BX Options History — January 2020

In January 2020, BX traded between $55.69 and $63.63. ATM implied volatility averaged 24.5%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.2% (HV 20d: 16.2%). Max pain ranged from $50.00 to $58.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-01-17: Highest Volume — 44,815 contracts
  • 2020-01-30: Largest IV drop — 8.4% change
  • 2020-01-27: Highest IV Rank — 57.3%
  • 2020-01-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.45$55.69$63.63$55.70$60.79
Max Pain$55.38$50.00$58.00$50.00$58.00
ATM IV24.5%22.4%27.9%23.0%26.2%
Expected Move6.8%5.5%8.3%5.6%7.7%
HV 20d16.2%12.8%23.0%12.8%23.0%
HV 60d17.6%15.8%18.5%18.5%18.2%
IV Rank42.2%33.3%57.3%35.9%49.9%
IV Percentile59.2%34.5%86.1%45.2%79.0%
Term Structure-0.4%-1.6%1.1%1.0%0.5%
VWIV23.9%19.5%29.0%19.5%29.0%
Skew 25d2.6%2.1%3.2%2.7%3.2%
Skew 10d4.8%1.3%7.8%5.9%6.0%
Call IV 25d23.3%21.1%26.6%21.7%25.7%
Put IV 25d26.0%24.0%29.3%24.4%28.9%
Bid-Ask Spread %11.314.8723.9710.037.22
Gamma HHI0.200.110.510.190.11
Net GEX16.7M10.3M57.9M20.1M12.2M
Net DEX-676.9M-925.8M-528.8M-575.1M-528.8M
Net VEX-1.8M-2.0M-1.5M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.191.360.671.36
Total Volume18,602.7144,68844,81515,47723,700
Total OI350,610259,831416,132389,422311,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$55.70$50.0023.0%5.6%12.8%35.9%19.5%2.7%1.0%20.1M-575.1M-1.9M0.6710.03N/AN/A9,2576,220179,389210,033
2020-01-03$55.97$50.0023.3%5.5%12.8%37.3%19.9%3.0%1.1%57.9M-601.6M-1.9M0.847.64N/AN/A5,5264,623181,701211,651
2020-01-06$55.69$55.0024.3%6.8%13.0%41.4%23.6%2.5%-0.6%14.9M-560.1M-2.0M0.5019.66N/AN/A3,1191,569176,282210,102
2020-01-07$55.98$55.0024.3%6.8%12.8%41.6%23.1%2.3%-0.7%15.9M-593.4M-1.9M0.3323.97N/AN/A5,6351,863177,649211,610
2020-01-08$56.93$55.0023.9%6.4%13.8%39.8%22.9%2.7%-0.9%17.6M-691.7M-1.8M0.6117.84N/AN/A6,4353,955180,143212,451
2020-01-09$57.73$55.0023.5%6.4%14.4%38.1%22.2%2.3%-1.6%17.7M-759.3M-1.7M0.528.79N/AN/A21,69311,294181,623215,627
2020-01-10$57.59$55.0023.5%6.3%14.4%38.3%23.5%2.5%-0.7%21.6M-741.4M-1.8M0.806.33N/AN/A7,4035,914185,512219,808
2020-01-13$58.34$55.0023.6%6.4%13.9%38.4%21.9%2.5%-0.7%14.4M-781.8M-1.7M0.486.06N/AN/A9,8334,739184,099216,939
2020-01-14$58.11$55.0023.2%6.4%13.3%36.7%21.8%2.7%-0.6%13.5M-763.4M-1.7M0.606.04N/AN/A5,6203,400185,236220,126
2020-01-15$58.23$55.0023.1%6.4%12.8%36.4%21.8%2.8%-0.7%14.3M-768.1M-1.7M0.295.05N/AN/A8,4122,465186,737221,845
2020-01-16$60.00$55.0022.4%6.1%15.9%33.3%22.0%2.9%-1.1%19.8M-893.9M-1.6M0.245.38N/AN/A19,0674,575190,311223,130
2020-01-17$60.59$55.0022.5%6.3%15.9%33.8%21.2%2.4%-0.7%14.6M-925.8M-1.6M0.194.87N/AN/A37,6077,208191,064225,068
2020-01-21$61.34$55.0023.5%6.7%15.5%38.1%22.4%2.2%-1.1%12.6M-623.5M-1.6M0.735.24N/AN/A11,5578,468141,841117,990
2020-01-22$62.75$55.0024.1%6.9%16.7%40.9%24.2%2.1%-0.9%11.7M-682.2M-1.5M0.4415.26N/AN/A20,0188,757144,594123,127
2020-01-23$63.63$57.5025.1%7.2%16.4%45.1%25.5%2.7%-0.6%11.9M-716.8M-1.6M0.565.94N/AN/A13,7337,701148,906126,593
2020-01-24$61.91$57.5026.8%7.8%20.3%52.4%26.9%2.6%-1.1%11.4M-608.1M-1.8M0.7021.13N/AN/A17,22612,040152,637132,443
2020-01-27$61.40$57.5027.9%8.3%20.3%57.3%28.6%2.9%-0.0%10.3M-568.1M-1.9M0.5710.66N/AN/A10,0395,690152,580128,344
2020-01-28$61.77$57.5027.4%8.2%20.1%54.9%28.2%2.3%0.2%11.7M-599.6M-1.9M0.2518.51N/AN/A9,4912,365157,061130,405
2020-01-29$62.78$57.5027.1%8.1%20.1%53.9%28.7%2.5%-0.1%14.1M-668.0M-1.9M0.508.11N/AN/A10,4005,217163,531131,497
2020-01-30$61.28$57.5024.9%7.4%22.7%44.0%26.1%2.5%0.8%12.6M-563.6M-2.0M0.8323.74N/AN/A14,65812,165166,831134,370
2020-01-31$60.79$58.0026.2%7.7%23.0%49.9%29.0%3.2%0.5%12.2M-528.8M-1.9M1.367.22N/AN/A10,04713,653171,070140,854