BDX Options History — April 2014

In April 2014, BDX traded between $85.27 and $90.05. ATM implied volatility averaged 15.9%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 14.6%). Max pain ranged from $88.20 to $88.20. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2014-04-30: Highest Volume — 1,024 contracts
  • 2014-04-04: Largest IV spike — 42.9% change
  • 2014-04-29: Highest IV Rank — 71.1%
  • 2014-04-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.51$85.27$90.05$89.94$86.69
Max Pain$88.20$88.20$88.20$88.20$88.20
ATM IV15.9%10.3%20.7%13.5%18.4%
Expected Move4.7%3.0%5.9%3.9%5.3%
HV 20d14.6%9.3%17.0%10.1%16.3%
HV 60d15.2%14.2%16.2%14.5%14.4%
IV Rank42.8%10.8%71.1%28.9%57.7%
IV Percentile61.4%0.4%98.4%20.6%92.1%
Term Structure-0.4%-3.4%7.1%2.3%-2.4%
VWIV16.7%9.6%22.2%13.4%22.2%
Skew 25d3.2%1.8%5.1%2.9%5.1%
Skew 10d6.2%3.3%9.9%6.3%6.0%
Call IV 25d15.2%9.7%18.6%10.8%18.6%
Put IV 25d18.4%12.5%23.7%13.7%23.7%
Bid-Ask Spread %88.5981.6198.0393.5191.82
Gamma HHI0.320.190.660.610.20
Net GEX574.2K-45.0K2.1M2.1M18.2K
Net DEX-2.8M-12.2M2.7M-12.2M489.4K
Net VEX-80.1K-83.9K-71.8K-81.4K-80.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.295.922.364.00
Total Volume279.714281,0242061,024
Total OI7,998.4766,8228,9897,4047,800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$89.94$88.2013.5%3.9%10.1%28.9%13.4%2.9%2.3%2.1M-12.2M-81.4K2.3693.51N/AN/A611454,5892,815
2014-04-02$89.86$88.2012.9%3.7%10.0%25.6%12.9%2.6%2.5%2.0M-11.7M-81.7K1.1094.04N/AN/A38424,6402,947
2014-04-03$90.05$88.2010.3%3.0%9.3%10.8%9.6%2.9%7.1%2.1M-12.2M-78.7K3.4298.03N/AN/A411394,6732,974
2014-04-04$89.23$88.2014.8%4.4%9.9%36.5%14.9%2.2%1.9%1.9M-11.3M-83.5K0.2981.61N/AN/A4481274,6913,045
2014-04-07$88.54$88.2013.9%4.6%10.3%31.2%15.5%3.1%-0.6%981.1K-6.7M-79.7K1.2382.31N/AN/A1401724,9913,133
2014-04-08$87.24$88.2013.8%4.6%11.6%30.8%16.9%2.7%-0.6%413.2K-1.4M-77.1K1.8284.65N/AN/A591075,0543,280
2014-04-09$88.57$88.2012.4%4.5%12.8%22.7%14.8%3.2%-0.1%730.3K-5.2M-79.3K0.3587.49N/AN/A62225,0713,221
2014-04-10$86.39$88.2016.3%4.7%15.6%45.2%17.8%2.6%-0.8%244.8K-162.7K-74.9K3.1186.17N/AN/A23735,1203,231
2014-04-11$85.27$88.2018.1%5.2%16.1%56.0%16.5%3.6%-0.8%57.5K2.7M-71.8K3.8785.81N/AN/A1345155,1353,286
2014-04-14$86.46$88.2017.3%5.0%17.0%51.2%17.2%4.2%-0.9%69.9K1.8M-81.5K2.7888.56N/AN/A31845,1473,764
2014-04-15$87.25$88.2016.5%4.7%16.9%46.7%17.4%2.8%-1.1%241.9K259.5K-83.4K0.3787.74N/AN/A192705,1523,829
2014-04-16$86.62$88.2016.4%4.7%16.8%46.0%18.0%3.1%-0.5%210.9K569.1K-80.3K3.2786.00N/AN/A341115,2163,722
2014-04-17$86.79$88.2016.0%4.6%16.8%43.4%16.9%4.0%-0.7%199.6K879.1K-77.2K0.3188.90N/AN/A145455,2203,769
2014-04-21$87.54$88.2016.6%4.8%16.8%47.0%16.7%3.7%-1.3%194.0K-1.5M-76.7K3.2787.86N/AN/A2016583,3723,450
2014-04-22$87.58$88.2016.3%4.7%16.5%45.4%16.2%3.3%-1.2%212.5K-2.7M-83.9K5.9287.87N/AN/A502943,5324,013
2014-04-23$87.21$88.2016.8%4.8%16.4%48.2%17.0%2.5%-1.4%155.0K-1.6M-83.2K5.5590.20N/AN/A14803,5713,952
2014-04-24$87.47$88.2016.6%4.8%16.4%46.9%16.5%2.8%-1.2%193.9K-1.8M-82.6K0.8388.83N/AN/A15133,5743,994
2014-04-25$86.33$88.2017.8%5.1%16.9%53.9%18.3%1.8%-2.3%13.9K806.1K-82.7K1.6490.11N/AN/A801313,5904,007
2014-04-28$86.52$88.2017.8%5.1%16.9%54.2%20.7%3.8%-2.4%29.4K307.1K-81.8K2.8089.08N/AN/A391093,6144,070
2014-04-29$86.04$88.2020.7%5.9%16.0%71.1%20.7%3.9%-3.4%-45.0K1.2M-80.5K0.7289.73N/AN/A61453,6264,088
2014-04-30$86.69$88.2018.4%5.3%16.3%57.7%22.2%5.1%-2.4%18.2K489.4K-80.8K4.0091.82N/AN/A2058193,6854,115