BX Options History — December 2019

In December 2019, BX traded between $52.93 and $56.39. ATM implied volatility averaged 20.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.2% (HV 20d: 16.6%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2019-12-18: Highest Volume — 31,538 contracts
  • 2019-12-30: Largest IV spike — 9.8% change
  • 2019-12-31: Highest IV Rank — 34.6%
  • 2019-12-03: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.66$52.93$56.39$53.03$55.84
Max Pain$47.95$46.00$50.00$50.00$50.00
ATM IV20.8%18.3%23.5%22.5%22.7%
Expected Move5.9%5.2%7.2%6.8%5.6%
HV 20d16.6%12.8%18.0%18.0%12.8%
HV 60d23.5%19.5%26.5%26.5%19.5%
IV Rank20.5%11.6%34.6%25.4%34.6%
IV Percentile17.9%1.2%41.7%29.8%40.9%
Term Structure1.0%-0.4%4.3%0.6%0.8%
VWIV21.1%18.2%25.6%23.7%20.2%
Skew 25d2.9%2.3%4.0%3.6%3.1%
Skew 10d6.3%4.4%8.4%8.4%6.6%
Call IV 25d19.7%16.9%22.6%21.2%21.8%
Put IV 25d22.6%19.6%26.1%24.8%25.0%
Bid-Ask Spread %12.132.6036.914.3214.25
Gamma HHI0.260.180.390.220.19
Net GEX18.6M6.9M28.2M15.7M19.1M
Net DEX-602.9M-775.4M-492.1M-507.8M-588.3M
Net VEX-2.2M-2.3M-2.0M-2.3M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.204.491.220.65
Total Volume15,342.3816,28431,53813,9378,439
Total OI435,690.524377,711485,046433,334386,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$53.03$50.0022.5%6.8%18.0%25.4%23.7%3.6%0.6%15.7M-507.8M-2.3M1.224.32N/AN/A6,2847,653199,028234,306
2019-12-03$52.93$50.0023.5%7.2%17.5%28.6%25.6%4.0%0.4%14.4M-492.1M-2.3M2.8716.01N/AN/A4,33012,437199,515238,031
2019-12-04$53.25$50.0022.9%6.9%17.6%26.5%24.2%3.2%0.5%15.0M-519.8M-2.3M2.0318.73N/AN/A3,5237,140199,604244,730
2019-12-05$53.51$46.0022.1%6.8%16.1%24.2%22.7%3.1%0.5%18.2M-558.1M-2.2M1.0936.91N/AN/A5,3405,798200,844242,787
2019-12-06$54.03$46.0021.3%6.3%16.3%21.4%22.4%2.6%0.6%21.8M-607.7M-2.2M0.5626.46N/AN/A10,4955,884202,653246,225
2019-12-09$54.24$46.0021.6%6.3%16.2%22.6%23.1%2.9%0.1%20.6M-610.4M-2.2M1.067.63N/AN/A7,8898,374200,005241,050
2019-12-10$54.33$46.0022.6%6.4%16.2%25.5%24.2%3.4%-0.2%20.6M-605.3M-2.3M4.498.61N/AN/A5,58125,031201,876247,607
2019-12-11$54.83$46.0021.7%6.3%16.4%22.8%23.2%3.3%0.3%18.8M-647.5M-2.3M2.7524.97N/AN/A3,4589,525205,245257,149
2019-12-12$54.24$46.0021.3%6.1%16.7%21.4%22.2%2.8%-0.1%19.6M-585.5M-2.3M0.9019.35N/AN/A7,8017,018206,073260,510
2019-12-13$53.69$47.0020.3%6.1%17.2%18.2%20.0%2.9%1.6%14.2M-530.9M-2.3M0.678.95N/AN/A5,9043,969207,136263,453
2019-12-16$54.40$47.0019.5%5.6%17.7%15.7%19.9%2.9%0.6%19.2M-613.4M-2.2M1.2119.82N/AN/A7,4709,016202,871257,866
2019-12-17$54.66$47.0018.3%5.3%17.7%11.9%19.0%2.3%0.1%25.4M-651.6M-2.1M0.643.91N/AN/A5,4503,475204,693256,712
2019-12-18$54.64$47.0018.4%5.3%17.3%11.9%18.4%2.6%0.1%25.7M-643.1M-2.1M0.884.06N/AN/A16,79814,740204,900257,672
2019-12-19$55.56$49.0018.8%5.4%17.8%13.3%19.0%2.7%-0.4%28.2M-758.1M-2.1M0.4710.24N/AN/A12,9496,115213,513268,733
2019-12-20$55.60$49.0018.3%5.3%17.8%11.6%18.2%2.6%-0.4%6.9M-775.4M-2.0M0.382.60N/AN/A15,3295,789213,715271,331
2019-12-23$55.35$49.0018.3%5.2%17.2%11.6%18.7%2.5%3.7%16.3M-555.9M-2.0M0.605.36N/AN/A9,0065,388173,867203,844
2019-12-24$55.34$49.0019.0%5.3%15.7%14.0%18.5%2.8%3.3%17.3M-551.7M-2.1M0.717.09N/AN/A3,6702,614176,050205,866
2019-12-26$56.39$49.0019.9%5.5%16.0%17.2%20.0%2.3%3.9%16.2M-634.7M-2.0M0.204.91N/AN/A18,9473,733175,297207,146
2019-12-27$56.17$49.0020.8%5.6%15.1%20.2%19.9%2.4%4.3%18.9M-629.9M-2.0M0.365.58N/AN/A7,6852,734179,660208,529
2019-12-30$55.90$49.0022.8%5.7%15.2%31.5%20.5%3.3%0.2%18.3M-593.9M-2.0M0.964.94N/AN/A4,8004,609177,896205,499
2019-12-31$55.84$50.0022.7%5.6%12.8%34.6%20.2%3.1%0.8%19.1M-588.3M-2.0M0.6514.25N/AN/A5,1013,338178,379207,635