BX Options History — September 2021

In September 2021, BX traded between $116.64 and $136.70. ATM implied volatility averaged 29.6%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.3% (HV 20d: 30.8%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-09-20: Highest Volume — 57,708 contracts
  • 2021-09-20: Largest IV spike — 36.8% change
  • 2021-09-20: Highest IV Rank — 100.0%
  • 2021-09-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.29$116.64$136.70$127.50$116.64
Max Pain$123.33$110.00$125.00$110.00$125.00
ATM IV29.6%23.4%39.4%23.5%37.3%
Expected Move8.4%6.8%11.7%6.9%10.6%
HV 20d30.8%18.2%46.1%21.2%46.1%
HV 60d27.7%23.1%34.7%23.3%34.7%
IV Rank48.9%16.4%100.0%17.3%89.0%
IV Percentile60.2%12.7%100.0%13.9%97.6%
Term Structure0.2%-5.4%2.9%0.5%0.1%
VWIV30.9%24.6%42.1%24.9%36.9%
Skew 25d4.9%2.1%8.3%2.1%3.6%
Skew 10d11.8%6.0%21.9%6.2%17.1%
Call IV 25d28.4%23.0%37.9%23.3%37.9%
Put IV 25d33.3%25.5%43.7%25.5%41.6%
Bid-Ask Spread %39.6022.6357.8528.7227.36
Gamma HHI0.140.070.230.130.08
Net GEX14.6M-4.0M33.7M26.9M-4.0M
Net DEX-849.0M-1.29B-213.2M-1.07B-213.2M
Net VEX-2.8M-3.4M-2.2M-2.2M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.351.100.570.71
Total Volume23,482.199,80257,70823,29813,087
Total OI258,411225,229283,179242,229283,179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$127.50$110.0023.5%6.9%21.2%17.3%24.9%2.1%0.5%26.9M-1.07B-2.2M0.5728.72N/AN/A14,8228,476120,454121,775
2021-09-02$127.90$115.0023.5%6.8%20.9%16.9%24.6%2.4%-0.0%28.8M-1.09B-2.3M0.3645.46N/AN/A14,0015,080123,167123,614
2021-09-03$129.10$120.0023.4%6.9%19.5%16.4%26.0%2.6%0.3%33.7M-1.14B-2.2M0.4953.33N/AN/A21,89710,688127,016127,266
2021-09-07$127.13$120.0024.7%7.3%20.9%23.5%25.2%2.9%0.8%19.9M-992.4M-2.2M0.6557.08N/AN/A9,5946,201119,213122,790
2021-09-08$128.40$125.0024.8%7.1%20.8%23.7%26.9%4.0%0.1%22.0M-1.02B-2.4M0.6357.85N/AN/A8,8475,567124,340128,598
2021-09-09$129.83$125.0025.2%7.4%20.8%26.0%28.3%2.9%1.0%26.0M-1.08B-2.4M0.4832.89N/AN/A14,1196,828127,010132,423
2021-09-10$128.71$125.0024.7%7.5%21.0%23.5%29.4%7.0%2.9%20.8M-1.02B-2.5M0.7141.73N/AN/A9,1966,496129,697135,444
2021-09-13$128.77$125.0025.5%7.3%21.0%27.8%29.3%4.8%1.3%17.0M-962.8M-2.5M0.3530.01N/AN/A7,4612,633121,781133,042
2021-09-14$130.40$125.0028.5%8.2%21.0%43.4%30.5%5.1%-1.0%17.5M-1.03B-2.6M0.6335.75N/AN/A15,3079,663123,115135,265
2021-09-15$134.88$125.0027.2%7.8%21.0%36.5%29.4%3.2%-0.4%21.8M-1.24B-2.3M0.3836.62N/AN/A24,8709,375124,365135,953
2021-09-16$135.00$125.0027.8%7.9%20.7%39.6%32.7%4.2%1.5%23.2M-1.24B-2.5M0.5647.07N/AN/A13,1427,404127,166142,271
2021-09-17$136.70$125.0028.8%8.2%18.2%44.8%31.3%4.5%-0.0%20.0M-1.29B-2.6M0.3746.57N/AN/A25,8169,677130,827145,575
2021-09-20$123.46$125.0039.4%11.7%43.2%100.0%42.1%7.2%2.1%3.0M-524.7M-3.1M0.9533.65N/AN/A29,65028,058115,071110,158
2021-09-21$127.70$125.0036.8%10.3%44.1%86.8%38.5%7.2%1.5%6.3M-677.9M-3.3M0.7733.57N/AN/A15,68712,038121,411114,737
2021-09-22$126.48$125.0033.9%9.2%44.0%71.3%33.8%6.4%-5.4%7.1M-671.7M-3.2M0.7438.63N/AN/A12,0388,850132,545123,483
2021-09-23$127.21$125.0030.9%8.4%43.8%55.6%29.8%4.8%1.7%7.6M-718.7M-3.2M0.5729.94N/AN/A17,61710,062138,158128,750
2021-09-24$125.48$125.0031.5%8.3%43.8%58.9%29.1%3.3%0.1%8.5M-617.8M-3.3M0.6622.63N/AN/A11,3827,530142,330133,045
2021-09-27$123.69$125.0031.0%8.1%43.7%56.1%29.6%7.4%-1.1%3.3M-547.8M-3.3M0.8732.26N/AN/A10,0588,732134,734125,969
2021-09-28$118.71$125.0036.8%9.9%46.0%86.3%35.8%8.3%-0.8%-1.3M-330.5M-3.4M1.1057.84N/AN/A14,94416,431138,075128,446
2021-09-29$119.42$125.0036.2%9.9%46.0%83.5%35.4%8.1%-1.1%-2.1M-335.3M-3.4M0.6942.69N/AN/A5,7854,017141,116133,257
2021-09-30$116.64$125.0037.3%10.6%46.1%89.0%36.9%3.6%0.1%-4.0M-213.2M-3.3M0.7127.36N/AN/A7,6415,446145,417137,762