BX Options History — September 2020

In September 2020, BX traded between $50.04 and $54.82. ATM implied volatility averaged 33.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.1% (HV 20d: 25.7%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-09-18: Highest Volume — 14,024 contracts
  • 2020-09-02: Largest IV spike — 10.8% change
  • 2020-09-08: Highest IV Rank — 20.2%
  • 2020-09-08: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.34$50.04$54.82$53.57$52.19
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV33.8%29.5%37.9%31.2%34.8%
Expected Move9.3%8.4%10.9%8.4%9.0%
HV 20d25.7%18.9%29.9%18.9%29.9%
HV 60d25.7%24.3%27.3%26.5%24.9%
IV Rank16.0%11.5%20.2%13.3%17.0%
IV Percentile52.3%40.5%63.5%47.6%54.0%
Term Structure0.8%-3.3%3.9%-0.8%2.3%
VWIV32.6%29.9%38.2%29.9%31.1%
Skew 25d6.2%3.4%9.6%6.3%4.7%
Skew 10d11.9%0.4%16.1%11.5%13.8%
Call IV 25d31.3%27.9%35.3%28.7%33.6%
Put IV 25d37.5%34.4%41.8%35.0%38.3%
Bid-Ask Spread %12.554.4443.034.447.66
Gamma HHI0.090.070.150.090.07
Net GEX664.4K-5.1M4.7M1.1M3.9M
Net DEX-97.1M-204.9M-24.7M-130.9M-116.3M
Net VEX-2.0M-2.2M-1.9M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.432.120.630.87
Total Volume8,589.3335,20214,0245,7305,202
Total OI285,230.571237,941319,211299,291257,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$53.57$52.5031.2%8.4%18.9%13.3%29.9%6.3%-0.8%1.1M-130.9M-2.2M0.634.44N/AN/A3,5072,223145,794153,497
2020-09-02$54.82$52.5034.5%8.6%20.2%16.7%31.6%6.7%-3.3%4.4M-204.9M-2.2M0.9543.03N/AN/A3,8453,656148,000154,540
2020-09-03$53.70$52.5035.1%10.3%21.6%17.3%35.6%7.1%0.2%2.4M-141.1M-2.2M1.2325.52N/AN/A4,1395,072149,138154,332
2020-09-04$53.27$52.5036.7%10.7%21.3%18.9%36.6%6.4%0.4%385.5K-122.2M-2.2M1.1515.75N/AN/A4,8835,602149,644155,760
2020-09-08$51.36$52.5037.9%10.9%25.1%20.2%38.2%6.5%-0.1%-2.7M-28.6M-2.1M0.9219.51N/AN/A4,3524,009146,622155,534
2020-09-09$51.74$52.5034.9%9.9%24.8%17.1%34.6%4.5%-0.0%-3.3M-44.0M-2.1M1.256.02N/AN/A3,7434,682147,327156,824
2020-09-10$51.65$52.5033.4%9.4%24.8%15.5%33.0%4.1%-0.7%-4.5M-35.4M-2.0M0.9616.99N/AN/A3,1753,051148,470159,344
2020-09-11$51.52$52.5031.3%8.9%24.7%13.4%31.1%5.7%-0.5%-5.1M-24.7M-2.0M2.129.85N/AN/A4,1198,716150,346158,786
2020-09-14$52.61$52.5031.5%9.1%25.8%13.6%31.4%5.9%1.6%-1.4M-84.5M-2.1M0.598.61N/AN/A5,7453,400148,498157,127
2020-09-15$53.25$52.5031.9%9.2%25.9%14.0%31.0%6.3%3.9%2.2M-133.8M-2.0M0.767.17N/AN/A5,6864,319151,266158,099
2020-09-16$53.81$52.5029.5%8.5%26.2%11.5%31.3%6.0%1.8%4.7M-174.9M-2.0M0.6616.10N/AN/A5,2053,446153,541159,055
2020-09-17$52.18$52.5032.0%9.1%28.0%14.1%32.0%7.5%1.0%-2.0M-78.1M-2.0M0.575.14N/AN/A6,2723,591155,416159,754
2020-09-18$52.91$52.5032.1%8.9%26.3%14.2%31.6%7.4%2.4%3.3M-130.7M-2.0M1.5614.72N/AN/A5,4878,537158,643160,568
2020-09-21$51.72$52.5034.8%9.4%27.3%17.0%31.7%7.0%-0.5%1.2M-80.3M-2.0M0.565.94N/AN/A6,5653,699116,357121,584
2020-09-22$51.23$52.5035.1%9.3%27.3%17.2%31.2%3.4%0.8%634.4K-65.4M-2.0M0.436.00N/AN/A4,5351,961119,334123,195
2020-09-23$50.81$52.5034.7%9.7%27.3%16.8%32.1%6.1%0.8%394.8K-57.8M-1.9M0.5611.20N/AN/A4,8402,713121,935124,402
2020-09-24$50.04$52.5035.3%10.0%26.3%17.5%35.5%7.9%0.6%-699.5K-27.1M-1.9M0.8816.34N/AN/A4,4403,916124,782125,691
2020-09-25$51.20$52.5035.2%9.3%27.9%17.4%31.2%9.6%2.0%239.7K-71.5M-2.0M0.7510.72N/AN/A4,2173,178126,651127,882
2020-09-28$52.80$52.5033.9%8.8%29.8%16.0%30.9%5.3%2.2%4.0M-142.5M-2.0M0.436.33N/AN/A5,3802,301124,289126,102
2020-09-29$52.82$52.5034.4%8.8%29.8%16.5%31.9%6.6%2.3%4.7M-143.7M-2.0M0.666.60N/AN/A4,1942,773127,156127,149
2020-09-30$52.19$52.5034.8%9.0%29.9%17.0%31.1%4.7%2.3%3.9M-116.3M-2.0M0.877.66N/AN/A2,7872,415129,093128,315