BX Options History — March 2020 In March 2020, BX traded between $35.90 and $58.13. ATM implied volatility averaged 79.5%, placing in the 82.5% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded below realized volatility by 9.9% (HV 20d: 89.4%). Max pain ranged from $50.00 to $57.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2020-03-25 : Highest Volume — 32,482 contracts2020-03-09 : Largest IV spike — 36.9% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 33.2%Monthly Statistics Metric Avg Min Max Open Close Price $46.34 $35.90 $58.13 $56.58 $45.15 Max Pain $53.07 $50.00 $57.50 $57.50 $50.00 ATM IV 79.5% 35.0% 115.8% 36.9% 75.5% Expected Move 22.3% 10.4% 33.2% 11.7% 19.6% HV 20d 89.4% 45.3% 126.3% 47.6% 123.1% HV 60d 56.6% 31.3% 76.7% 31.3% 76.7% IV Rank 82.5% 55.4% 100.0% 60.5% 60.2% IV Percentile 98.5% 94.8% 100.0% 97.6% 94.8% Term Structure -4.2% -17.5% 7.3% -2.0% 7.3% VWIV 77.7% 38.5% 123.7% 40.4% 73.2% Skew 25d 22.4% 6.8% 52.4% 8.7% 26.5% Skew 10d 45.0% 14.5% 83.8% 17.6% 42.7% Call IV 25d 70.6% 31.7% 95.1% 32.7% 65.8% Put IV 25d 93.0% 38.6% 143.9% 41.3% 92.3% Bid-Ask Spread % 56.66 28.53 91.69 40.84 91.65 Gamma HHI 0.07 0.06 0.12 0.06 0.07 Net GEX -1.5M -4.7M 2.8M -674.2K -258.5K Net DEX 102.2M -135.0M 285.2M -54.0M 30.6M Net VEX -2.2M -2.6M -1.7M -2.2M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.27 1.68 0.99 1.36 Total Volume 16,574.136 8,780 32,482 16,107 12,090 Total OI 275,747.273 222,572 300,626 263,493 285,572
Daily Data (22 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 2020-03-02 $56.58 $57.50 36.9% 11.7% 47.6% 60.5% 40.4% 8.7% -2.0% -674.2K -54.0M -2.2M 0.99 40.84 N/A N/A 8,098 8,009 114,196 149,297 2020-03-03 $56.55 $57.50 39.4% 12.8% 47.6% 67.4% 47.8% 9.4% 0.3% -190.0K -59.3M -2.1M 0.48 50.73 N/A N/A 8,825 4,223 117,911 153,084 2020-03-04 $58.13 $57.50 35.0% 10.4% 45.3% 55.4% 38.5% 6.8% -1.8% 2.8M -135.0M -2.2M 1.04 47.82 N/A N/A 4,304 4,476 121,937 153,974 2020-03-05 $57.23 $55.00 41.8% 11.3% 45.4% 73.9% 39.3% 9.2% -4.1% 1.5M -98.4M -2.3M 0.90 28.53 N/A N/A 5,081 4,597 123,427 155,025 2020-03-06 $53.64 $55.00 54.6% 15.1% 49.6% 100.0% 52.7% 11.8% -3.4% -2.4M 46.4M -2.2M 1.04 40.34 N/A N/A 13,069 13,545 125,060 157,463 2020-03-09 $47.66 $55.00 74.8% 17.5% 62.9% 100.0% 62.4% 42.6% -12.7% -3.8M 188.2M -2.2M 1.35 46.92 N/A N/A 5,608 7,582 119,306 154,207 2020-03-10 $50.19 $55.00 61.4% 17.3% 65.8% 77.7% 59.2% 12.9% -2.6% -4.1M 134.4M -2.3M 1.41 55.45 N/A N/A 5,400 7,634 119,236 155,229 2020-03-11 $47.34 $55.00 75.0% 20.4% 67.4% 100.0% 64.2% 17.3% -1.1% -4.7M 199.8M -2.2M 0.50 39.88 N/A N/A 8,829 4,428 121,455 159,548 2020-03-12 $40.40 $55.00 94.3% 26.4% 84.4% 100.0% 84.9% 17.8% -3.8% -3.1M 285.2M -1.9M 1.07 64.23 N/A N/A 9,743 10,460 126,010 159,194 2020-03-13 $45.35 $55.00 89.1% 25.0% 97.4% 93.5% 91.9% 16.3% -6.2% -4.2M 214.0M -2.2M 1.16 67.67 N/A N/A 8,472 9,806 129,211 159,538 2020-03-16 $41.68 $52.50 101.7% 29.2% 100.1% 100.0% 96.3% 21.3% -5.6% -3.1M 252.6M -2.0M 0.99 54.27 N/A N/A 8,339 8,248 127,776 160,310 2020-03-17 $40.68 $52.50 96.1% 27.3% 100.1% 93.6% 94.7% 31.6% -1.9% -3.1M 269.3M -1.9M 0.83 62.51 N/A N/A 9,517 7,939 131,519 158,727 2020-03-18 $39.43 $52.50 115.8% 33.2% 99.3% 100.0% 123.7% 52.4% -5.3% -2.3M 268.2M -1.9M 1.68 67.26 N/A N/A 6,416 10,751 135,559 159,278 2020-03-19 $41.56 $52.50 113.5% 32.9% 102.8% 97.7% 107.1% 38.2% -17.5% -3.2M 213.7M -2.1M 0.27 63.95 N/A N/A 9,426 2,526 136,872 159,453 2020-03-20 $37.40 $50.00 101.8% 30.1% 107.1% 86.2% 98.4% 23.5% -9.5% -688.5K 279.4M -1.8M 0.92 56.84 N/A N/A 6,820 6,248 141,580 159,046 2020-03-23 $35.90 $50.00 103.2% 29.4% 107.1% 87.6% 103.3% 36.7% -1.3% -759.5K 141.8M -1.7M 1.02 40.18 N/A N/A 10,407 10,656 104,093 118,479 2020-03-24 $39.57 $50.00 90.5% 25.8% 115.3% 75.0% 93.6% 11.9% -2.7% -625.5K 108.2M -1.9M 0.86 59.18 N/A N/A 12,743 10,911 109,515 125,694 2020-03-25 $43.74 $50.00 97.5% 27.5% 122.6% 81.9% 104.0% 35.6% -3.8% -64.7K 36.2M -2.3M 1.31 47.12 N/A N/A 14,075 18,407 113,276 133,431 2020-03-26 $47.36 $50.00 81.5% 22.8% 126.3% 66.1% 83.5% 26.3% -2.4% 534.4K -28.8M -2.5M 0.44 63.79 N/A N/A 15,480 6,774 122,351 147,944 2020-03-27 $46.53 $50.00 84.9% 24.2% 126.1% 69.4% 80.8% 15.9% -6.1% 156.6K -23.1M -2.6M 1.33 65.60 N/A N/A 6,434 8,572 129,344 152,230 2020-03-30 $47.38 $50.00 84.8% 21.3% 122.4% 69.3% 70.1% 19.7% -6.9% 358.2K -21.3M -2.6M 0.46 91.69 N/A N/A 6,611 3,052 126,754 153,329 2020-03-31 $45.15 $50.00 75.5% 19.6% 123.1% 60.2% 73.2% 26.5% 7.3% -258.5K 30.6M -2.5M 1.36 91.65 N/A N/A 5,132 6,958 130,612 154,960
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