BDX Options History — August 2013

In August 2013, BDX traded between $74.59 and $79.08. ATM implied volatility averaged 14.5%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.9% (HV 20d: 10.6%). Max pain ranged from $72.86 to $76.70. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2013-08-01: Highest Volume — 1,423 contracts
  • 2013-08-27: Largest IV spike — 31.8% change
  • 2013-08-27: Highest IV Rank — 76.1%
  • 2013-08-27: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.05$74.59$79.08$79.08$74.69
Max Pain$73.21$72.86$76.70$76.70$72.86
ATM IV14.5%13.1%18.5%13.3%16.5%
Expected Move4.2%3.8%5.3%3.8%4.7%
HV 20d10.6%9.0%12.4%10.7%10.4%
HV 60d14.9%13.9%15.8%15.4%13.9%
IV Rank51.5%42.9%76.1%44.1%63.5%
IV Percentile53.1%32.9%93.7%36.1%79.0%
Term Structure1.2%-3.4%2.8%0.8%0.1%
VWIV15.0%13.7%17.0%15.6%15.5%
Skew 25d3.0%0.7%4.0%2.9%2.9%
Skew 10d6.1%-0.1%10.3%3.1%4.4%
Call IV 25d13.9%12.4%14.6%13.5%14.6%
Put IV 25d16.8%14.7%17.9%16.5%17.5%
Bid-Ask Spread %55.8543.2892.2592.2559.43
Gamma HHI0.290.190.610.610.23
Net GEX735.0K-161.2K1.9M1.9M753.1K
Net DEX-16.7M-33.2M-5.3M-33.2M-11.2M
Net VEX-122.8K-130.9K-116.1K-129.9K-119.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.2112.161.740.41
Total Volume447.955901,4231,423776
Total OI16,175.81815,19917,15815,19917,158

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$79.08$76.7013.3%3.8%10.7%44.1%15.6%2.9%0.8%1.9M-33.2M-129.9K1.7492.25N/AN/A5199048,8296,370
2013-08-02$77.86$76.7015.1%4.3%12.2%55.2%14.5%0.7%0.6%1.3M-26.9M-130.9K0.5491.90N/AN/A2111148,8756,637
2013-08-05$77.29$72.8615.4%4.4%12.4%57.1%14.2%3.5%1.8%991.4K-23.1M-126.1K0.2858.10N/AN/A5971658,9326,661
2013-08-06$76.83$72.8614.7%4.3%12.4%53.0%15.1%2.8%1.9%687.0K-19.6M-128.8K0.5058.98N/AN/A4822409,0346,715
2013-08-07$76.70$72.8614.4%4.3%12.4%50.7%16.6%3.2%2.2%588.2K-18.9M-128.3K6.5057.53N/AN/A291879,0686,696
2013-08-08$76.94$72.8614.0%4.3%12.0%48.3%14.5%3.6%1.9%590.7K-20.5M-129.9K0.8258.30N/AN/A121999,0886,808
2013-08-09$76.65$72.8613.3%4.2%9.6%44.2%15.0%3.1%2.1%390.0K-18.5M-126.0K0.8743.28N/AN/A71629,0946,883
2013-08-12$76.70$72.8613.6%4.3%9.5%46.2%14.9%3.5%1.8%212.8K-18.7M-120.7K0.5843.65N/AN/A111649,1146,918
2013-08-13$76.59$72.8613.1%4.1%9.5%42.9%14.2%3.3%2.6%39.1K-18.1M-117.1K0.6952.11N/AN/A3692539,1426,934
2013-08-14$76.34$72.8613.3%4.0%9.5%44.1%14.2%3.1%2.8%-161.2K-16.3M-118.8K0.4654.30N/AN/A127599,3057,119
2013-08-15$75.03$72.8614.5%4.1%10.2%51.4%16.2%3.2%2.5%631.4K-8.2M-118.8K4.1355.98N/AN/A1004159,1657,065
2013-08-16$74.67$72.8616.3%4.7%9.6%62.5%15.2%3.4%1.3%487.5K-5.3M-117.0K12.1644.83N/AN/A333979,2087,220
2013-08-19$74.95$72.8614.2%4.1%9.0%49.7%14.3%3.2%0.6%550.8K-11.7M-116.1K0.3646.31N/AN/A5101818,6246,764
2013-08-20$75.30$72.8613.8%4.0%9.5%47.3%13.9%4.0%1.1%740.9K-13.4M-117.7K2.0443.72N/AN/A1763598,9146,851
2013-08-21$75.34$72.8614.2%4.1%9.5%49.8%14.2%2.9%0.7%859.7K-14.3M-119.7K0.6546.60N/AN/A2001289,0357,103
2013-08-22$75.82$72.8613.7%3.9%10.0%46.9%13.9%2.7%0.8%1.0M-16.7M-124.8K0.5749.28N/AN/A57339,1837,152
2013-08-23$75.95$72.8613.6%3.9%10.1%46.2%13.7%2.4%0.9%1.1M-17.6M-120.9K0.2147.10N/AN/A401859,1977,164
2013-08-26$76.01$72.8614.1%4.0%10.2%48.9%17.0%1.9%0.7%1.2M-19.1M-122.4K0.3851.00N/AN/A3801459,5357,208
2013-08-27$74.59$72.8618.5%5.3%11.8%76.1%15.8%3.3%-3.4%782.4K-11.8M-124.9K1.7754.10N/AN/A51909,7137,297
2013-08-28$74.85$72.8614.7%4.2%11.5%52.8%17.0%3.0%0.9%819.3K-12.8M-123.4K1.8852.21N/AN/A531009,7197,322
2013-08-29$74.84$72.8614.6%4.2%11.5%52.0%14.6%2.9%0.9%754.2K-12.3M-120.3K0.3067.72N/AN/A309929,7367,313
2013-08-30$74.69$72.8616.5%4.7%10.4%63.5%15.5%2.9%0.1%753.1K-11.2M-119.6K0.4159.43N/AN/A5502269,8737,285