BDX Options History — December 2013

In December 2013, BDX traded between $80.53 and $84.83. ATM implied volatility averaged 13.6%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.7% (HV 20d: 11.9%). Max pain ranged from $76.70 to $84.37. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2013-12-05: Highest Volume — 2,274 contracts
  • 2013-12-04: Largest IV spike — 26.6% change
  • 2013-12-04: Highest IV Rank — 56.2%
  • 2013-12-16: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.87$80.53$84.83$82.93$84.74
Max Pain$79.99$76.70$84.37$76.70$84.37
ATM IV13.6%12.0%15.5%12.5%13.0%
Expected Move3.9%3.4%4.4%3.6%3.7%
HV 20d11.9%8.9%14.5%9.9%14.3%
HV 60d13.5%12.7%14.2%12.8%13.5%
IV Rank40.4%30.0%56.2%38.6%33.9%
IV Percentile32.9%8.3%63.1%15.1%21.8%
Term Structure1.8%-1.1%2.5%1.1%1.9%
VWIV15.4%12.5%29.3%14.6%12.8%
Skew 25d3.2%1.9%6.0%2.9%2.1%
Skew 10d6.7%3.3%10.6%3.3%3.7%
Call IV 25d12.5%9.2%14.5%12.2%12.9%
Put IV 25d15.7%14.6%17.2%15.0%15.0%
Bid-Ask Spread %76.8425.9398.2925.9335.35
Gamma HHI0.450.330.700.490.33
Net GEX1.9M1.0M3.6M2.3M1.3M
Net DEX-19.0M-32.5M-8.3M-28.3M-16.7M
Net VEX-87.5K-95.5K-79.8K-91.1K-81.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0310.560.090.65
Total Volume419.762392,2741,380188
Total OI11,209.4766,46313,69612,9877,622

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$82.93$76.7012.5%3.6%9.9%38.6%14.6%2.9%1.1%2.3M-28.3M-91.1K0.0925.93N/AN/A1,2691117,2315,756
2013-12-03$83.15$76.7012.0%3.4%8.9%35.4%14.8%3.1%1.5%2.6M-32.5M-94.2K0.5039.70N/AN/A92467,7435,808
2013-12-04$82.38$76.7015.2%4.4%9.5%56.2%14.7%3.0%-1.1%2.2M-27.6M-94.6K0.3046.43N/AN/A3501047,7775,810
2013-12-05$82.07$76.7014.8%4.2%9.6%53.5%29.3%3.2%0.1%2.1M-26.1M-94.6K0.0358.80N/AN/A2,213617,8505,846
2013-12-06$83.10$80.5312.0%3.7%10.2%35.5%13.0%2.9%2.4%2.7M-22.9M-95.5K0.7982.89N/AN/A37296,5675,897
2013-12-09$83.30$80.5312.4%3.7%9.1%37.7%14.7%2.5%2.3%3.0M-24.4M-92.0K2.5481.42N/AN/A37936,5765,910
2013-12-10$82.31$80.5314.9%4.3%10.0%47.8%13.0%2.6%1.7%2.4M-19.5M-90.0K3.9088.40N/AN/A13516,5745,943
2013-12-11$81.02$80.5315.5%4.2%10.9%52.2%14.7%3.4%2.0%1.7M-12.6M-87.6K10.5686.78N/AN/A1131,1986,5755,961
2013-12-12$80.53$80.5314.7%4.2%10.7%46.3%17.3%2.9%2.1%1.3M-8.3M-88.6K0.3185.95N/AN/A125396,5436,276
2013-12-13$80.88$80.5314.6%4.2%10.6%45.3%16.5%3.0%2.3%1.5M-10.9M-93.1K0.8389.56N/AN/A38326,5836,313
2013-12-16$81.21$80.5315.3%4.4%10.6%50.9%16.6%2.6%1.7%1.5M-12.7M-88.2K0.9591.11N/AN/A81766,5846,340
2013-12-17$81.11$80.5315.3%4.4%10.2%50.7%15.2%2.8%2.0%1.5M-12.7M-86.1K0.4289.66N/AN/A151646,5956,369
2013-12-18$83.26$80.5313.1%3.8%14.0%34.6%14.2%4.7%1.6%3.0M-22.4M-87.8K2.5798.29N/AN/A832116,6706,397
2013-12-19$82.85$80.5313.2%3.8%14.1%35.3%15.6%3.3%2.3%2.3M-20.5M-84.5K4.4695.81N/AN/A341516,5576,291
2013-12-20$83.51$80.5313.1%3.7%14.3%34.3%13.2%4.3%2.5%3.6M-23.8M-84.5K0.1495.43N/AN/A207316,5486,290
2013-12-23$83.93$80.5312.5%3.6%14.4%30.0%13.4%2.6%2.4%1.0M-14.3M-81.2K0.8879.56N/AN/A88764,0862,377
2013-12-24$84.12$80.5312.6%3.6%14.5%30.6%0.0%5.3%1.8%1.0M-15.1M-80.4K1.5888.12N/AN/A15244,1262,436
2013-12-26$84.45$80.5313.1%3.8%14.4%34.6%16.2%6.0%1.9%1.1M-15.3M-82.0K1.6485.69N/AN/A611004,1372,455
2013-12-27$84.64$80.5312.8%3.7%14.5%32.0%12.5%1.9%2.1%1.1M-16.1M-80.8K0.0884.37N/AN/A589464,1812,512
2013-12-30$84.83$80.5313.0%3.7%14.4%33.7%12.8%2.8%2.2%1.3M-16.8M-79.8K0.3884.31N/AN/A3541344,7392,548
2013-12-31$84.74$84.3713.0%3.7%14.3%33.9%0.0%2.1%1.9%1.3M-16.7M-81.3K0.6535.35N/AN/A114744,9482,674