BX Options History — January 2021

In January 2021, BX traded between $61.82 and $67.44. ATM implied volatility averaged 29.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.3% (HV 20d: 21.9%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.49.

Notable Days

  • 2021-01-27: Highest Volume — 28,557 contracts
  • 2021-01-25: Largest IV spike — 15.2% change
  • 2021-01-25: Highest IV Rank — 10.0%
  • 2021-01-27: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.22$61.82$67.44$62.84$67.23
Max Pain$63.05$62.50$65.00$62.50$65.00
ATM IV29.2%26.2%31.3%31.1%30.9%
Expected Move8.3%7.5%9.6%8.9%9.3%
HV 20d21.9%20.6%24.4%21.5%24.4%
HV 60d27.2%25.9%28.2%27.1%25.9%
IV Rank7.8%4.5%10.0%9.7%9.6%
IV Percentile25.1%6.7%35.7%34.1%32.9%
Term Structure-0.5%-2.8%1.7%-0.2%-0.2%
VWIV29.2%27.0%33.1%31.5%32.2%
Skew 25d4.0%1.7%6.8%6.0%4.1%
Skew 10d6.8%2.9%10.3%7.2%5.5%
Call IV 25d27.7%25.3%30.2%29.1%30.2%
Put IV 25d31.7%27.8%35.1%35.1%34.3%
Bid-Ask Spread %14.235.5028.7423.4822.53
Gamma HHI0.130.090.280.130.10
Net GEX8.1M4.0M14.9M7.9M10.6M
Net DEX-317.8M-444.9M-212.3M-361.2M-331.8M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.161.281.280.45
Total Volume11,482.7893,99328,55715,38511,884
Total OI257,293.263166,998328,844317,199195,918

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$62.84$62.5031.1%8.9%21.5%9.7%31.5%6.0%-0.2%7.9M-361.2M-1.6M1.2823.48N/AN/A6,7498,636125,292191,907
2021-01-05$62.62$62.5029.4%8.4%21.3%7.9%28.9%6.8%-0.4%6.6M-344.6M-1.6M0.3017.76N/AN/A12,5313,746128,236194,650
2021-01-06$61.82$62.5029.0%8.1%21.8%7.6%29.1%5.9%-0.2%4.0M-294.2M-1.6M0.6911.86N/AN/A9,4776,546126,601196,754
2021-01-07$63.17$62.5029.2%8.2%23.0%7.7%28.0%2.4%0.7%5.7M-374.4M-1.6M0.586.22N/AN/A3,0991,808128,448198,311
2021-01-08$62.60$62.5029.0%7.9%23.3%7.5%28.2%3.8%-0.5%4.2M-346.2M-1.6M0.4413.85N/AN/A2,7741,219129,224199,620
2021-01-11$62.68$62.5029.9%8.3%23.1%8.5%28.9%5.4%-0.8%8.4M-357.4M-1.6M0.906.97N/AN/A2,9242,618126,629194,601
2021-01-12$62.59$62.5029.9%8.2%21.9%8.5%28.9%4.7%-1.3%8.1M-355.9M-1.6M0.376.84N/AN/A2,9491,101127,430195,558
2021-01-13$64.30$62.5029.8%8.0%23.3%8.4%28.2%4.1%-2.8%11.7M-444.9M-1.5M0.189.43N/AN/A6,6321,171128,094196,012
2021-01-14$63.50$62.5029.8%8.2%20.6%8.4%28.0%4.1%-1.4%8.4M-401.0M-1.6M0.365.50N/AN/A4,8851,765129,479196,346
2021-01-15$63.28$62.5028.7%7.9%20.6%7.2%27.4%5.3%-1.6%6.4M-390.4M-1.6M0.6228.09N/AN/A5,9373,686130,452196,735
2021-01-19$64.40$62.5027.3%7.7%21.5%5.7%27.3%3.4%-0.2%6.2M-212.3M-1.5M0.7211.72N/AN/A7,2425,22577,99389,005
2021-01-20$65.28$62.5026.7%7.7%20.9%5.1%27.0%3.6%-0.5%7.8M-250.7M-1.5M0.286.01N/AN/A5,9541,65182,22590,569
2021-01-21$65.67$62.5026.2%7.5%21.0%4.5%27.2%2.1%-1.1%9.0M-259.1M-1.5M0.396.46N/AN/A4,7241,84783,48391,407
2021-01-22$65.28$62.5027.2%7.9%21.0%5.6%27.9%1.7%-1.1%8.4M-246.2M-1.6M0.606.60N/AN/A3,3702,02885,48292,782
2021-01-25$64.95$63.0031.3%9.0%20.9%10.0%32.0%3.9%-1.0%7.2M-226.9M-1.6M0.3317.57N/AN/A19,2396,37384,32191,102
2021-01-26$65.42$65.0029.8%8.8%20.8%8.4%30.7%2.2%0.3%8.9M-249.4M-1.7M0.3518.70N/AN/A7,4922,60294,66395,099
2021-01-27$65.10$65.0030.0%9.6%20.9%8.6%33.1%4.6%1.7%9.6M-240.3M-1.6M0.3022.10N/AN/A22,0106,547100,47295,355
2021-01-28$67.44$65.0029.8%8.9%24.3%8.3%30.0%2.5%0.7%14.9M-351.6M-1.6M0.1628.74N/AN/A17,0302,702102,99195,326
2021-01-29$67.23$65.0030.9%9.3%24.4%9.6%32.2%4.1%-0.2%10.6M-331.8M-1.6M0.4522.53N/AN/A8,2233,661100,08995,829