BDX Options History — November 2013

In November 2013, BDX traded between $80.66 and $83.79. ATM implied volatility averaged 13.7%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 12.1%). Max pain ranged from $72.86 to $80.53. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-11-05: Highest Volume — 1,553 contracts
  • 2013-11-05: Largest IV drop — 28.5% change
  • 2013-11-04: Highest IV Rank — 96.4%
  • 2013-11-01: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.90$80.66$83.79$80.66$83.29
Max Pain$74.78$72.86$80.53$80.53$76.70
ATM IV13.7%11.6%21.9%19.7%11.9%
Expected Move3.8%3.3%5.6%5.6%3.4%
HV 20d12.1%9.6%16.2%16.2%9.6%
HV 60d13.2%12.7%13.6%13.3%12.7%
IV Rank46.0%32.5%96.4%82.4%34.6%
IV Percentile28.3%3.2%99.6%97.6%6.7%
Term Structure1.8%-3.4%3.8%-3.4%1.5%
VWIV14.9%12.2%22.3%19.7%22.3%
Skew 25d2.9%2.1%4.0%3.8%2.1%
Skew 10d5.4%2.6%7.1%4.0%3.4%
Call IV 25d12.5%11.6%18.5%18.5%12.1%
Put IV 25d15.4%13.7%22.3%22.3%14.2%
Bid-Ask Spread %41.2715.8588.5188.5146.51
Gamma HHI0.480.430.540.480.51
Net GEX2.3M1.4M2.8M1.4M2.3M
Net DEX-32.5M-40.6M-20.6M-20.6M-30.6M
Net VEX-93.1K-100.8K-77.9K-87.7K-94.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.063.260.540.22
Total Volume374.15511,55319351
Total OI12,641.4511,42413,62711,42412,964

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$80.66$80.5319.7%5.6%16.2%82.4%19.7%3.8%-3.4%1.4M-20.6M-87.7K0.5488.51N/AN/A126675,9065,518
2013-11-04$81.73$72.8621.9%4.7%15.9%96.4%15.4%3.6%0.7%1.5M-24.9M-82.7K0.1759.48N/AN/A544935,8945,559
2013-11-05$82.08$72.8615.7%4.3%15.0%57.1%13.1%3.0%1.4%2.0M-29.4M-77.9K0.0652.47N/AN/A1,469846,2075,607
2013-11-06$82.11$72.8612.9%4.2%15.0%41.0%14.0%2.9%1.5%2.4M-32.3M-95.6K0.8350.96N/AN/A3843217,2415,646
2013-11-07$81.53$72.8614.2%4.2%14.1%49.8%14.2%3.9%1.3%2.7M-30.0M-100.8K0.2350.81N/AN/A173397,4535,506
2013-11-08$82.61$72.8614.2%3.7%13.7%49.6%12.2%3.3%3.6%2.5M-34.5M-96.1K0.2141.84N/AN/A355747,4745,527
2013-11-11$82.83$72.8613.3%3.6%13.7%43.8%13.2%3.5%3.5%2.7M-37.1M-93.6K0.2733.18N/AN/A190517,7415,537
2013-11-12$83.54$72.8615.7%3.7%11.8%59.4%17.3%3.0%3.2%2.4M-40.6M-92.7K0.1938.42N/AN/A196377,7885,538
2013-11-13$82.86$72.8615.1%3.6%11.2%55.7%17.9%4.0%3.8%2.8M-37.0M-96.6K2.2232.18N/AN/A1423157,8335,542
2013-11-14$83.34$72.8612.3%3.5%10.8%37.2%13.5%3.5%3.5%2.3M-38.8M-98.0K0.9233.24N/AN/A108997,8625,742
2013-11-15$83.69$72.8612.3%3.5%10.7%37.0%12.4%2.8%3.2%2.5M-40.3M-96.1K0.8030.93N/AN/A1671347,8585,769
2013-11-18$82.93$72.8611.6%3.3%11.4%32.7%13.2%3.6%1.5%2.2M-28.9M-94.9K1.4515.85N/AN/A1181726,7345,159
2013-11-19$83.17$76.7012.3%3.5%11.4%37.1%13.0%2.3%1.1%2.2M-30.0M-94.8K0.0736.08N/AN/A242176,7775,243
2013-11-20$83.36$76.7012.1%3.5%10.8%36.2%12.7%2.1%1.2%2.4M-31.3M-94.8K0.0941.30N/AN/A172156,9035,246
2013-11-21$83.72$76.7012.0%3.4%10.6%35.1%12.9%2.3%1.2%2.5M-33.7M-91.9K1.8422.35N/AN/A561037,0105,253
2013-11-22$83.69$76.7011.7%3.3%10.5%33.2%13.7%2.1%1.6%2.6M-33.5M-91.8K3.2630.95N/AN/A1284217,0565,243
2013-11-25$83.79$76.7011.8%3.4%10.2%34.1%16.7%2.2%1.5%2.4M-33.4M-91.8K0.1136.78N/AN/A422477,0765,643
2013-11-26$83.52$76.7011.8%3.4%10.3%34.1%14.7%2.4%1.6%2.5M-32.2M-94.5K0.0746.91N/AN/A151107,1925,686
2013-11-27$83.56$76.7011.6%3.3%9.8%32.5%15.1%2.3%1.7%2.5M-31.8M-96.6K0.4136.62N/AN/A135557,2035,693
2013-11-29$83.29$76.7011.9%3.4%9.6%34.6%22.3%2.1%1.5%2.3M-30.6M-94.0K0.2246.51N/AN/A4297,2175,747