BDX Options History — May 2014

In May 2014, BDX traded between $85.59 and $90.50. ATM implied volatility averaged 13.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.3% (HV 20d: 13.3%). Max pain ranged from $84.37 to $88.20. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2014-05-02: Highest Volume — 841 contracts
  • 2014-05-02: Largest IV drop — 25.4% change
  • 2014-05-01: Highest IV Rank — 57.9%
  • 2014-05-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.87$85.59$90.50$85.59$90.27
Max Pain$84.73$84.37$88.20$88.20$84.37
ATM IV13.6%11.6%18.5%18.5%12.9%
Expected Move4.0%3.7%5.3%5.3%3.7%
HV 20d13.3%9.7%17.4%16.8%9.7%
HV 60d13.4%12.8%14.6%14.6%12.8%
IV Rank24.1%8.5%57.9%57.9%16.4%
IV Percentile26.2%2.8%92.5%92.5%12.7%
Term Structure0.5%-5.0%2.5%-5.0%1.4%
VWIV14.2%11.7%16.6%15.6%14.3%
Skew 25d2.8%0.7%4.3%0.7%2.9%
Skew 10d5.6%-3.5%9.4%-3.5%8.1%
Call IV 25d12.5%11.3%14.7%14.7%11.6%
Put IV 25d15.4%14.6%16.3%15.4%14.6%
Bid-Ask Spread %72.3853.1896.5496.5476.65
Gamma HHI0.290.220.420.260.34
Net GEX901.9K-586.6K2.1M-586.6K1.0M
Net DEX-8.0M-16.6M4.7M4.7M-9.2M
Net VEX-71.5K-82.6K-62.0K-79.4K-62.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0212.501.4812.50
Total Volume218.6673584121670
Total OI8,524.2867,7049,4298,6607,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$85.59$88.2018.5%5.3%16.8%57.9%15.6%0.7%-5.0%-586.6K4.7M-79.4K1.4896.54N/AN/A881283,8814,779
2014-05-02$86.36$88.2013.8%4.0%17.2%30.7%14.6%0.9%-0.1%-325.8K1.6M-82.6K3.6495.67N/AN/A1816603,9384,774
2014-05-05$87.05$84.3714.5%4.0%17.3%35.2%16.6%2.9%1.6%66.7K-240.4K-77.5K0.8073.20N/AN/A27204,0184,512
2014-05-06$87.70$84.3712.8%4.0%17.4%25.0%14.0%2.6%2.1%471.7K-3.5M-77.1K0.0676.83N/AN/A721454,0354,518
2014-05-07$88.46$84.3713.2%4.1%16.9%27.3%14.6%3.6%1.1%1.2M-7.3M-77.6K0.3377.17N/AN/A127424,3884,537
2014-05-08$89.35$84.3714.0%4.1%16.4%32.1%13.2%2.9%1.2%1.4M-11.8M-76.1K0.6175.18N/AN/A1921164,4054,531
2014-05-09$90.02$84.3711.9%4.1%13.5%20.0%14.7%3.6%1.1%1.6M-14.4M-75.5K1.6077.93N/AN/A711144,5254,588
2014-05-12$90.50$84.3711.6%3.7%12.3%8.5%16.6%2.7%2.1%1.6M-16.6M-73.5K0.2274.16N/AN/A235514,5724,670
2014-05-13$90.20$84.3712.8%3.7%11.8%15.7%15.4%3.0%2.5%1.6M-16.2M-74.9K1.0371.34N/AN/A42434,7054,701
2014-05-14$89.90$84.3713.9%4.1%11.7%23.2%11.7%3.3%0.9%1.6M-14.4M-74.0K1.4565.69N/AN/A27384,7144,715
2014-05-15$88.80$84.3714.2%4.1%12.3%24.8%14.5%1.7%1.4%2.1M-11.1M-73.2K0.7570.01N/AN/A134994,7224,634
2014-05-16$89.24$84.3714.0%4.0%12.3%23.4%12.5%3.4%1.5%1.4M-13.1M-71.6K0.0274.23N/AN/A617134,7144,648
2014-05-19$89.06$84.3714.4%4.1%12.1%26.2%15.1%2.7%-1.1%686.1K-6.8M-68.7K1.3060.95N/AN/A791023,8173,887
2014-05-20$88.50$84.3713.9%4.0%12.3%23.1%15.2%2.8%-0.1%580.6K-5.8M-69.6K1.0864.31N/AN/A17183,8363,962
2014-05-21$88.97$84.3713.6%3.9%12.3%20.8%13.3%3.1%0.0%720.2K-6.9M-67.8K0.6862.31N/AN/A24173,8393,967
2014-05-22$88.62$84.3713.2%3.8%12.4%18.7%13.1%2.9%0.2%631.9K-6.0M-66.2K0.3363.57N/AN/A60193,8583,984
2014-05-23$88.74$84.3713.0%3.7%11.3%16.9%11.8%2.6%0.3%650.9K-6.1M-65.5K0.8453.18N/AN/A24203,8824,002
2014-05-27$89.40$84.3713.4%3.8%11.5%19.9%13.3%3.4%0.4%828.0K-7.6M-62.9K4.9256.77N/AN/A17843,8994,014
2014-05-28$89.69$84.3713.5%3.9%11.2%20.7%14.0%3.0%-0.1%946.1K-8.9M-62.5K1.0476.11N/AN/A36373,9054,023
2014-05-29$89.74$84.3713.4%3.8%11.0%19.9%14.3%4.3%-0.0%836.3K-7.9M-63.3K0.6278.17N/AN/A85523,9194,030
2014-05-30$90.27$84.3712.9%3.7%9.7%16.4%0.0%2.9%1.4%1.0M-9.2M-62.0K12.5076.65N/AN/A5653,9234,039