BDX Options History — July 2013

In July 2013, BDX traded between $74.51 and $80.15. ATM implied volatility averaged 16.3%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.0% (HV 20d: 16.2%). Max pain ranged from $76.70 to $76.70. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2013-07-31: Highest Volume — 1,390 contracts
  • 2013-07-11: Largest IV spike — 26.1% change
  • 2013-07-31: Highest IV Rank — 77.6%
  • 2013-07-31: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.88$74.51$80.15$76.12$79.55
Max Pain$76.70$76.70$76.70$76.70$76.70
ATM IV16.3%13.6%18.8%14.7%18.8%
Expected Move4.8%4.1%5.4%4.2%5.4%
HV 20d16.2%10.3%19.2%17.3%10.3%
HV 60d16.8%15.3%17.4%16.7%15.3%
IV Rank62.2%45.9%77.6%52.9%77.6%
IV Percentile73.9%43.7%95.2%59.5%95.2%
Term Structure-0.5%-3.5%2.8%2.7%-3.5%
VWIV17.5%14.7%20.9%15.9%20.0%
Skew 25d3.4%2.1%5.6%5.6%2.1%
Skew 10d8.0%4.5%12.3%7.7%4.5%
Call IV 25d15.7%11.9%19.7%11.9%19.7%
Put IV 25d19.1%17.5%21.9%17.5%21.9%
Bid-Ask Spread %79.1259.6985.8259.6985.03
Gamma HHI0.380.260.480.300.46
Net GEX1.5M790.5K1.8M1.1M1.8M
Net DEX-29.0M-38.2M-11.7M-19.3M-35.4M
Net VEX-134.9K-153.2K-119.5K-153.1K-128.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.027.004.001.13
Total Volume355.773171,3901831,390
Total OI13,837.40913,05514,34913,57314,200

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$76.12$76.7014.7%4.2%17.3%52.9%15.9%5.6%2.7%1.1M-19.3M-153.1K4.0059.69N/AN/A371467,6735,900
2013-07-02$74.51$76.7017.6%5.1%18.7%70.7%14.7%3.4%1.3%790.5K-11.7M-153.2K7.0065.47N/AN/A855937,6825,922
2013-07-03$75.01$76.7014.3%4.1%18.1%50.6%17.0%3.2%2.8%1.0M-15.6M-147.5K0.3371.66N/AN/A52177,7055,627
2013-07-05$75.68$76.7013.6%4.8%18.1%46.0%16.9%3.5%0.1%1.2M-18.6M-144.4K0.1172.58N/AN/A303337,7525,632
2013-07-08$76.21$76.7014.1%4.9%18.0%49.0%16.9%3.1%-0.1%1.5M-22.4M-144.2K0.6275.46N/AN/A2071288,0075,621
2013-07-09$75.75$76.7013.9%4.9%18.1%47.6%20.9%3.5%-0.3%1.5M-20.2M-144.6K1.5473.85N/AN/A37568,1045,630
2013-07-10$76.01$76.7013.6%4.8%18.1%45.9%17.8%2.7%-0.3%1.6M-21.4M-141.2K3.0078.25N/AN/A13398,1295,672
2013-07-11$76.71$76.7017.1%4.9%18.2%67.5%18.1%3.0%-0.4%1.8M-25.0M-138.4K1.2283.95N/AN/A971178,1325,699
2013-07-12$78.24$76.7017.5%5.0%19.2%69.7%17.0%4.3%-0.6%1.8M-33.0M-131.8K3.3282.84N/AN/A531778,1835,691
2013-07-15$78.36$76.7017.5%5.0%19.1%69.7%16.6%2.7%-0.5%1.7M-34.4M-124.5K1.2177.70N/AN/A3314028,2035,728
2013-07-16$78.16$76.7018.1%5.2%18.5%73.1%18.0%2.9%-1.1%1.6M-33.2M-134.9K0.0482.50N/AN/A467178,3605,989
2013-07-17$78.20$76.7017.8%5.1%18.5%71.5%17.2%2.9%-0.8%1.6M-33.0M-134.1K0.6682.51N/AN/A93618,3046,001
2013-07-18$78.98$76.7015.8%4.5%17.6%59.6%16.0%4.7%-0.6%1.5M-35.3M-128.0K0.2183.48N/AN/A142318,2046,008
2013-07-19$79.49$76.7016.4%4.7%14.2%63.3%15.2%4.1%-1.3%1.6M-38.2M-124.7K0.0285.82N/AN/A719178,3235,995
2013-07-22$80.15$76.7016.3%4.7%14.1%62.2%17.3%3.4%-0.9%1.5M-36.7M-119.5K0.4283.99N/AN/A4802007,5615,494
2013-07-23$80.00$76.7016.5%4.7%13.4%63.7%18.4%2.1%-1.0%1.6M-36.7M-123.3K0.2682.00N/AN/A354927,8025,663
2013-07-24$79.56$76.7016.2%4.6%13.7%61.7%19.8%2.3%-1.1%1.7M-35.2M-126.8K0.3178.87N/AN/A252768,1035,697
2013-07-25$79.40$76.7016.2%4.7%13.4%62.1%17.0%2.7%-0.9%1.7M-33.9M-128.8K0.3082.60N/AN/A163508,1185,747
2013-07-26$79.19$76.7016.4%4.7%13.3%63.1%0.0%4.5%-1.4%1.7M-33.6M-133.3K0.8685.09N/AN/A988,2735,753
2013-07-29$79.08$76.7017.2%4.9%13.4%68.0%18.7%4.1%-1.8%1.7M-32.9M-130.9K0.4683.11N/AN/A83388,2685,761
2013-07-30$78.99$76.7018.0%5.2%13.4%72.7%17.8%4.2%-2.4%1.7M-32.9M-131.1K0.3984.09N/AN/A116468,3235,784
2013-07-31$79.55$76.7018.8%5.4%10.3%77.6%20.0%2.1%-3.5%1.8M-35.4M-128.7K1.1385.03N/AN/A6547368,4055,795