BX Options History — June 2020 In June 2020, BX traded between $54.78 and $59.27. ATM implied volatility averaged 41.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.1% (HV 20d: 34.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.84.
Notable Days 2020-06-11 : Highest Volume — 20,554 contracts2020-06-11 : Largest IV spike — 23.4% change2020-06-26 : Highest IV Rank — 29.2%2020-06-12 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $57.18 $54.78 $59.27 $57.35 $56.38 Max Pain $54.43 $52.50 $55.00 $52.50 $55.00 ATM IV 41.3% 34.6% 46.7% 40.4% 40.4% Expected Move 11.7% 10.0% 13.3% 11.1% 11.1% HV 20d 34.2% 27.5% 37.4% 37.3% 34.7% HV 60d 65.6% 49.8% 87.1% 87.1% 49.9% IV Rank 23.6% 16.8% 29.2% 22.7% 22.7% IV Percentile 77.1% 69.0% 83.7% 77.8% 72.6% Term Structure -1.5% -7.4% 2.8% -0.3% 0.3% VWIV 41.3% 34.8% 47.9% 40.2% 38.6% Skew 25d 10.5% 8.2% 20.3% 10.9% 10.0% Skew 10d 20.5% 6.7% 27.6% 20.7% 19.7% Call IV 25d 36.6% 29.9% 44.7% 35.0% 36.2% Put IV 25d 47.1% 38.4% 55.9% 45.9% 46.2% Bid-Ask Spread % 31.69 9.30 53.15 27.88 14.33 Gamma HHI 0.13 0.09 0.32 0.10 0.09 Net GEX 9.0M 1.3M 21.3M 9.0M 5.0M Net DEX -317.9M -460.1M -151.8M -358.3M -215.3M Net VEX -2.6M -2.7M -2.4M -2.6M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.24 2.32 0.79 0.68 Total Volume 11,972.455 5,162 20,554 6,242 6,061 Total OI 314,383.5 266,411 358,764 315,921 282,190
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 2020-06-01 $57.35 $52.50 40.4% 11.1% 37.3% 22.7% 40.2% 10.9% -0.3% 9.0M -358.3M -2.6M 0.79 27.88 N/A N/A 3,478 2,764 159,800 156,121 2020-06-02 $57.67 $52.50 38.1% 10.8% 36.0% 20.3% 40.3% 8.6% 0.0% 10.0M -376.0M -2.6M 0.70 10.33 N/A N/A 5,395 3,760 161,325 157,844 2020-06-03 $59.26 $52.50 36.4% 10.0% 36.4% 18.7% 36.4% 9.7% -1.3% 11.5M -460.1M -2.6M 0.24 9.30 N/A N/A 13,495 3,303 164,801 160,411 2020-06-04 $58.18 $55.00 36.6% 10.8% 37.4% 18.9% 39.4% 8.5% -0.8% 11.3M -397.8M -2.6M 1.56 41.55 N/A N/A 5,757 8,979 163,042 161,679 2020-06-05 $58.89 $55.00 34.6% 10.3% 36.7% 16.8% 34.8% 8.3% -0.7% 13.6M -437.0M -2.5M 0.40 46.17 N/A N/A 11,342 4,506 163,863 164,147 2020-06-08 $59.27 $55.00 35.5% 10.2% 36.7% 17.7% 36.2% 8.5% 1.7% 10.3M -444.4M -2.4M 1.22 44.22 N/A N/A 6,117 7,436 161,551 160,111 2020-06-09 $58.65 $55.00 38.4% 11.3% 37.1% 20.6% 40.7% 8.5% 1.2% 10.5M -410.5M -2.5M 0.93 41.59 N/A N/A 2,668 2,494 163,819 162,126 2020-06-10 $58.57 $55.00 37.1% 11.5% 36.7% 19.3% 38.7% 9.2% 2.8% 10.7M -408.8M -2.5M 0.24 47.37 N/A N/A 7,538 1,794 164,920 162,979 2020-06-11 $55.52 $55.00 45.8% 13.3% 36.0% 28.3% 45.9% 12.1% 0.3% 6.2M -248.5M -2.6M 0.92 45.57 N/A N/A 10,700 9,854 169,219 163,506 2020-06-12 $55.46 $52.50 45.7% 13.3% 35.7% 28.1% 45.8% 11.1% 1.2% 7.2M -244.8M -2.6M 1.18 47.43 N/A N/A 7,103 8,378 172,316 166,760 2020-06-15 $56.55 $52.50 46.7% 13.2% 36.1% 29.1% 47.9% 8.8% -3.9% 9.0M -314.4M -2.6M 0.37 53.15 N/A N/A 8,330 3,103 169,771 165,137 2020-06-16 $57.35 $55.00 43.0% 12.3% 32.3% 25.4% 43.9% 9.7% -3.9% 10.9M -354.7M -2.6M 0.53 41.36 N/A N/A 5,240 2,785 169,837 165,947 2020-06-17 $57.14 $55.00 43.6% 12.5% 32.3% 26.0% 43.8% 10.0% -4.9% 11.6M -345.3M -2.5M 2.32 33.26 N/A N/A 3,998 9,279 171,286 167,357 2020-06-18 $57.60 $55.00 41.6% 12.2% 31.6% 23.9% 41.6% 9.7% -5.9% 13.6M -359.4M -2.6M 2.01 41.87 N/A N/A 6,624 13,335 171,973 174,432 2020-06-19 $57.67 $55.00 40.6% 11.9% 31.0% 22.9% 41.6% 11.4% -2.0% 21.3M -361.1M -2.6M 0.37 36.89 N/A N/A 9,649 3,617 173,856 184,908 2020-06-22 $56.68 $55.00 41.4% 11.7% 31.9% 23.7% 40.7% 8.2% -7.4% 5.1M -237.0M -2.6M 0.53 18.33 N/A N/A 9,359 4,988 138,920 127,491 2020-06-23 $57.09 $55.00 42.3% 11.0% 27.5% 24.6% 40.4% 11.7% -3.3% 6.4M -260.2M -2.6M 0.77 21.01 N/A N/A 6,892 5,273 144,442 130,743 2020-06-24 $55.42 $55.00 45.9% 12.7% 29.6% 28.3% 43.9% 10.4% 0.9% 3.8M -181.7M -2.6M 0.65 11.00 N/A N/A 5,430 3,530 144,302 132,839 2020-06-25 $57.07 $55.00 45.0% 11.8% 31.0% 27.4% 40.6% 20.3% -2.5% 6.1M -250.4M -2.6M 0.35 28.85 N/A N/A 7,906 2,739 144,787 134,736 2020-06-26 $54.78 $55.00 46.7% 13.1% 34.2% 29.2% 45.2% 12.4% -2.2% 1.3M -151.8M -2.7M 1.09 17.38 N/A N/A 4,851 5,282 147,616 135,686 2020-06-29 $55.51 $55.00 41.8% 11.8% 34.2% 24.1% 42.2% 12.0% -2.4% 3.5M -176.2M -2.6M 0.65 18.43 N/A N/A 5,022 3,240 143,496 134,345 2020-06-30 $56.38 $55.00 40.4% 11.1% 34.7% 22.7% 38.6% 10.0% 0.3% 5.0M -215.3M -2.6M 0.68 14.33 N/A N/A 3,600 2,461 145,803 136,387
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