BDX Options History — September 2013

In September 2013, BDX traded between $74.64 and $78.90. ATM implied volatility averaged 14.5%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 11.3%). Max pain ranged from $72.86 to $76.70. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2013-09-04: Highest Volume — 4,270 contracts
  • 2013-09-04: Largest IV drop — 16.5% change
  • 2013-09-03: Highest IV Rank — 69.8%
  • 2013-09-03: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.95$74.64$78.90$74.64$76.71
Max Pain$74.21$72.86$76.70$72.86$76.70
ATM IV14.5%12.7%17.5%17.5%15.5%
Expected Move4.3%3.7%5.0%5.0%4.4%
HV 20d11.3%10.2%12.3%10.2%11.4%
HV 60d12.8%11.5%14.1%13.8%11.5%
IV Rank50.7%39.4%69.8%69.8%56.2%
IV Percentile50.7%22.6%84.1%84.1%67.1%
Term Structure1.9%-0.9%3.3%-0.9%1.9%
VWIV15.8%13.2%28.3%15.4%15.5%
Skew 25d3.2%2.0%6.7%2.9%6.7%
Skew 10d6.7%3.5%12.0%3.5%12.0%
Call IV 25d13.6%11.1%15.6%15.6%11.1%
Put IV 25d16.8%15.2%18.5%18.5%17.8%
Bid-Ask Spread %80.3826.2393.3466.8278.93
Gamma HHI0.370.250.490.250.32
Net GEX1.3M755.5K2.1M755.5K817.8K
Net DEX-16.6M-29.1M-9.4M-12.1M-11.2M
Net VEX-100.5K-117.9K-87.4K-117.9K-88.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.143.890.360.71
Total Volume526.15434,270364228
Total OI14,0938,55917,61517,4629,134

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$74.64$72.8617.5%5.0%10.2%69.8%15.4%2.9%-0.9%755.5K-12.1M-117.9K0.3666.82N/AN/A2679710,1237,339
2013-09-04$75.72$72.8614.6%4.2%11.6%52.2%28.3%2.8%1.0%1.2M-19.6M-116.5K0.3226.23N/AN/A3,2271,04310,2607,355
2013-09-05$75.79$76.7014.3%4.1%11.6%50.1%15.7%2.0%0.9%897.6K-9.4M-112.6K0.3546.88N/AN/A4631628,4237,454
2013-09-06$76.22$72.8614.1%4.3%11.7%48.9%16.6%3.0%1.9%1.2M-12.8M-117.1K3.8982.62N/AN/A371428,7027,472
2013-09-09$76.48$72.8613.7%4.3%11.7%46.8%15.6%3.5%1.9%1.5M-14.3M-110.8K1.4281.26N/AN/A971378,7087,496
2013-09-10$76.46$72.8613.0%4.3%11.7%42.6%15.8%2.6%2.2%1.6M-14.4M-111.0K0.8982.94N/AN/A73658,7847,481
2013-09-11$76.97$72.8612.7%4.3%12.0%40.4%15.0%3.1%2.0%1.9M-17.8M-110.5K0.3784.56N/AN/A206768,7847,491
2013-09-12$76.43$72.8614.7%4.2%12.2%53.0%16.6%2.9%2.2%1.7M-14.3M-106.7K3.6385.90N/AN/A20758,7647,481
2013-09-13$76.69$72.8614.5%4.1%10.4%51.3%14.4%2.9%2.3%1.9M-15.9M-106.7K1.2784.01N/AN/A19248,7767,492
2013-09-16$77.26$72.8615.2%4.4%10.3%54.4%15.2%2.9%1.8%2.1M-21.3M-101.7K0.1485.94N/AN/A525748,7907,468
2013-09-17$77.31$72.8615.1%4.3%10.3%53.5%16.9%3.4%2.0%1.9M-19.4M-96.7K1.3885.93N/AN/A20298,3497,464
2013-09-18$78.48$72.8614.8%4.2%11.3%51.6%13.2%3.6%3.3%1.3M-27.3M-88.6K0.2893.34N/AN/A4031148,3477,462
2013-09-19$78.90$72.8612.8%3.7%11.4%39.4%14.4%3.1%2.8%1.6M-29.1M-88.3K0.1588.27N/AN/A598928,4547,448
2013-09-20$78.28$72.8614.7%4.2%11.8%51.1%14.8%2.7%2.2%1.1M-27.3M-90.0K0.2989.85N/AN/A1,0493048,5597,510
2013-09-23$78.14$76.7014.7%4.2%11.9%50.8%15.1%2.8%2.4%856.3K-15.2M-89.2K0.2390.02N/AN/A209484,8413,718
2013-09-24$77.53$76.7014.8%4.2%12.3%51.8%14.5%3.4%1.7%873.8K-13.9M-87.4K0.6589.97N/AN/A1691095,0103,752
2013-09-25$76.89$76.7014.7%4.2%10.5%50.9%14.5%2.8%1.7%839.8K-12.0M-89.6K0.6790.78N/AN/A62425,1533,826
2013-09-26$77.40$76.7014.3%4.1%10.6%48.5%13.2%3.4%2.5%900.8K-13.2M-89.9K0.6690.13N/AN/A57385,2043,852
2013-09-27$76.61$76.7014.7%4.2%11.5%50.8%14.8%3.3%2.0%807.9K-11.0M-91.2K0.6483.28N/AN/A75485,2483,886
2013-09-30$76.71$76.7015.5%4.4%11.4%56.2%15.5%6.7%1.9%817.8K-11.2M-88.4K0.7178.93N/AN/A134945,2483,886