BDX Options History — June 2014

In June 2014, BDX traded between $90.23 and $92.29. ATM implied volatility averaged 13.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.3% (HV 20d: 8.7%). Max pain ranged from $84.37 to $92.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2014-06-16: Highest Volume — 3,967 contracts
  • 2014-06-25: Largest IV spike — 16.6% change
  • 2014-06-30: Highest IV Rank — 31.7%
  • 2014-06-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.04$90.23$92.29$90.54$90.73
Max Pain$89.30$84.37$92.04$84.37$92.04
ATM IV13.1%10.9%15.2%12.8%15.2%
Expected Move3.8%3.3%4.4%3.7%4.4%
HV 20d8.7%8.0%9.6%9.4%9.6%
HV 60d12.7%12.5%13.0%12.7%12.7%
IV Rank17.7%3.8%31.7%15.9%31.7%
IV Percentile25.6%0.8%67.1%11.5%67.1%
Term Structure1.8%0.5%2.9%0.8%2.5%
VWIV14.0%12.0%18.8%14.1%15.8%
Skew 25d1.4%-1.0%3.3%3.1%-0.4%
Skew 10d3.7%-6.5%14.4%8.0%-6.5%
Call IV 25d13.5%11.0%17.6%11.4%16.3%
Put IV 25d14.9%13.2%16.8%14.5%15.9%
Bid-Ask Spread %91.9175.3498.3578.8092.03
Gamma HHI0.520.320.710.390.32
Net GEX3.4M1.1M4.6M1.1M3.2M
Net DEX-16.0M-23.1M-9.9M-11.3M-17.0M
Net VEX-116.5K-167.4K-61.0K-61.0K-152.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.027.070.651.75
Total Volume909.571693,967212205
Total OI11,858.818,03015,2458,03014,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$90.54$84.3712.8%3.7%9.4%15.9%14.1%3.1%0.8%1.1M-11.3M-61.0K0.6578.80N/AN/A128843,9254,105
2014-06-03$90.71$84.3713.1%3.8%9.1%18.1%12.7%2.3%0.5%1.2M-11.9M-61.5K0.0878.46N/AN/A2,8452253,9654,098
2014-06-04$91.44$84.3711.7%3.4%9.2%8.8%18.8%2.0%0.5%3.4M-21.5M-90.0K0.0875.34N/AN/A2,5442116,2704,298
2014-06-05$91.10$88.2011.3%3.3%9.1%6.6%12.3%3.3%1.1%3.4M-15.4M-99.3K0.1685.93N/AN/A398645,7604,507
2014-06-06$91.47$88.2010.9%3.5%8.6%3.8%12.8%2.5%2.2%3.8M-17.9M-101.5K0.0292.10N/AN/A15135,9344,523
2014-06-09$92.29$88.2011.8%3.7%8.7%9.6%12.0%2.6%2.1%4.1M-22.1M-100.1K0.0394.12N/AN/A959285,9034,523
2014-06-10$91.62$88.2011.7%3.7%9.1%8.8%12.6%1.8%1.8%4.3M-19.1M-101.8K0.3196.07N/AN/A188596,4904,544
2014-06-11$91.32$88.2011.4%3.6%9.1%6.6%12.4%1.7%2.0%4.5M-18.4M-101.9K1.3295.97N/AN/A73976,6184,588
2014-06-12$90.66$88.2012.7%3.7%9.4%15.6%12.9%1.3%1.6%3.6M-12.3M-95.4K1.1896.05N/AN/A71856,6004,680
2014-06-13$90.23$88.2012.6%3.6%8.4%14.4%12.7%0.4%2.4%3.2M-9.9M-92.0K0.4096.66N/AN/A100416,6324,713
2014-06-16$90.67$88.2014.2%4.1%8.4%25.2%14.1%0.5%1.5%4.5M-14.4M-95.1K0.1296.36N/AN/A3,5494186,6404,732
2014-06-17$90.30$88.2014.4%4.1%8.5%26.3%14.7%1.5%1.5%4.4M-16.3M-136.9K3.1095.18N/AN/A2547879,5074,939
2014-06-18$90.87$92.0413.8%4.0%8.3%22.4%13.8%1.5%1.8%4.6M-14.6M-144.0K1.0797.29N/AN/A73799,6115,634
2014-06-19$90.73$92.0414.2%4.1%8.2%24.9%14.2%0.5%1.7%4.1M-12.9M-139.8K0.1795.76N/AN/A281489,3765,524
2014-06-20$90.86$92.0413.3%3.8%8.0%19.3%13.5%1.5%2.9%3.9M-13.5M-137.8K0.2693.46N/AN/A55149,4525,566
2014-06-23$90.88$92.0413.7%3.9%8.0%21.5%14.1%1.3%1.6%2.4M-12.4M-133.3K0.5394.23N/AN/A128677,7073,237
2014-06-24$90.43$92.0412.4%3.6%8.0%13.6%13.2%1.8%2.8%2.4M-11.7M-130.7K0.3898.35N/AN/A198757,7993,286
2014-06-25$91.46$92.0414.5%4.2%8.8%27.0%18.0%-1.0%1.9%2.7M-17.5M-141.3K0.0494.36N/AN/A3,4711417,8793,356
2014-06-26$91.79$92.0414.3%4.1%8.8%25.9%15.9%0.8%2.4%3.8M-23.1M-167.4K0.0491.20N/AN/A3211410,5283,461
2014-06-27$91.73$92.0414.2%4.1%8.7%25.1%14.2%0.9%2.4%3.7M-22.4M-163.2K7.0792.46N/AN/A7049910,5873,475
2014-06-30$90.73$92.0415.2%4.4%9.6%31.7%15.8%-0.4%2.5%3.2M-17.0M-152.2K1.7592.03N/AN/A7413110,5883,475