BDX Options History — October 2013

In October 2013, BDX traded between $75.42 and $81.74. ATM implied volatility averaged 17.5%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 15.3%). Max pain ranged from $76.70 to $80.53. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.89.

Notable Days

  • 2013-10-04: Highest Volume — 980 contracts
  • 2013-10-16: Largest IV drop — 13.9% change
  • 2013-10-31: Highest IV Rank — 82.0%
  • 2013-10-31: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.04$75.42$81.74$77.40$80.63
Max Pain$77.70$76.70$80.53$76.70$80.53
ATM IV17.5%15.5%19.6%15.5%19.6%
Expected Move5.1%4.4%5.6%4.4%5.6%
HV 20d15.3%10.8%17.6%11.7%16.3%
HV 60d12.7%11.1%13.7%11.5%13.3%
IV Rank68.9%55.9%82.0%55.9%82.0%
IV Percentile83.8%65.9%97.6%65.9%97.6%
Term Structure-0.8%-3.3%2.2%1.9%-3.3%
VWIV18.0%15.1%21.0%15.5%18.3%
Skew 25d3.8%2.2%7.8%7.8%3.2%
Skew 10d8.1%4.2%12.3%12.3%7.6%
Call IV 25d16.1%9.6%18.9%9.6%18.7%
Put IV 25d19.9%17.4%22.6%17.4%21.9%
Bid-Ask Spread %83.1374.7198.0086.2389.01
Gamma HHI0.450.300.670.330.47
Net GEX1.3M695.6K2.5M900.2K1.4M
Net DEX-18.1M-26.2M-7.6M-13.0M-20.6M
Net VEX-91.9K-97.5K-88.2K-89.3K-90.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.076.820.191.71
Total Volume294.478249807324
Total OI10,647.1749,28511,4119,28511,411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$77.40$76.7015.5%4.4%11.7%55.9%15.5%7.8%1.9%900.2K-13.0M-89.3K0.1986.23N/AN/A62115,3093,976
2013-10-02$77.20$76.7015.6%4.5%10.8%56.9%15.1%7.7%2.2%875.9K-12.6M-91.0K2.2082.83N/AN/A33715,3673,986
2013-10-03$76.32$76.7015.9%4.5%11.6%58.4%16.0%6.1%2.1%726.8K-9.9M-90.4K1.6188.24N/AN/A941515,3704,031
2013-10-04$77.02$76.7015.6%5.4%11.9%56.6%17.8%2.6%-0.9%804.3K-11.9M-90.7K0.0774.71N/AN/A915655,3684,117
2013-10-07$76.26$76.7016.7%5.5%12.4%63.7%21.0%2.8%-1.0%913.5K-10.5M-92.9K5.3275.46N/AN/A291535,9914,179
2013-10-08$75.42$76.7017.5%5.6%13.0%68.9%19.3%3.7%-0.8%695.6K-7.6M-91.0K0.2975.44N/AN/A223656,0034,276
2013-10-09$76.01$76.7017.9%5.6%13.1%71.4%19.7%3.0%-0.9%813.2K-8.9M-92.1K0.3879.47N/AN/A97376,0924,312
2013-10-10$77.59$76.7018.7%5.4%14.9%76.5%18.2%3.7%-0.5%1.2M-14.7M-93.8K1.2079.02N/AN/A1882256,1204,326
2013-10-11$78.85$76.7019.3%5.5%15.8%79.8%17.9%3.6%-0.6%1.4M-19.7M-93.7K5.8280.95N/AN/A794556,2054,486
2013-10-14$78.82$76.7018.7%5.3%15.7%76.0%17.9%3.3%-0.7%1.3M-18.5M-97.5K0.1583.81N/AN/A195316,2204,860
2013-10-15$77.51$76.7019.1%5.5%16.9%79.0%18.5%3.3%-0.6%1.1M-14.1M-94.9K0.2583.01N/AN/A164426,2714,856
2013-10-16$78.91$76.7016.5%4.7%17.2%62.2%18.4%3.5%-0.4%1.3M-18.8M-95.7K0.2285.53N/AN/A135316,2864,863
2013-10-17$79.84$76.7016.3%4.7%17.6%61.1%18.6%3.9%-0.4%1.7M-22.1M-91.9K1.1090.94N/AN/A51566,2164,781
2013-10-18$80.39$76.7015.8%4.5%17.5%58.3%17.4%3.2%-0.3%2.5M-24.2M-89.9K6.8283.36N/AN/A855776,2264,808
2013-10-21$80.55$76.7016.7%4.8%17.4%63.4%17.4%2.7%-0.8%1.5M-21.8M-90.7K2.0486.24N/AN/A1062155,8174,799
2013-10-22$80.87$76.7016.9%4.8%17.1%64.7%17.0%2.2%-0.8%1.5M-23.3M-91.7K0.6681.43N/AN/A118795,9034,972
2013-10-23$81.74$76.7017.8%5.1%16.9%70.7%19.1%3.8%-1.5%1.5M-26.2M-88.2K1.4977.19N/AN/A2774155,9284,995
2013-10-24$81.31$80.5317.6%5.0%17.1%69.2%19.9%3.5%-1.3%1.5M-24.2M-92.9K1.8877.69N/AN/A891675,9835,154
2013-10-25$80.96$80.5318.0%5.2%16.6%71.9%15.9%3.9%-1.8%1.4M-23.1M-89.8K0.2380.20N/AN/A212486,0065,172
2013-10-28$81.57$80.5318.9%5.4%16.7%77.8%18.4%3.8%-2.5%1.5M-24.2M-89.7K1.4784.65N/AN/A1131675,9645,201
2013-10-29$81.68$80.5319.1%5.5%16.6%79.0%17.9%4.2%-2.5%1.4M-24.8M-93.4K3.6888.54N/AN/A291066,0225,325
2013-10-30$81.03$80.5319.4%5.6%16.9%80.9%19.6%2.8%-2.9%1.5M-22.5M-91.6K4.6498.00N/AN/A512375,9315,401
2013-10-31$80.63$80.5319.6%5.6%16.3%82.0%18.3%3.2%-3.3%1.4M-20.6M-90.7K1.7189.01N/AN/A9155,9075,504