BX Options History — December 2020

In December 2020, BX traded between $60.35 and $65.47. ATM implied volatility averaged 28.3%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.5% (HV 20d: 20.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2020-12-09: Highest Volume — 20,517 contracts
  • 2020-12-28: Largest IV spike — 8.8% change
  • 2020-12-21: Highest IV Rank — 11.3%
  • 2020-12-14: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.59$60.35$65.47$60.35$64.85
Max Pain$51.48$50.00$55.00$55.00$52.50
ATM IV28.3%26.8%29.5%26.8%28.8%
Expected Move8.0%7.3%8.4%7.9%7.5%
HV 20d20.8%14.5%33.1%33.1%17.8%
HV 60d27.4%26.1%29.2%29.2%26.1%
IV Rank9.6%7.2%11.3%8.8%7.4%
IV Percentile25.7%16.3%29.4%21.8%26.2%
Term Structure0.6%-2.0%3.8%2.5%-0.1%
VWIV29.3%26.7%32.1%28.3%28.1%
Skew 25d5.2%3.2%7.0%6.1%4.7%
Skew 10d11.9%-1.0%19.3%13.0%10.0%
Call IV 25d26.4%23.7%28.5%25.3%27.2%
Put IV 25d31.6%29.3%34.1%31.4%31.9%
Bid-Ask Spread %9.594.2225.046.634.46
Gamma HHI0.170.120.240.160.23
Net GEX12.1M9.6M15.4M9.6M15.0M
Net DEX-466.7M-595.1M-345.4M-345.4M-454.8M
Net VEX-1.7M-1.9M-1.6M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.261.250.580.73
Total Volume8,215.5913,59320,5176,0006,149
Total OI327,374.227309,020352,717320,342318,524

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$60.35$55.0026.8%7.9%33.1%8.8%28.3%6.1%2.5%9.6M-345.4M-1.7M0.586.63N/AN/A3,7912,209123,639196,703
2020-12-02$61.46$55.0027.9%8.0%33.1%9.9%28.6%5.2%1.8%10.7M-394.5M-1.7M1.2514.91N/AN/A2,6553,319124,259197,467
2020-12-03$61.31$50.0028.0%8.0%28.3%10.0%29.5%6.6%2.8%11.2M-376.8M-1.8M0.4021.29N/AN/A4,2521,687125,475198,685
2020-12-04$61.90$50.0027.9%7.8%24.7%9.9%28.7%4.2%-0.1%11.5M-419.4M-1.7M0.6921.14N/AN/A5,4113,718125,722199,725
2020-12-07$61.86$50.0028.1%8.0%21.3%10.1%32.1%5.8%-0.8%10.5M-406.3M-1.6M0.934.78N/AN/A2,9202,718124,570198,492
2020-12-08$62.31$50.0027.7%8.0%21.0%9.7%28.9%4.5%0.2%11.0M-424.8M-1.6M0.485.05N/AN/A3,5011,665125,129199,466
2020-12-09$62.11$50.0028.7%8.2%21.0%10.7%30.7%4.7%-0.0%10.9M-416.2M-1.6M0.298.87N/AN/A15,9364,581126,010200,093
2020-12-10$62.62$50.0028.1%8.3%14.5%10.1%29.7%6.4%1.4%13.2M-474.1M-1.8M0.7517.25N/AN/A2,8952,173138,989202,860
2020-12-11$63.88$50.0028.8%7.9%14.6%10.9%29.5%4.9%-2.0%14.9M-519.8M-1.9M0.2625.04N/AN/A6,2401,592139,558204,244
2020-12-14$62.88$50.0029.2%8.4%16.1%11.2%30.2%5.1%-1.4%12.8M-471.7M-1.8M0.5313.76N/AN/A5,4442,886137,940203,147
2020-12-15$64.94$50.0028.9%8.3%18.2%10.9%30.0%6.3%-0.5%13.9M-579.1M-1.7M0.759.33N/AN/A10,7458,109138,822204,993
2020-12-16$65.03$50.0028.1%8.1%18.3%10.1%31.2%6.1%0.1%15.4M-583.4M-1.7M0.874.22N/AN/A3,3582,917141,744207,318
2020-12-17$65.47$50.0027.9%8.0%18.3%9.9%31.4%6.0%0.9%15.0M-595.1M-1.7M0.3810.73N/AN/A6,3322,418141,980207,468
2020-12-18$64.24$52.5028.1%8.1%20.1%10.1%30.2%5.3%-0.3%9.6M-534.2M-1.8M0.514.96N/AN/A6,3683,248143,516209,201
2020-12-21$64.32$52.5029.2%8.3%20.1%11.3%30.9%5.2%-0.4%9.7M-440.6M-1.7M0.786.29N/AN/A3,9743,082122,601186,419
2020-12-22$64.80$52.5028.0%8.2%20.1%10.0%29.5%3.2%3.8%11.3M-471.7M-1.6M0.829.53N/AN/A3,2882,700124,264187,684
2020-12-23$65.37$52.5028.0%7.9%19.9%9.3%28.0%4.0%3.2%12.2M-497.1M-1.6M1.084.90N/AN/A4,0184,356125,420188,934
2020-12-24$64.83$52.5027.1%7.7%20.3%7.6%27.0%3.5%2.7%13.7M-473.2M-1.6M0.394.37N/AN/A2,5891,004126,332190,350
2020-12-28$64.79$52.5029.5%7.8%20.4%9.2%28.5%7.0%-0.2%10.8M-465.2M-1.6M1.135.03N/AN/A3,1153,511124,186188,592
2020-12-29$64.78$52.5029.0%7.6%18.9%7.5%26.7%5.0%-0.1%11.2M-461.3M-1.6M0.454.30N/AN/A5,3802,447124,660190,602
2020-12-30$64.92$52.5028.7%7.3%18.5%7.2%27.7%4.1%0.8%12.6M-463.6M-1.6M0.284.23N/AN/A9,4282,614124,936191,514
2020-12-31$64.85$52.5028.8%7.5%17.8%7.4%28.1%4.7%-0.1%15.0M-454.8M-1.6M0.734.46N/AN/A3,5632,586125,753192,771