BX Options History — November 2020

In November 2020, BX traded between $51.27 and $60.52. ATM implied volatility averaged 29.7%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.1% (HV 20d: 35.7%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.02.

Notable Days

  • 2020-11-18: Highest Volume — 130,882 contracts
  • 2020-11-04: Largest IV drop — 18.2% change
  • 2020-11-02: Highest IV Rank — 20.5%
  • 2020-11-03: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.06$51.27$60.52$51.27$59.49
Max Pain$54.50$52.50$55.00$52.50$55.00
ATM IV29.7%26.7%38.2%38.2%27.8%
Expected Move8.6%7.5%11.7%11.5%8.3%
HV 20d35.7%23.1%40.1%23.1%33.3%
HV 60d28.9%24.5%30.3%24.5%29.1%
IV Rank11.7%8.7%20.5%20.5%9.8%
IV Percentile32.2%21.8%63.1%63.1%26.2%
Term Structure-0.0%-2.1%2.5%-1.5%2.1%
VWIV30.6%27.6%41.0%37.9%28.1%
Skew 25d4.6%0.4%8.9%8.9%4.7%
Skew 10d10.5%2.1%16.3%16.3%11.2%
Call IV 25d28.0%24.3%34.2%33.2%25.7%
Put IV 25d32.7%29.3%42.1%42.1%30.4%
Bid-Ask Spread %13.474.1037.4734.139.60
Gamma HHI0.130.090.180.140.15
Net GEX5.8M-8.0M13.4M-8.0M7.6M
Net DEX-224.8M-353.8M46.1M46.1M-301.4M
Net VEX-2.0M-2.4M-1.7M-2.4M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0824.410.880.66
Total Volume19,673.454,024130,8825,21010,381
Total OI381,644.55312,209424,022404,711316,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$51.27$52.5038.2%11.5%23.1%20.5%37.9%8.9%-1.5%-8.0M46.1M-2.4M0.8834.13N/AN/A2,7692,441126,557278,154
2020-11-03$52.16$52.5036.9%11.7%24.1%19.1%41.0%6.4%-1.3%-6.3M-34.8M-2.0M1.3528.52N/AN/A3,1684,286126,557278,154
2020-11-04$55.10$52.5030.2%9.1%31.3%12.3%32.9%4.2%1.3%782.6K-190.4M-2.0M1.3732.29N/AN/A11,10715,207129,774280,493
2020-11-05$57.51$52.5030.5%9.1%34.6%12.6%32.8%2.2%0.5%4.7M-291.0M-2.1M0.089.10N/AN/A97,6947,675131,381283,822
2020-11-06$55.80$55.0030.8%9.0%36.3%12.9%30.9%2.9%-1.0%2.1M-167.2M-2.2M0.5337.47N/AN/A5,2462,772125,404284,736
2020-11-09$56.61$55.0029.6%8.5%36.6%11.6%30.9%4.7%-0.3%6.2M-216.3M-1.9M0.6216.62N/AN/A7,3004,498124,285279,818
2020-11-10$57.32$55.0031.1%8.9%36.8%13.2%31.4%4.5%0.1%5.9M-226.7M-2.2M0.2019.49N/AN/A6,0811,206127,553282,362
2020-11-11$55.25$55.0031.2%8.7%39.2%13.3%30.8%2.9%-0.0%2.5M-140.2M-2.1M0.367.05N/AN/A6,5872,340129,920282,420
2020-11-12$54.99$55.0030.7%8.8%39.1%12.7%30.3%0.4%0.5%1.3M-122.3M-2.1M2.4710.13N/AN/A3,0997,665133,131283,827
2020-11-13$56.05$55.0029.7%8.5%39.7%11.7%29.7%4.9%0.3%11.0M-158.4M-2.2M0.475.09N/AN/A3,4511,635133,536290,486
2020-11-16$57.08$55.0027.6%7.9%39.9%9.6%28.6%5.2%0.5%6.5M-209.6M-2.0M0.444.81N/AN/A4,2491,857129,813286,954
2020-11-17$57.59$55.0027.4%7.9%39.9%9.4%27.6%5.2%-0.1%7.9M-235.3M-2.0M0.6210.29N/AN/A3,4792,153130,677287,494
2020-11-18$57.84$55.0027.4%7.9%39.9%9.4%28.0%4.3%0.7%11.3M-274.9M-1.8M24.416.35N/AN/A5,151125,731131,421289,018
2020-11-19$58.65$55.0027.9%8.1%40.1%9.9%28.4%6.0%-2.1%13.4M-312.5M-1.8M0.389.51N/AN/A5,4352,073131,852207,363
2020-11-20$58.84$55.0026.8%7.5%39.9%8.8%27.9%5.3%2.5%12.9M-327.5M-1.8M0.544.10N/AN/A4,2332,299132,671208,321
2020-11-23$58.97$55.0028.2%7.9%37.0%10.3%28.1%5.8%-1.0%8.4M-295.2M-1.8M1.224.76N/AN/A3,8674,734119,994192,215
2020-11-24$59.78$55.0027.2%7.9%36.4%9.1%29.2%4.3%-0.8%9.1M-333.5M-1.8M1.4210.15N/AN/A3,6805,223121,641194,954
2020-11-25$60.32$55.0026.9%7.8%33.9%8.8%28.1%5.2%-0.7%9.6M-353.8M-1.7M1.604.31N/AN/A3,3365,337122,707197,353
2020-11-27$60.52$55.0026.7%7.5%33.9%8.7%28.8%5.0%0.1%8.9M-351.0M-1.8M0.685.66N/AN/A2,3901,634123,793195,702
2020-11-30$59.49$55.0027.8%8.3%33.3%9.8%28.1%4.7%2.1%7.6M-301.4M-1.8M0.669.60N/AN/A6,2644,117121,968194,610