BDX Options History — June 2013

In June 2013, BDX traded between $73.65 and $77.01. ATM implied volatility averaged 16.3%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.5% (HV 20d: 16.8%). Max pain ranged from $65.19 to $76.70. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2013-06-04: Highest Volume — 7,860 contracts
  • 2013-06-05: Largest IV spike — 24.1% change
  • 2013-06-05: Highest IV Rank — 83.2%
  • 2013-06-05: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.42$73.65$77.01$76.09$75.80
Max Pain$72.48$65.19$76.70$65.19$76.70
ATM IV16.3%14.5%19.7%16.0%14.5%
Expected Move4.6%4.2%5.6%4.6%4.2%
HV 20d16.8%14.6%19.2%15.7%17.4%
HV 60d16.0%15.4%16.7%15.4%16.7%
IV Rank62.2%51.5%83.2%60.8%51.5%
IV Percentile78.7%55.6%97.2%80.6%55.6%
Term Structure1.4%-1.9%2.8%0.4%2.6%
VWIV18.1%15.0%30.9%20.6%15.6%
Skew 25d3.6%2.9%5.3%3.4%5.3%
Skew 10d8.0%4.5%11.8%8.9%6.6%
Call IV 25d15.2%12.2%16.8%16.2%12.2%
Put IV 25d18.9%17.2%20.8%19.6%17.4%
Bid-Ask Spread %65.9751.6676.2058.0275.74
Gamma HHI0.350.220.600.290.28
Net GEX1.8M657.1K2.7M2.1M1.0M
Net DEX-31.1M-61.6M-12.2M-61.6M-17.5M
Net VEX-154.9K-168.2K-147.6K-151.9K-154.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.067.980.140.51
Total Volume802.7947,860650177
Total OI20,063.712,19123,97723,92213,499

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$76.09$65.1916.0%4.6%15.7%60.8%20.6%3.4%0.4%2.1M-61.6M-151.9K0.1458.02N/AN/A5678313,49010,432
2013-06-04$75.45$65.1915.9%4.5%15.9%59.9%30.9%2.9%0.4%2.1M-59.3M-148.6K0.1553.56N/AN/A6,8131,04713,54010,437
2013-06-05$74.34$72.8619.7%5.6%16.7%83.2%22.9%4.4%-1.9%1.9M-25.2M-168.2K4.4851.66N/AN/A10647310,00811,420
2013-06-06$74.97$72.8616.4%4.7%17.0%62.8%18.6%3.3%-0.2%1.9M-28.7M-166.8K0.9860.16N/AN/A16215910,00611,711
2013-06-07$75.69$72.8615.8%4.6%17.3%59.4%16.2%3.3%1.5%1.9M-33.6M-165.1K0.1069.73N/AN/A6036210,02611,774
2013-06-10$75.56$72.8616.3%4.5%15.9%62.2%15.7%3.1%1.9%2.2M-33.9M-162.9K0.0665.12N/AN/A5163110,35011,744
2013-06-11$75.40$72.8616.4%4.6%15.6%63.2%16.8%3.1%2.1%2.1M-32.6M-159.1K1.8562.91N/AN/A8014810,19611,741
2013-06-12$74.91$72.8616.5%4.6%14.6%63.5%17.5%3.7%0.8%2.1M-29.9M-158.8K2.1962.07N/AN/A6714910,23311,804
2013-06-13$75.63$72.8615.8%4.5%15.1%59.6%18.4%3.0%2.8%2.1M-34.3M-154.1K3.1164.15N/AN/A3610910,25511,873
2013-06-14$75.66$72.8615.9%4.6%14.9%59.9%18.5%3.1%1.9%2.1M-35.0M-151.7K7.9863.35N/AN/A10684210,25011,869
2013-06-17$76.83$72.8616.3%4.7%15.3%62.6%16.3%3.1%1.3%1.9M-42.4M-152.2K1.0566.34N/AN/A9910410,26812,436
2013-06-18$77.01$72.8616.2%4.6%15.2%61.9%18.2%3.4%1.6%1.8M-44.3M-148.2K0.4670.61N/AN/A1255710,31712,429
2013-06-19$75.77$72.8616.1%4.6%16.2%61.3%18.5%3.2%1.5%2.0M-35.9M-151.4K0.6464.34N/AN/A573710,32512,469
2013-06-20$73.82$72.8618.8%5.4%18.2%77.7%17.2%4.0%0.5%2.3M-22.0M-150.4K0.2875.50N/AN/A2968410,09712,392
2013-06-21$73.65$72.8617.8%5.1%18.2%71.3%17.2%3.6%1.2%2.7M-23.8M-147.6K7.7576.20N/AN/A11185910,17212,393
2013-06-24$74.93$72.8615.9%4.6%19.2%60.1%16.2%4.3%1.9%657.1K-12.2M-149.6K0.2865.95N/AN/A7682156,6235,568
2013-06-25$75.16$72.8615.3%4.4%18.8%56.7%16.1%4.3%2.2%852.8K-14.6M-152.0K0.5769.13N/AN/A2651507,2255,636
2013-06-26$76.05$72.8615.0%4.3%19.0%54.4%15.0%3.1%2.3%1.0M-18.3M-152.0K1.9270.49N/AN/A51987,3435,734
2013-06-27$75.74$76.7014.7%4.2%19.1%52.8%16.4%5.0%2.5%975.2K-16.9M-153.3K0.1974.41N/AN/A289537,3805,809
2013-06-28$75.80$76.7014.5%4.2%17.4%51.5%15.6%5.3%2.6%1.0M-17.5M-154.8K0.5175.74N/AN/A117607,6505,849