BX Options History — February 2020 In February 2020, BX traded between $52.25 and $64.44. ATM implied volatility averaged 28.2%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.4% (HV 20d: 30.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.79.
Notable Days 2020-02-06 : Highest Volume — 324,531 contracts2020-02-28 : Largest IV spike — 26.2% change2020-02-27 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $60.92 $52.25 $64.44 $60.57 $52.25 Max Pain $58.39 $50.00 $60.00 $59.00 $58.00 ATM IV 28.2% 21.9% 51.3% 25.9% 51.3% Expected Move 8.2% 6.3% 16.0% 7.5% 16.0% HV 20d 30.5% 23.2% 36.1% 23.2% 36.1% HV 60d 22.2% 18.2% 26.7% 18.2% 26.7% IV Rank 54.7% 31.3% 100.0% 48.5% 100.0% IV Percentile 71.3% 26.2% 100.0% 74.6% 100.0% Term Structure -0.6% -2.8% 0.9% -0.2% -2.8% VWIV 29.0% 19.6% 55.2% 26.0% 55.2% Skew 25d 4.5% 2.7% 12.4% 3.3% 12.4% Skew 10d 8.8% 4.8% 27.0% 7.6% 27.0% Call IV 25d 26.7% 21.9% 47.6% 25.4% 47.6% Put IV 25d 31.1% 25.0% 60.0% 28.7% 60.0% Bid-Ask Spread % 15.97 2.81 44.44 13.22 44.44 Gamma HHI 0.13 0.06 0.20 0.10 0.06 Net GEX 7.3M -3.8M 18.1M 10.6M -3.4M Net DEX -291.9M -744.7M 120.3M -509.5M 120.3M Net VEX -1.9M -2.1M -1.8M -2.0M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.02 1.61 1.01 1.21 Total Volume 33,745.263 6,224 324,531 9,328 24,982 Total OI 278,513.368 253,331 319,742 304,283 270,837
Daily Data (19 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 2020-02-03 $60.57 $59.00 25.9% 7.5% 23.2% 48.5% 26.0% 3.3% -0.2% 10.6M -509.5M -2.0M 1.01 13.22 N/A N/A 4,638 4,690 164,567 139,716 2020-02-04 $63.51 $59.00 25.4% 7.1% 27.5% 46.1% 25.9% 2.7% 0.0% 15.5M -715.6M -1.8M 0.50 14.24 N/A N/A 17,454 8,748 166,226 143,446 2020-02-05 $63.57 $59.00 25.0% 6.8% 27.6% 44.5% 23.9% 2.9% -0.4% 16.0M -699.8M -1.9M 0.35 10.46 N/A N/A 14,947 5,286 167,690 146,675 2020-02-06 $64.19 $50.00 24.2% 6.8% 27.4% 41.0% 19.6% 2.8% -0.1% 18.1M -744.7M -1.8M 0.02 16.24 N/A N/A 317,371 7,160 170,284 149,458 2020-02-07 $62.55 $57.50 25.1% 7.0% 29.4% 45.0% 28.8% 4.0% 0.2% -733.0K -300.1M -1.9M 1.52 10.27 N/A N/A 9,068 13,820 116,840 152,347 2020-02-10 $64.01 $57.50 25.2% 7.1% 30.0% 45.5% 25.9% 3.9% -0.5% 11.6M -363.9M -1.9M 0.43 15.39 N/A N/A 9,275 3,962 112,876 147,714 2020-02-11 $64.44 $57.50 24.9% 7.0% 29.9% 44.2% 25.3% 3.6% -0.6% 13.9M -394.2M -1.9M 0.70 3.34 N/A N/A 7,688 5,368 115,571 149,814 2020-02-12 $62.92 $57.50 24.6% 6.9% 31.5% 42.9% 24.4% 3.1% -0.6% 10.3M -301.7M -2.0M 0.27 8.84 N/A N/A 12,510 3,375 116,493 152,286 2020-02-13 $62.97 $60.00 24.4% 6.8% 31.5% 42.1% 25.8% 3.3% -0.9% 13.0M -304.6M -2.0M 0.48 20.74 N/A N/A 4,208 2,016 122,244 153,983 2020-02-14 $62.91 $60.00 23.1% 6.5% 30.0% 36.4% 25.1% 3.3% -0.5% 12.5M -297.1M -2.0M 1.22 10.05 N/A N/A 4,463 5,439 124,127 154,827 2020-02-18 $62.05 $57.50 24.8% 7.1% 30.4% 43.7% 24.9% 3.5% -1.7% 8.3M -256.9M -1.9M 0.92 3.02 N/A N/A 10,371 9,582 118,877 149,482 2020-02-19 $62.86 $60.00 21.9% 6.3% 30.4% 31.3% 25.1% 3.1% 0.9% 12.3M -305.0M -1.9M 0.75 2.81 N/A N/A 7,719 5,778 122,403 154,983 2020-02-20 $62.45 $60.00 24.7% 7.1% 29.4% 43.4% 23.2% 3.3% -1.0% 9.9M -271.9M -1.9M 0.44 11.15 N/A N/A 9,945 4,343 123,625 156,698 2020-02-21 $61.25 $60.00 26.1% 7.6% 29.7% 49.2% 26.7% 4.0% -0.9% 1.3M -190.2M -1.9M 1.61 27.88 N/A N/A 10,306 16,591 124,052 158,011 2020-02-24 $58.68 $60.00 30.0% 8.9% 31.9% 66.4% 32.1% 4.8% -0.6% -956.9K -95.9M -2.0M 1.17 17.47 N/A N/A 10,843 12,706 109,484 143,847 2020-02-25 $56.40 $60.00 34.4% 10.2% 34.4% 85.2% 35.8% 6.7% -0.5% -2.8M -587.5K -2.0M 1.05 19.72 N/A N/A 10,002 10,483 112,040 147,997 2020-02-26 $56.09 $58.50 33.9% 10.3% 34.2% 83.2% 35.0% 6.6% -0.4% -2.8M 847.7K -2.0M 0.59 25.01 N/A N/A 7,840 4,617 115,195 149,313 2020-02-27 $53.75 $58.50 40.7% 12.5% 35.8% 100.0% 43.1% 8.1% -1.5% -3.8M 84.1M -2.1M 0.81 29.07 N/A N/A 13,026 10,540 117,647 150,079 2020-02-28 $52.25 $58.00 51.3% 16.0% 36.1% 100.0% 55.2% 12.4% -2.8% -3.4M 120.3M -2.1M 1.21 44.44 N/A N/A 11,323 13,659 120,189 150,648
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