BX Options History — March 2021 In March 2021, BX traded between $65.86 and $75.53. ATM implied volatility averaged 28.2%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.2% (HV 20d: 28.4%). Max pain ranged from $65.00 to $72.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.58.
Notable Days 2021-03-02 : Highest Volume — 16,173 contracts2021-03-04 : Largest IV spike — 21.8% change2021-03-04 : Highest IV Rank — 8.6%2021-03-04 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $72.18 $65.86 $75.53 $70.84 $75.03 Max Pain $70.41 $65.00 $72.50 $65.00 $72.50 ATM IV 28.2% 25.1% 33.4% 26.9% 28.0% Expected Move 7.7% 6.7% 8.6% 7.3% 6.7% HV 20d 28.4% 16.0% 33.8% 20.8% 31.8% HV 60d 24.5% 21.0% 25.8% 21.1% 24.9% IV Rank 3.5% 0.0% 8.6% 1.4% 5.2% IV Percentile 17.5% 0.0% 44.0% 4.4% 21.0% Term Structure -0.2% -6.7% 5.1% -1.1% -0.7% VWIV 26.8% 24.0% 29.6% 26.0% 24.0% Skew 25d 3.7% -1.2% 10.1% 4.9% 4.3% Skew 10d 9.3% -2.5% 23.2% 9.3% 23.2% Call IV 25d 27.2% 25.2% 31.6% 25.2% 25.5% Put IV 25d 30.9% 25.7% 38.0% 30.1% 29.8% Bid-Ask Spread % 37.67 6.83 62.98 8.77 54.40 Gamma HHI 0.13 0.07 0.30 0.10 0.17 Net GEX 9.6M 2.6M 15.7M 9.8M 10.0M Net DEX -318.4M -484.5M -105.3M -285.4M -372.6M Net VEX -1.7M -1.8M -1.6M -1.7M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.22 1.45 0.35 0.71 Total Volume 7,821.174 2,702 16,173 7,034 2,730 Total OI 192,170.043 165,456 217,190 184,179 176,661
Daily Data (23 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 2021-03-01 $70.84 $65.00 26.9% 7.3% 20.8% 1.4% 26.0% 4.9% -1.1% 9.8M -285.4M -1.7M 0.35 8.77 N/A N/A 5,210 1,824 87,451 96,728 2021-03-02 $70.13 $65.00 27.3% 7.4% 17.9% 1.9% 25.6% 3.9% -0.5% 10.2M -273.5M -1.6M 0.66 7.85 N/A N/A 9,727 6,446 90,413 97,718 2021-03-03 $69.76 $67.00 27.4% 8.0% 16.0% 2.0% 27.8% 1.8% 1.2% 8.5M -246.7M -1.8M 0.45 6.83 N/A N/A 2,757 1,239 94,001 102,564 2021-03-04 $66.92 $70.00 33.4% 8.6% 20.8% 8.6% 29.6% 3.0% 5.1% 4.1M -144.4M -1.8M 0.60 55.33 N/A N/A 4,389 2,629 95,248 103,046 2021-03-05 $65.86 $70.00 29.2% 8.3% 20.4% 4.0% 29.2% 5.1% 1.0% 2.6M -105.3M -1.8M 1.45 42.66 N/A N/A 6,391 9,244 95,896 102,696 2021-03-08 $67.74 $67.50 31.6% 8.4% 23.3% 6.6% 28.7% 10.1% -3.0% 5.7M -173.2M -1.8M 0.35 16.84 N/A N/A 6,109 2,121 93,096 104,707 2021-03-09 $69.69 $67.50 28.9% 7.9% 25.6% 3.7% 27.8% 5.4% -1.5% 9.5M -249.5M -1.8M 0.39 11.44 N/A N/A 5,548 2,175 95,293 105,666 2021-03-10 $70.74 $67.50 28.0% 8.3% 26.0% 2.6% 28.1% 5.8% 1.1% 12.2M -299.3M -1.8M 0.30 44.83 N/A N/A 5,690 1,702 96,442 106,401 2021-03-11 $74.01 $67.50 27.7% 7.9% 30.5% 2.4% 28.2% 2.3% -0.0% 14.4M -444.4M -1.7M 0.28 44.32 N/A N/A 12,366 3,421 98,693 107,241 2021-03-12 $74.81 $70.00 28.2% 8.0% 30.6% 2.9% 28.5% 2.8% -0.5% 13.8M -480.2M -1.8M 0.67 46.36 N/A N/A 7,702 5,180 103,450 109,111 2021-03-15 $74.60 $72.50 28.5% 8.2% 30.6% 3.3% 28.8% 2.1% -5.2% 12.7M -440.5M -1.7M 0.24 58.97 N/A N/A 7,008 1,660 101,035 109,509 2021-03-16 $74.50 $72.50 26.5% 7.6% 30.6% 1.0% 26.5% 3.2% 1.6% 13.8M -449.4M -1.7M 0.22 55.66 N/A N/A 4,067 880 102,667 110,582 2021-03-17 $75.53 $72.50 26.6% 7.6% 30.6% 1.1% 26.5% 3.3% 0.5% 13.1M -484.5M -1.7M 0.51 55.29 N/A N/A 4,068 2,086 103,169 111,069 2021-03-18 $73.10 $72.50 28.2% 8.1% 33.2% 2.9% 27.6% 3.3% -0.6% 12.1M -378.3M -1.8M 0.29 58.82 N/A N/A 4,544 1,330 103,949 112,671 2021-03-19 $72.72 $72.50 27.5% 7.7% 33.3% 2.2% 27.6% 3.7% 2.4% 15.7M -354.5M -1.8M 1.15 62.98 N/A N/A 5,259 6,052 104,113 113,077 2021-03-22 $73.58 $72.50 25.1% 7.6% 33.4% 0.0% 25.3% 4.8% -1.4% 7.2M -303.9M -1.8M 0.50 44.81 N/A N/A 3,062 1,529 85,889 79,567 2021-03-23 $72.87 $72.50 27.5% 7.5% 33.6% 3.1% 25.8% -1.2% 1.7% 7.3M -293.3M -1.7M 0.61 45.55 N/A N/A 2,076 1,261 87,605 80,445 2021-03-24 $72.34 $72.50 27.3% 7.1% 33.8% 3.0% 24.7% 2.5% 2.0% 6.2M -265.7M -1.8M 0.56 22.15 N/A N/A 2,355 1,307 88,452 80,976 2021-03-25 $72.92 $72.50 28.0% 7.1% 32.8% 4.0% 24.9% 2.3% -0.0% 7.0M -290.3M -1.7M 0.79 49.61 N/A N/A 3,886 3,077 89,079 81,935 2021-03-26 $73.83 $72.50 27.1% 7.0% 32.5% 3.3% 24.7% 2.7% 1.8% 9.1M -319.3M -1.7M 0.71 21.24 N/A N/A 4,207 2,994 89,403 83,023 2021-03-29 $74.38 $72.50 29.9% 7.2% 32.2% 8.0% 25.4% 5.4% -6.7% 8.0M -336.9M -1.6M 0.75 40.49 N/A N/A 1,540 1,162 87,291 81,684 2021-03-30 $74.30 $72.50 29.0% 6.9% 31.9% 6.5% 24.6% 4.3% -0.7% 7.8M -331.8M -1.7M 0.89 11.27 N/A N/A 5,217 4,660 87,777 82,422 2021-03-31 $75.03 $72.50 28.0% 6.7% 31.8% 5.2% 24.0% 4.3% -0.7% 10.0M -372.6M -1.6M 0.71 54.40 N/A N/A 1,596 1,134 90,592 86,069
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