BX Options History — October 2020 In October 2020, BX traded between $50.16 and $55.75. ATM implied volatility averaged 35.6%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 12.4% (HV 20d: 23.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.32.
Notable Days 2020-10-20 : Highest Volume — 88,425 contracts2020-10-26 : Largest IV spike — 6.5% change2020-10-28 : Highest IV Rank — 21.5%2020-10-30 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $53.96 $50.16 $55.75 $53.24 $50.16 Max Pain $53.43 $52.50 $55.00 $52.50 $52.50 ATM IV 35.6% 33.1% 39.2% 34.9% 38.8% Expected Move 10.1% 8.5% 12.1% 8.8% 12.1% HV 20d 23.2% 17.2% 29.6% 29.6% 21.8% HV 60d 23.9% 22.6% 25.2% 25.2% 24.2% IV Rank 17.8% 15.2% 21.5% 17.1% 21.0% IV Percentile 56.2% 44.8% 65.5% 55.2% 65.1% Term Structure -0.5% -1.7% 2.2% 1.7% -0.2% VWIV 35.7% 29.9% 42.7% 29.9% 40.3% Skew 25d 5.7% 3.9% 6.9% 5.5% 6.9% Skew 10d 12.0% 6.7% 16.1% 11.7% 8.7% Call IV 25d 33.3% 29.8% 37.5% 32.5% 36.6% Put IV 25d 39.0% 35.7% 43.9% 38.0% 43.5% Bid-Ask Spread % 12.52 6.81 33.84 7.31 33.84 Gamma HHI 0.13 0.08 0.19 0.08 0.15 Net GEX 3.6M -11.3M 11.2M 6.2M -11.3M Net DEX -153.4M -284.7M 98.3M -168.3M 98.3M Net VEX -2.1M -2.5M -1.8M -2.0M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.32 0.23 40.51 0.60 0.23 Total Volume 14,043.136 3,389 88,425 5,486 10,648 Total OI 314,138.364 256,294 414,577 259,767 414,577
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 2020-10-01 $53.24 $52.50 34.9% 8.8% 29.6% 17.1% 29.9% 5.5% 1.7% 6.2M -168.3M -2.0M 0.60 7.31 N/A N/A 3,427 2,059 130,679 129,088 2020-10-02 $53.88 $52.50 35.3% 8.5% 29.0% 17.5% 30.1% 4.5% 2.2% 8.8M -201.7M -2.0M 0.24 9.63 N/A N/A 5,714 1,356 132,055 130,288 2020-10-05 $54.49 $52.50 36.1% 10.0% 29.1% 18.3% 42.7% 6.6% -0.5% 7.4M -221.3M -2.0M 4.04 8.92 N/A N/A 3,383 13,651 128,662 127,632 2020-10-06 $54.03 $52.50 36.3% 10.2% 25.8% 18.5% 35.6% 5.5% 0.4% 6.8M -194.5M -2.0M 0.78 11.51 N/A N/A 2,397 1,879 130,479 137,159 2020-10-07 $54.43 $52.50 35.9% 9.9% 25.8% 18.1% 35.9% 6.0% 0.8% 8.3M -211.6M -2.0M 0.69 10.34 N/A N/A 2,472 1,713 131,296 137,308 2020-10-08 $55.00 $52.50 35.8% 10.0% 25.9% 18.0% 35.8% 6.5% -0.8% 10.4M -243.1M -2.0M 1.51 9.71 N/A N/A 4,867 7,348 132,637 139,045 2020-10-09 $54.65 $52.50 34.0% 9.1% 26.1% 16.2% 31.4% 5.9% -1.5% 11.2M -227.4M -2.0M 0.71 6.81 N/A N/A 2,048 1,461 135,805 141,951 2020-10-12 $54.93 $52.50 33.3% 9.1% 25.2% 15.4% 33.5% 6.3% -1.7% 8.3M -227.3M -1.9M 0.65 7.00 N/A N/A 2,909 1,886 130,275 140,371 2020-10-13 $55.35 $52.50 34.1% 9.4% 25.0% 16.3% 32.4% 6.1% -0.8% 9.4M -252.1M -1.9M 0.88 7.37 N/A N/A 1,800 1,589 131,261 141,288 2020-10-14 $55.05 $52.50 33.4% 9.3% 25.0% 15.5% 33.0% 4.4% -0.8% 9.8M -240.4M -1.9M 0.65 23.38 N/A N/A 2,346 1,528 131,905 141,239 2020-10-15 $55.42 $55.00 34.2% 9.4% 22.0% 16.4% 33.3% 4.9% -1.0% 10.9M -260.3M -1.9M 0.40 6.87 N/A N/A 2,730 1,090 132,207 141,869 2020-10-16 $55.75 $52.50 33.1% 9.1% 21.6% 15.2% 31.3% 4.1% -0.9% 8.1M -284.7M -1.8M 0.49 7.92 N/A N/A 7,905 3,892 132,691 141,835 2020-10-19 $55.08 $55.00 34.5% 9.8% 20.2% 16.7% 33.0% 3.9% -1.2% 4.4M -199.7M -1.9M 0.58 7.16 N/A N/A 4,578 2,663 122,713 138,769 2020-10-20 $54.89 $55.00 35.7% 10.2% 19.9% 17.9% 39.2% 6.6% -1.4% 4.0M -186.9M -1.9M 40.51 11.52 N/A N/A 2,130 86,295 123,980 140,476 2020-10-21 $54.69 $55.00 35.0% 10.0% 19.6% 17.2% 34.9% 6.5% -0.8% 1.0M -156.5M -2.1M 33.57 10.08 N/A N/A 1,764 59,215 125,184 214,749 2020-10-22 $54.93 $55.00 35.6% 10.3% 18.2% 17.8% 35.9% 6.4% -1.5% -62.5K -153.3M -2.3M 3.76 14.31 N/A N/A 1,907 7,169 126,051 267,946 2020-10-23 $54.67 $55.00 34.6% 10.0% 17.2% 16.7% 37.7% 6.0% -1.4% -481.1K -138.6M -2.2M 0.72 11.19 N/A N/A 3,626 2,594 127,091 271,303 2020-10-26 $52.70 $55.00 36.8% 11.1% 19.4% 19.0% 38.2% 5.1% -0.2% -4.3M -32.5M -2.4M 1.11 11.56 N/A N/A 3,501 3,893 123,873 269,579 2020-10-27 $52.00 $54.00 38.2% 11.4% 20.0% 20.4% 39.7% 5.7% -1.3% -5.6M 984.8K -2.3M 0.65 7.40 N/A N/A 10,427 6,771 125,037 271,733 2020-10-28 $50.53 $54.00 39.2% 12.0% 22.0% 21.5% 42.1% 6.4% -0.9% -7.3M 78.6M -2.5M 1.88 30.50 N/A N/A 4,645 8,751 131,365 275,830 2020-10-29 $51.27 $52.50 38.1% 11.5% 21.4% 20.3% 39.8% 5.7% -0.2% -6.1M 47.3M -2.4M 0.44 21.09 N/A N/A 4,800 2,122 131,831 279,932 2020-10-30 $50.16 $52.50 38.8% 12.1% 21.8% 21.0% 40.3% 6.9% -0.2% -11.3M 98.3M -2.3M 0.23 33.84 N/A N/A 8,659 1,989 132,589 281,988
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