BX Options History — December 2021 In December 2021, BX traded between $119.25 and $141.63. ATM implied volatility averaged 36.1%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.0% (HV 20d: 40.1%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.27.
Notable Days 2021-12-03 : Highest Volume — 73,890 contracts2021-12-03 : Largest IV spike — 18.1% change2021-12-01 : Highest IV Rank — 100.0%2021-12-03 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $131.13 $119.25 $141.63 $139.32 $130.00 Max Pain $126.36 $125.00 $135.00 $135.00 $125.00 ATM IV 36.1% 32.6% 45.6% 40.0% 33.1% Expected Move 10.4% 8.7% 14.1% 12.5% 8.7% HV 20d 40.1% 33.6% 48.3% 33.6% 44.6% HV 60d 39.9% 37.0% 42.9% 40.7% 38.1% IV Rank 64.3% 48.6% 100.0% 100.0% 50.7% IV Percentile 92.7% 83.3% 100.0% 100.0% 84.1% Term Structure 0.4% -1.4% 2.4% 0.1% -0.1% VWIV 37.4% 32.1% 52.1% 44.5% 32.1% Skew 25d 6.2% 2.7% 9.7% 5.7% 3.6% Skew 10d 13.5% 1.8% 25.7% 15.3% 1.8% Call IV 25d 34.4% 31.2% 43.7% 38.8% 33.5% Put IV 25d 40.5% 35.7% 53.4% 44.5% 37.1% Bid-Ask Spread % 44.17 13.02 67.24 43.85 31.07 Gamma HHI 0.08 0.06 0.20 0.06 0.15 Net GEX 3.8M -9.6M 16.2M 8.0M 16.0M Net DEX -332.7M -677.6M 71.6M -578.5M -417.0M Net VEX -3.8M -4.3M -3.3M -4.1M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.27 0.15 0.49 0.20 0.22 Total Volume 48,886.045 25,708 73,890 59,384 29,984 Total OI 269,388.182 236,376 288,905 273,618 268,381
Daily Data (22 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 2021-12-01 $139.32 $135.00 40.0% 12.5% 33.6% 100.0% 44.5% 5.7% 0.1% 8.0M -578.5M -4.1M 0.20 43.85 N/A N/A 49,332 10,052 139,404 134,214 2021-12-02 $141.63 $135.00 38.6% 12.0% 34.0% 93.1% 44.6% 5.2% 0.0% 10.1M -677.6M -4.1M 0.27 35.85 N/A N/A 52,527 14,356 140,803 137,116 2021-12-03 $134.21 $135.00 45.6% 14.1% 38.9% 100.0% 52.1% 9.7% -1.1% -9.6M -307.4M -4.3M 0.31 38.27 N/A N/A 56,203 17,687 143,117 143,376 2021-12-06 $134.51 $125.00 38.9% 11.0% 38.8% 73.6% 38.9% 9.5% 1.1% 4.0M -397.5M -4.0M 0.20 55.76 N/A N/A 54,394 10,964 133,417 135,653 2021-12-07 $138.72 $125.00 34.7% 9.8% 40.6% 57.1% 36.6% 8.2% 0.2% 8.8M -583.8M -4.1M 0.16 60.84 N/A N/A 49,413 7,951 136,374 139,012 2021-12-08 $135.13 $125.00 35.0% 10.2% 39.6% 58.1% 38.1% 7.0% 0.6% 4.3M -430.2M -3.9M 0.22 53.23 N/A N/A 51,005 11,140 137,827 140,011 2021-12-09 $134.76 $125.00 35.3% 10.1% 35.6% 59.1% 36.3% 6.5% 2.4% 3.6M -419.3M -3.9M 0.15 62.04 N/A N/A 47,926 7,239 140,827 143,197 2021-12-10 $133.63 $125.00 33.3% 9.5% 35.0% 51.3% 34.1% 5.7% 0.1% 501.3K -352.2M -3.8M 0.29 52.84 N/A N/A 48,432 13,881 142,319 144,064 2021-12-13 $130.52 $125.00 34.9% 9.8% 35.5% 57.6% 35.6% 5.9% -0.5% 951.3K -237.9M -3.7M 0.19 54.30 N/A N/A 45,258 8,396 132,102 138,277 2021-12-14 $126.30 $125.00 36.8% 10.8% 36.8% 65.2% 37.2% 5.7% 0.4% -1.0M -48.4M -3.5M 0.32 54.65 N/A N/A 52,275 16,578 132,662 140,649 2021-12-15 $126.95 $125.00 36.5% 10.4% 36.6% 63.8% 37.0% 7.8% 0.0% -933.8K -89.6M -3.6M 0.20 67.24 N/A N/A 48,626 9,741 135,785 145,301 2021-12-16 $123.49 $125.00 36.7% 10.3% 37.0% 64.6% 37.1% 5.9% 0.0% -5.3M 71.6M -3.5M 0.39 49.66 N/A N/A 31,801 12,412 136,747 146,943 2021-12-17 $123.44 $125.00 36.7% 10.3% 36.5% 64.9% 36.8% 6.9% -1.3% -6.5M 67.3M -3.5M 0.39 59.99 N/A N/A 30,795 12,072 140,321 148,584 2021-12-20 $119.25 $125.00 40.0% 11.5% 37.5% 77.6% 40.9% 6.4% 0.1% -5.6M 34.1M -3.3M 0.49 47.38 N/A N/A 23,716 11,517 115,218 121,158 2021-12-21 $122.58 $125.00 35.3% 10.1% 39.8% 59.3% 37.4% 6.9% -0.1% -5.4M -73.5M -3.4M 0.40 37.03 N/A N/A 26,037 10,506 120,003 126,953 2021-12-22 $130.40 $125.00 34.5% 9.9% 47.1% 56.2% 35.1% 6.1% 2.4% 6.0M -418.5M -3.8M 0.24 47.27 N/A N/A 30,755 7,476 126,612 126,936 2021-12-23 $135.13 $125.00 33.8% 9.6% 48.3% 53.2% 34.8% 5.8% -0.7% 16.2M -642.4M -3.9M 0.24 35.41 N/A N/A 34,009 8,237 131,878 128,170 2021-12-27 $135.15 $125.00 35.0% 9.6% 47.8% 58.3% 34.0% 6.4% -1.4% 15.4M -626.4M -3.9M 0.22 17.61 N/A N/A 26,441 5,912 130,180 121,130 2021-12-28 $132.02 $125.00 33.5% 9.4% 46.8% 52.3% 33.6% 4.3% 1.4% 12.6M -498.3M -3.8M 0.29 25.94 N/A N/A 24,060 7,048 133,520 122,329 2021-12-29 $128.69 $125.00 32.8% 9.3% 46.5% 49.4% 32.8% 2.7% 2.0% 6.5M -336.3M -3.8M 0.35 28.47 N/A N/A 24,883 8,748 135,485 124,047 2021-12-30 $129.04 $125.00 32.6% 8.9% 45.0% 48.6% 32.3% 3.6% 2.1% 6.0M -358.5M -3.8M 0.26 13.02 N/A N/A 20,374 5,334 138,836 127,602 2021-12-31 $130.00 $125.00 33.1% 8.7% 44.6% 50.7% 32.1% 3.6% -0.1% 16.0M -417.0M -3.8M 0.22 31.07 N/A N/A 24,538 5,446 140,310 128,071
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