BDX Options History — March 2014

In March 2014, BDX traded between $87.10 and $89.80. ATM implied volatility averaged 13.8%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.0% (HV 20d: 11.8%). Max pain ranged from $80.53 to $88.20. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2014-03-05: Highest Volume — 6,004 contracts
  • 2014-03-13: Largest IV spike — 7.6% change
  • 2014-03-03: Highest IV Rank — 38.9%
  • 2014-03-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.54$87.10$89.80$88.16$89.80
Max Pain$85.65$80.53$88.20$80.53$88.20
ATM IV13.8%12.8%15.2%15.2%13.1%
Expected Move4.0%3.7%4.4%4.4%3.8%
HV 20d11.8%9.2%17.5%17.5%11.4%
HV 60d14.9%14.1%15.6%15.5%14.5%
IV Rank30.8%25.1%38.9%38.9%26.7%
IV Percentile28.4%12.3%57.1%57.1%15.1%
Term Structure1.8%-0.2%3.1%-0.2%2.0%
VWIV14.6%12.3%25.0%19.8%12.7%
Skew 25d2.7%1.6%3.6%2.7%1.8%
Skew 10d5.7%0.6%8.5%6.5%6.2%
Call IV 25d12.9%11.4%14.7%14.7%11.4%
Put IV 25d15.6%13.3%17.3%17.3%13.3%
Bid-Ask Spread %85.5775.7096.4676.3796.32
Gamma HHI0.380.250.590.260.59
Net GEX1.6M703.2K2.9M1.5M2.0M
Net DEX-12.6M-34.6M-4.2M-29.0M-11.3M
Net VEX-85.7K-94.9K-79.9K-88.3K-83.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0213.853.380.15
Total Volume622.048386,0041,05080
Total OI10,693.197,06313,27713,2777,379

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$88.16$80.5315.2%4.4%17.5%38.9%19.8%2.7%-0.2%1.5M-29.0M-88.3K3.3876.37N/AN/A2408106,3276,950
2014-03-04$89.51$80.5314.5%4.2%14.3%35.0%15.2%3.2%0.3%1.6M-34.6M-85.4K0.5075.70N/AN/A4222116,3806,702
2014-03-05$89.19$80.5314.3%4.1%14.7%33.8%25.0%3.6%0.2%1.6M-33.0M-86.3K0.0279.35N/AN/A5,9001046,4456,664
2014-03-06$88.33$88.2014.0%4.0%15.3%31.8%16.2%2.7%0.2%834.3K-9.3M-80.6K2.0478.83N/AN/A1222513,6436,683
2014-03-07$88.64$84.3714.3%4.2%15.2%33.7%14.5%2.3%1.4%1.0M-9.4M-80.5K1.2176.89N/AN/A45533,6796,795
2014-03-10$88.67$84.3714.0%4.2%12.4%32.1%14.9%2.3%1.7%1.1M-9.8M-79.9K13.8577.55N/AN/A273613,7086,813
2014-03-11$88.46$84.3713.7%4.1%12.4%30.0%12.8%3.0%2.0%949.3K-8.5M-82.7K0.0681.17N/AN/A1,034593,7137,055
2014-03-12$88.56$84.3713.2%4.0%10.8%27.6%12.6%2.8%2.0%1.6M-10.3M-89.4K0.5280.95N/AN/A4692434,6827,079
2014-03-13$88.35$84.3714.2%4.1%10.8%33.5%14.3%2.6%2.3%1.7M-10.1M-92.7K0.6788.11N/AN/A126855,1257,161
2014-03-14$88.47$84.3714.3%4.1%10.4%33.8%13.6%2.3%2.5%1.9M-10.9M-94.9K0.5188.65N/AN/A2721405,2067,186
2014-03-17$88.68$88.2014.1%4.0%10.4%32.3%12.8%2.9%2.4%2.2M-12.0M-91.4K0.6388.68N/AN/A84525,3987,196
2014-03-18$89.59$84.3714.1%4.0%10.6%32.6%13.8%3.3%1.9%2.4M-15.6M-92.0K0.7889.83N/AN/A126995,4677,177
2014-03-19$88.71$84.3713.7%3.9%10.3%30.0%13.8%2.4%2.7%2.3M-12.2M-90.1K0.6895.27N/AN/A2451655,4687,238
2014-03-20$88.71$88.2013.3%3.8%9.2%28.1%13.3%2.9%2.6%2.5M-12.2M-89.2K0.1089.62N/AN/A238235,3797,100
2014-03-21$87.87$88.2012.8%3.7%9.6%25.1%12.3%2.9%3.1%2.9M-5.5M-83.7K1.6591.51N/AN/A1141905,4287,116
2014-03-24$87.10$88.2013.7%3.9%10.1%30.1%13.6%2.4%1.4%703.2K-4.2M-80.9K0.5576.73N/AN/A1981084,3882,675
2014-03-25$87.67$88.2013.3%3.8%10.3%27.7%14.7%2.5%2.7%880.6K-5.1M-83.0K1.3081.24N/AN/A52674,4532,740
2014-03-26$87.84$88.2013.4%3.8%10.3%28.7%13.2%1.6%1.6%1.1M-6.5M-82.0K0.1693.89N/AN/A3354,4792,803
2014-03-27$88.31$88.2013.1%3.8%10.5%26.7%13.1%2.7%2.5%1.1M-6.9M-82.4K0.0693.73N/AN/A14894,4892,809
2014-03-28$88.62$88.2013.4%3.8%10.5%28.4%13.4%3.0%2.0%1.3M-8.2M-82.4K0.2496.46N/AN/A43104,5742,805
2014-03-31$89.80$88.2013.1%3.8%11.4%26.7%12.7%1.8%2.0%2.0M-11.3M-83.1K0.1596.32N/AN/A70104,5742,805