BDX Options History — July 2014

In July 2014, BDX traded between $89.15 and $92.20. ATM implied volatility averaged 16.3%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.8% (HV 20d: 9.5%). Max pain ranged from $88.20 to $92.04. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.15.

Notable Days

  • 2014-07-30: Highest Volume — 1,115 contracts
  • 2014-07-10: Largest IV spike — 17.8% change
  • 2014-07-11: Highest IV Rank — 50.3%
  • 2014-07-11: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.20$89.15$92.20$91.87$89.15
Max Pain$90.03$88.20$92.04$92.04$88.20
ATM IV16.3%14.4%18.1%14.9%14.5%
Expected Move4.8%4.1%5.2%4.3%5.1%
HV 20d9.5%7.3%11.9%10.5%11.9%
HV 60d10.4%9.0%12.8%12.8%10.6%
IV Rank38.5%26.5%50.3%29.6%27.3%
IV Percentile75.5%54.4%91.3%64.3%54.8%
Term Structure-0.3%-1.7%4.3%2.6%4.3%
VWIV17.9%14.4%23.3%14.9%18.5%
Skew 25d0.1%-3.9%2.3%2.3%-3.9%
Skew 10d1.0%-8.0%15.2%1.8%-8.0%
Call IV 25d17.4%14.9%19.1%14.9%16.9%
Put IV 25d17.5%13.0%18.7%17.2%13.0%
Bid-Ask Spread %73.7547.5498.0695.4954.61
Gamma HHI0.310.230.340.320.23
Net GEX2.8M852.3K4.1M3.7M852.3K
Net DEX-13.8M-23.2M-4.2M-20.7M-4.2M
Net VEX-127.6K-162.5K-99.6K-159.9K-99.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0120.000.121.02
Total Volume219191,115151344
Total OI13,798.40911,37415,65114,73812,689

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$91.87$92.0414.9%4.3%10.5%29.6%14.9%2.3%2.6%3.7M-20.7M-159.9K0.1295.49N/AN/A1361510,6504,088
2014-07-02$91.94$92.0414.5%4.2%10.1%27.4%0.0%0.2%2.4%3.8M-22.0M-162.5K0.6796.28N/AN/A11810,7184,092
2014-07-03$92.13$92.0414.4%4.1%10.0%26.5%14.4%1.6%2.7%4.0M-23.0M-157.0K1.8698.06N/AN/A183410,7234,101
2014-07-07$92.20$88.2015.1%4.9%10.0%31.2%17.6%0.7%-0.4%4.1M-23.2M-151.2K0.0476.84N/AN/A3181310,7244,111
2014-07-08$91.87$88.2015.4%4.9%9.5%33.2%17.4%1.1%-0.8%4.0M-22.1M-150.9K0.5480.58N/AN/A371910,8454,114
2014-07-09$91.63$88.2015.0%5.0%9.2%30.4%17.9%-0.1%-1.3%3.8M-19.7M-150.1K0.3983.71N/AN/A803210,8374,133
2014-07-10$91.17$92.0417.7%5.1%9.3%47.8%17.9%0.3%-1.3%3.5M-15.4M-140.2K20.0084.43N/AN/A3160010,8654,156
2014-07-11$91.55$92.0418.1%5.2%9.0%50.3%18.6%1.0%-1.5%3.7M-16.0M-144.7K6.3381.12N/AN/A42410,8684,745
2014-07-14$91.64$92.0417.7%5.1%8.8%48.0%17.8%-0.9%-1.3%4.1M-17.8M-139.9K1.2580.32N/AN/A273310,8684,756
2014-07-15$91.29$92.0417.2%4.9%8.8%44.8%17.9%0.0%-0.7%3.8M-13.9M-135.0K0.1684.73N/AN/A641010,8684,781
2014-07-16$91.29$92.0417.1%4.9%8.6%44.0%17.8%-0.9%-1.0%4.1M-13.7M-132.8K3.8881.75N/AN/A208110,8624,789
2014-07-17$90.20$92.0416.8%4.8%9.4%41.7%17.9%0.6%-0.2%2.4M-6.9M-116.0K0.2087.81N/AN/A2164510,7334,527
2014-07-18$90.97$92.0416.1%4.6%9.9%37.7%17.4%1.0%-0.6%3.2M-6.2M-117.3K4.2791.54N/AN/A3414510,8174,565
2014-07-21$90.38$0.0016.8%4.6%10.2%42.0%18.4%0.5%-1.1%1.3M-8.2M-110.4K0.8151.16N/AN/A1251027,6103,764
2014-07-22$90.69$88.2016.5%4.8%10.3%39.8%18.5%0.5%-1.1%1.5M-9.3M-108.2K0.3349.38N/AN/A240797,6833,855
2014-07-23$90.97$88.2016.6%4.7%10.2%40.8%0.0%0.4%-1.1%1.6M-9.4M-108.1K0.1666.13N/AN/A221367,6933,915
2014-07-24$90.88$88.2016.3%4.8%9.3%38.9%0.0%-0.1%-1.0%1.6M-10.1M-108.6K0.8960.37N/AN/A11107,7573,922
2014-07-25$90.79$88.2016.5%4.5%9.2%39.9%23.3%-0.2%-1.4%1.6M-8.9M-103.3K2.2348.41N/AN/A611377,7583,923
2014-07-28$91.13$88.2016.1%4.7%9.3%37.6%19.5%0.2%-1.1%1.7M-9.9M-102.3K0.7747.54N/AN/A34277,7694,044
2014-07-29$91.16$88.2016.7%4.6%8.4%41.5%0.0%-0.0%-1.7%1.8M-10.5M-100.1K1.3954.25N/AN/A931287,7804,064
2014-07-30$91.56$88.2017.6%4.8%7.3%47.1%15.8%-1.1%-1.2%1.9M-12.5M-109.7K0.0168.07N/AN/A1,10787,8384,165
2014-07-31$89.15$88.2014.5%5.1%11.9%27.3%18.5%-3.9%4.3%852.3K-4.2M-99.6K1.0254.61N/AN/A1701748,5194,170