BX Options History — May 2020 In May 2020, BX traded between $49.59 and $57.01. ATM implied volatility averaged 43.4%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 11.0% (HV 20d: 54.5%). Max pain ranged from $49.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.65.
Notable Days 2020-05-26 : Highest Volume — 19,325 contracts2020-05-13 : Largest IV spike — 14.4% change2020-05-01 : Highest IV Rank — 31.8%2020-05-01 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $53.00 $49.59 $57.01 $50.58 $56.59 Max Pain $52.33 $49.00 $52.50 $49.00 $52.50 ATM IV 43.4% 38.5% 49.3% 49.3% 38.6% Expected Move 12.7% 10.7% 14.6% 14.6% 10.8% HV 20d 54.5% 39.7% 71.2% 70.4% 39.7% HV 60d 88.3% 87.1% 89.5% 88.1% 87.1% IV Rank 25.8% 20.8% 31.8% 31.8% 20.9% IV Percentile 81.7% 75.8% 86.1% 86.1% 75.8% Term Structure 1.2% -1.9% 11.8% -1.2% -0.4% VWIV 45.6% 38.7% 53.3% 53.3% 39.7% Skew 25d 8.7% -7.3% 13.7% 10.2% 9.7% Skew 10d 24.3% 16.9% 38.0% 25.5% 20.0% Call IV 25d 41.3% 33.4% 60.4% 45.0% 34.8% Put IV 25d 50.0% 44.5% 56.0% 55.1% 44.5% Bid-Ask Spread % 20.81 13.00 35.86 15.94 16.86 Gamma HHI 0.08 0.06 0.11 0.06 0.10 Net GEX 5.1M 1.6M 10.0M 1.7M 9.7M Net DEX -186.2M -356.0M -55.9M -97.7M -332.5M Net VEX -2.6M -2.7M -2.5M -2.7M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.26 1.51 0.81 1.02 Total Volume 9,210 5,197 19,325 8,437 10,686 Total OI 309,471.6 289,863 320,775 308,768 320,775
Daily Data (20 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 2020-05-01 $50.58 $49.00 49.3% 14.6% 70.4% 31.8% 53.3% 10.2% -1.2% 1.7M -97.7M -2.7M 0.81 15.94 N/A N/A 4,663 3,774 146,363 162,405 2020-05-04 $49.59 $52.50 48.1% 14.4% 71.2% 30.6% 49.9% 11.5% 0.5% 1.6M -55.9M -2.6M 0.72 15.06 N/A N/A 3,993 2,868 142,143 159,808 2020-05-05 $50.60 $52.50 41.5% 14.1% 61.3% 23.9% 45.8% 13.7% 11.8% 2.6M -98.4M -2.6M 0.40 13.00 N/A N/A 6,442 2,599 143,218 161,882 2020-05-06 $51.45 $52.50 45.2% 13.4% 61.4% 27.6% 53.2% -7.3% -1.9% 3.7M -133.2M -2.7M 0.56 35.86 N/A N/A 3,337 1,860 145,599 163,031 2020-05-07 $52.82 $52.50 44.3% 13.2% 61.7% 26.7% 45.8% 11.3% 1.1% 5.4M -190.1M -2.7M 0.42 13.49 N/A N/A 10,197 4,285 147,105 163,658 2020-05-08 $52.90 $52.50 42.6% 12.6% 59.4% 25.0% 43.8% 8.8% 0.5% 7.7M -199.3M -2.7M 0.80 19.66 N/A N/A 3,500 2,806 151,542 165,634 2020-05-11 $53.19 $52.50 42.4% 12.9% 57.9% 24.8% 47.7% 7.3% 2.6% 5.7M -204.4M -2.6M 0.52 19.22 N/A N/A 3,482 1,824 148,454 162,881 2020-05-12 $52.55 $52.50 41.6% 12.5% 57.9% 23.9% 44.2% -6.0% 3.3% 5.6M -177.9M -2.6M 0.99 27.50 N/A N/A 2,827 2,800 149,988 163,901 2020-05-13 $49.65 $52.50 47.6% 13.8% 57.0% 30.0% 48.2% 10.3% 0.9% 2.5M -56.8M -2.5M 0.70 28.57 N/A N/A 6,520 4,539 150,881 165,201 2020-05-14 $50.59 $52.50 49.2% 14.4% 54.9% 31.8% 51.1% 10.8% 1.0% 3.5M -92.1M -2.6M 0.73 29.78 N/A N/A 5,604 4,073 151,275 167,327 2020-05-15 $51.02 $52.50 48.6% 14.2% 52.7% 31.1% 49.5% 10.9% 1.3% 2.4M -110.4M -2.6M 0.27 23.22 N/A N/A 7,382 1,988 151,836 168,297 2020-05-18 $53.59 $52.50 43.5% 12.4% 52.1% 25.8% 43.7% 10.7% 1.9% 3.4M -183.6M -2.6M 0.30 17.35 N/A N/A 7,637 2,278 138,883 150,980 2020-05-19 $53.30 $52.50 43.6% 12.5% 49.0% 26.0% 41.2% 11.0% -0.0% 4.0M -180.0M -2.6M 0.30 18.30 N/A N/A 7,107 2,130 143,333 151,791 2020-05-20 $54.45 $52.50 41.4% 11.9% 48.9% 23.7% 46.0% 9.8% 0.8% 5.3M -226.5M -2.6M 0.47 17.15 N/A N/A 6,047 2,872 147,080 152,921 2020-05-21 $53.67 $52.50 42.3% 12.1% 48.1% 24.7% 43.6% 10.3% 0.4% 4.7M -199.0M -2.6M 1.51 19.42 N/A N/A 2,318 3,507 150,282 154,573 2020-05-22 $53.88 $52.50 39.8% 11.2% 48.0% 22.1% 38.7% 9.5% 1.0% 7.4M -201.2M -2.6M 0.59 26.06 N/A N/A 3,615 2,130 150,954 156,615 2020-05-26 $56.41 $52.50 40.2% 11.8% 47.1% 22.5% 42.0% 9.7% 0.7% 6.7M -306.3M -2.6M 0.26 22.21 N/A N/A 15,290 4,035 148,609 153,661 2020-05-27 $56.20 $52.50 39.9% 11.3% 47.2% 22.2% 44.6% 9.9% -1.2% 8.6M -322.2M -2.7M 0.48 22.89 N/A N/A 9,747 4,709 160,261 156,771 2020-05-28 $57.01 $52.50 38.5% 10.7% 43.1% 20.8% 39.1% 12.5% 0.2% 10.0M -356.0M -2.7M 1.10 14.65 N/A N/A 4,160 4,569 161,680 157,834 2020-05-29 $56.59 $52.50 38.6% 10.8% 39.7% 20.9% 39.7% 9.7% -0.4% 9.7M -332.5M -2.7M 1.02 16.86 N/A N/A 5,290 5,396 162,043 158,732
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