BDX Options History — January 2014

In January 2014, BDX traded between $81.99 and $86.32. ATM implied volatility averaged 15.4%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.0% (HV 20d: 13.4%). Max pain ranged from $84.37 to $84.37. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2014-01-31: Highest Volume — 3,012 contracts
  • 2014-01-16: Largest IV spike — 51.0% change
  • 2014-01-31: Highest IV Rank — 100.0%
  • 2014-01-31: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.47$81.99$86.32$83.71$82.93
Max Pain$84.37$84.37$84.37$84.37$84.37
ATM IV15.4%10.6%23.6%13.6%23.6%
Expected Move4.7%3.7%6.8%3.9%6.8%
HV 20d13.4%9.9%15.0%15.0%14.1%
HV 60d12.5%11.6%13.6%13.6%12.8%
IV Rank50.8%16.0%100.0%38.0%100.0%
IV Percentile53.9%1.6%100.0%31.0%100.0%
Term Structure-0.6%-5.4%2.5%1.7%-5.4%
VWIV16.5%13.1%23.8%13.6%23.8%
Skew 25d2.7%-0.3%3.7%3.7%2.7%
Skew 10d5.3%-1.4%8.7%5.6%8.7%
Call IV 25d15.7%12.2%22.6%12.2%22.6%
Put IV 25d18.3%15.0%25.3%15.8%25.3%
Bid-Ask Spread %83.0765.3094.0594.0586.81
Gamma HHI0.300.220.350.350.33
Net GEX1.1M-795.5K2.4M1.1M284.5K
Net DEX-13.8M-24.3M2.7M-13.7M-4.9M
Net VEX-92.5K-148.6K-78.1K-82.0K-148.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.058.900.690.31
Total Volume761.905283,0121923,012
Total OI10,169.5717,75016,1577,75016,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$83.71$84.3713.6%3.9%15.0%38.0%13.6%3.7%1.7%1.1M-13.7M-82.0K0.6994.05N/AN/A113795,0022,748
2014-01-03$83.89$84.3713.1%3.7%14.6%34.2%13.1%-0.3%2.5%1.1M-14.2M-82.4K0.1491.36N/AN/A198295,0402,810
2014-01-06$83.95$84.3713.9%4.4%14.5%40.5%16.9%2.3%-0.0%1.2M-15.0M-80.9K0.7482.18N/AN/A75565,2142,838
2014-01-07$85.16$84.3713.9%4.5%14.7%40.6%15.0%3.0%-0.2%1.5M-18.4M-80.1K0.1680.81N/AN/A373615,2712,880
2014-01-08$85.20$84.3714.4%4.6%14.7%43.8%15.7%3.1%-0.2%1.5M-18.5M-83.5K0.1578.97N/AN/A543805,4402,938
2014-01-09$86.02$84.3711.6%4.8%14.1%23.0%15.0%2.9%-0.6%1.9M-22.1M-83.0K0.0578.53N/AN/A1,061565,6832,955
2014-01-10$86.32$84.3711.2%4.2%12.4%20.6%15.7%2.4%-0.0%2.4M-24.3M-88.8K0.7577.21N/AN/A42326,6822,983
2014-01-13$85.18$84.3714.9%4.6%13.4%47.7%15.2%2.8%-0.2%1.8M-20.3M-84.3K0.4178.40N/AN/A160666,6873,010
2014-01-14$85.67$84.3711.9%4.7%13.4%25.9%15.7%2.8%-0.2%1.9M-20.8M-86.9K0.0575.73N/AN/A534276,8283,055
2014-01-15$85.76$84.3710.6%4.6%13.4%16.0%13.5%2.7%0.2%1.7M-21.6M-84.8K0.8383.47N/AN/A15137,1782,964
2014-01-16$85.90$84.3716.0%4.6%13.3%56.4%13.9%2.7%0.1%1.6M-22.1M-81.7K0.1281.68N/AN/A164197,1752,976
2014-01-17$85.37$84.3716.2%4.6%10.5%57.2%18.3%3.2%-0.5%1.8M-21.5M-80.8K1.0084.02N/AN/A71717,1982,970
2014-01-21$85.48$84.3716.4%4.7%10.2%59.0%17.2%3.5%-0.4%1.5M-18.0M-78.1K5.6486.62N/AN/A613466,0452,617
2014-01-22$85.57$84.3716.3%4.7%9.9%58.1%16.3%3.0%-0.6%1.4M-17.6M-82.9K2.1487.59N/AN/A1402996,1042,935
2014-01-23$84.68$84.3716.0%4.6%10.6%56.1%14.9%2.8%-0.3%1.0M-14.1M-83.2K1.1587.52N/AN/A52606,1123,174
2014-01-24$82.64$84.3716.5%4.7%13.8%60.0%19.3%3.3%-1.2%731.6K-7.5M-80.4K7.6981.64N/AN/A2752,1156,1373,222
2014-01-27$81.99$84.3717.5%5.0%13.9%67.3%17.7%2.5%-0.1%-257.0K-72.7K-99.2K8.9080.90N/AN/A2021,8006,2635,232
2014-01-28$83.00$84.3718.0%5.2%14.6%71.2%17.7%2.6%-1.4%-595.1K282.9K-119.1K2.8565.30N/AN/A1724906,3986,814
2014-01-29$82.64$84.3718.2%5.2%14.6%72.8%18.2%2.4%-1.8%-795.5K2.7M-125.9K1.0292.38N/AN/A2852916,5657,138
2014-01-30$82.82$84.3719.0%5.4%14.7%78.3%19.3%1.6%-3.2%-695.8K1.4M-126.7K0.2389.30N/AN/A1,9964666,7567,367
2014-01-31$82.93$84.3723.6%6.8%14.1%100.0%23.8%2.7%-5.4%284.5K-4.9M-148.6K0.3186.81N/AN/A2,3067068,4367,721