 3.6% -0.7% 15.3M -703.8M -2.5M 0.19 28.30 N/A N/A 25,712 4,796 234,324 229,448 2019-10-25 $52.91 $48.00 22.8% 6.5% 31.6% 26.4% 24.1% 3.4% -0.6% 14.7M -802.8M -2.4M 0.56 7.89 N/A N/A 13,323 7,436 240,544 231,481 2019-10-28 $52.93 $48.00 22.5% 6.5% 30.3% 25.5% 25.0% 3.4% 0.4% 15.9M -782.5M -2.4M 0.53 28.43 N/A N/A 13,009 6,847 235,088 222,168 2019-10-29 $53.00 $49.00 22.5% 6.5% 26.7% 25.2% 22.6% 2.9% 0.3% 16.4M -790.4M -2.4M 0.22 33.97 N/A N/A 7,154 1,545 237,576 226,469 2019-10-30 $52.76 $49.00 22.8% 6.4% 26.3% 26.2% 19.1% 2.7% 0.1% 17.2M -768.1M -2.5M 0.28 11.62 N/A N/A 9,089 2,555 239,219 227,141 2019-10-31 $53.00 $49.00 22.6% 6.2% 25.8% 25.7% 16.0% 2.4% 0.3% 21.2M -792.1M -2.4M 0.01 30.15 N/A N/A 548,745 3,228 241,758 228,280
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