BDX Options History — February 2014

In February 2014, BDX traded between $80.84 and $88.60. ATM implied volatility averaged 15.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.4% (HV 20d: 18.6%). Max pain ranged from $80.53 to $84.37. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.18.

Notable Days

  • 2014-02-04: Highest Volume — 3,773 contracts
  • 2014-02-04: Largest IV drop — 33.1% change
  • 2014-02-03: Highest IV Rank — 100.0%
  • 2014-02-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.25$80.84$88.60$80.84$88.37
Max Pain$81.34$80.53$84.37$84.37$80.53
ATM IV15.2%11.1%25.7%25.7%13.7%
Expected Move4.4%3.9%7.4%7.4%3.9%
HV 20d18.6%16.5%20.9%16.6%17.4%
HV 60d15.0%13.7%15.6%13.8%15.5%
IV Rank38.9%15.4%100.0%100.0%30.3%
IV Percentile45.7%2.0%100.0%100.0%28.6%
Term Structure0.7%-5.1%2.2%-5.1%0.8%
VWIV17.1%14.9%25.8%25.8%19.9%
Skew 25d2.5%0.4%3.8%0.4%3.4%
Skew 10d6.3%1.7%9.8%1.7%6.4%
Call IV 25d14.5%12.6%26.5%26.5%12.9%
Put IV 25d17.0%15.4%27.0%27.0%16.2%
Bid-Ask Spread %80.0265.8893.2273.9681.02
Gamma HHI0.330.250.450.360.25
Net GEX1.8M268.5K3.9M268.5K1.5M
Net DEX-29.8M-53.3M5.6M4.4M-29.8M
Net VEX-109.5K-157.0K-80.1K-157.0K-89.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.064.110.470.97
Total Volume797.9471463,7731,6571,632
Total OI16,717.21113,01919,29518,65013,617

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$80.84$84.3725.7%7.4%16.6%100.0%25.8%0.4%-5.1%268.5K4.4M-157.0K0.4773.96N/AN/A1,12753010,5448,106
2014-02-04$81.31$84.3717.2%4.9%16.8%50.6%15.7%3.8%0.1%454.1K5.6M-149.3K0.1490.70N/AN/A3,30546810,9888,307
2014-02-05$82.26$84.3718.3%5.2%16.5%56.9%15.5%3.4%-0.9%440.9K16.5K-149.8K0.0693.22N/AN/A1,9361219,5258,235
2014-02-06$82.20$84.3718.3%5.2%16.5%56.8%16.1%2.9%-1.7%503.7K639.5K-147.5K0.7781.99N/AN/A118929,6358,253
2014-02-07$84.46$80.5314.1%4.4%19.1%32.9%16.6%2.2%1.4%2.4M-18.8M-142.7K0.6678.93N/AN/A1951279,6908,300
2014-02-10$85.09$80.5314.9%4.5%19.2%37.5%16.2%2.2%1.4%2.6M-26.4M-129.4K1.0381.93N/AN/A89929,5498,277
2014-02-11$86.66$80.5314.5%4.2%19.8%35.2%16.2%2.8%2.0%3.1M-38.6M-113.4K0.7082.82N/AN/A2852009,5258,264
2014-02-12$86.91$80.5311.1%4.1%19.7%15.4%17.1%2.4%2.2%2.9M-42.3M-111.3K1.2183.88N/AN/A1321599,6858,187
2014-02-13$87.70$80.5313.8%3.9%19.9%30.6%17.4%3.0%2.2%2.5M-49.7M-94.1K2.5083.98N/AN/A421049,7188,104
2014-02-14$87.74$80.5313.9%4.0%19.9%31.3%15.1%2.2%2.0%2.2M-49.2M-97.5K1.4878.21N/AN/A2934319,7388,048
2014-02-18$88.49$80.5314.2%4.1%19.9%33.3%16.6%2.7%2.2%2.0M-53.3M-86.9K4.1180.60N/AN/A481989,5658,036
2014-02-19$87.43$80.5314.5%4.2%20.5%35.0%15.5%2.1%1.6%1.8M-47.8M-89.5K1.3885.74N/AN/A3825279,5097,983
2014-02-20$88.60$80.5314.2%4.1%20.9%33.4%18.2%3.1%1.8%2.0M-53.2M-85.9K0.2185.83N/AN/A220469,4418,031
2014-02-21$88.19$80.5314.0%4.0%20.6%32.1%17.3%2.2%2.0%3.9M-51.0M-88.8K0.1381.74N/AN/A523699,5648,001
2014-02-24$88.20$80.5314.2%4.1%18.1%33.1%18.2%2.1%0.3%1.5M-30.6M-80.1K1.4166.56N/AN/A1922706,0736,946
2014-02-25$87.84$80.5314.2%4.1%17.9%33.4%14.9%1.8%0.4%1.3M-27.5M-90.8K1.9265.88N/AN/A2625046,0957,142
2014-02-26$88.12$80.5313.9%4.0%17.6%31.3%16.6%2.4%0.6%1.4M-28.9M-88.2K3.1371.22N/AN/A702206,2187,165
2014-02-27$88.28$80.5313.7%3.9%17.4%30.2%15.7%2.1%0.7%1.4M-29.1M-89.8K0.2572.10N/AN/A121316,2247,339
2014-02-28$88.37$80.5313.7%3.9%17.4%30.3%19.9%3.4%0.8%1.5M-29.8M-89.3K0.9781.02N/AN/A8318016,2617,356