BDX Options History — August 2014

In August 2014, BDX traded between $88.03 and $90.67. ATM implied volatility averaged 13.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 12.8%). Max pain ranged from $84.37 to $88.20. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2014-08-13: Highest Volume — 1,273 contracts
  • 2014-08-22: Largest IV spike — 40.9% change
  • 2014-08-12: Highest IV Rank — 55.2%
  • 2014-08-07: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.71$88.03$90.67$89.03$89.87
Max Pain$87.66$84.37$88.20$88.20$84.37
ATM IV13.7%9.1%18.8%15.3%12.5%
Expected Move4.7%4.3%5.1%4.8%4.4%
HV 20d12.8%9.6%14.1%11.8%9.8%
HV 60d10.5%10.3%10.8%10.4%10.5%
IV Rank24.3%0.0%55.2%32.2%20.5%
IV Percentile36.8%0.0%95.2%67.9%15.5%
Term Structure0.7%-0.7%2.5%0.5%0.2%
VWIV17.0%15.5%19.8%18.0%15.6%
Skew 25d1.4%-1.1%2.9%1.7%2.9%
Skew 10d2.8%-1.4%6.5%4.2%5.9%
Call IV 25d13.5%10.6%17.2%15.2%10.6%
Put IV 25d14.9%12.9%17.5%16.9%13.5%
Bid-Ask Spread %63.6743.8575.3760.8475.37
Gamma HHI0.250.220.320.220.30
Net GEX66.2K-895.3K1.1M467.6K-713.5K
Net DEX-266.3K-4.6M3.6M-1.0M1.6M
Net VEX-84.4K-96.8K-72.0K-94.7K-76.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0614.740.643.28
Total Volume305.571661,27321199
Total OI13,389.8112,55515,01212,78513,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$89.03$88.2015.3%4.8%11.8%32.2%18.0%1.7%0.5%467.6K-1.0M-94.7K0.6460.84N/AN/A128838,5214,264
2014-08-04$89.65$84.3713.3%4.7%12.2%19.4%17.3%2.4%-0.3%575.5K-3.0M-90.7K0.7655.58N/AN/A1551188,6224,292
2014-08-05$88.84$88.2016.1%4.8%12.4%37.7%17.4%0.4%0.1%441.3K-1.2M-89.6K10.5854.63N/AN/A939798,6704,321
2014-08-06$88.83$88.2016.2%4.8%12.5%38.1%19.8%2.0%0.6%-180.4K3.6M-89.9K0.0643.85N/AN/A6248,7464,794
2014-08-07$88.03$88.2015.1%5.1%12.7%31.2%19.4%-1.1%-0.0%-245.8K3.0M-96.8K0.8946.23N/AN/A50458,7984,797
2014-08-08$89.24$88.2015.8%4.9%13.7%35.6%17.0%1.6%0.1%-37.3K104.3K-94.2K5.3256.42N/AN/A452378,8104,816
2014-08-11$89.45$88.2016.0%4.9%13.7%36.5%16.7%2.3%0.5%-15.8K1.2M-86.6K0.1461.14N/AN/A237338,7835,027
2014-08-12$89.56$88.2018.8%4.9%13.7%55.2%15.5%1.3%0.9%225.4K218.9K-84.0K1.0266.65N/AN/A52538,8855,042
2014-08-13$90.31$88.2015.7%4.6%14.1%34.9%16.9%0.9%1.9%902.8K-2.6M-78.9K14.7469.72N/AN/A811,1928,9295,052
2014-08-14$90.55$88.2012.8%4.6%13.4%16.1%15.8%0.5%2.5%1.1M-4.6M-84.3K2.0669.83N/AN/A2334808,7975,668
2014-08-15$89.94$88.2013.3%5.0%13.3%19.0%17.4%0.7%2.1%-56.9K-363.7K-89.8K1.9470.12N/AN/A1212358,9466,066
2014-08-18$90.43$88.2012.5%4.5%13.2%14.2%16.1%1.6%0.9%349.3K-2.1M-86.7K0.3367.43N/AN/A169567,1105,445
2014-08-19$90.67$88.2011.9%4.4%13.2%10.0%18.2%0.7%1.0%342.7K-2.4M-82.3K1.1664.05N/AN/A57667,2215,495
2014-08-20$90.23$88.2011.8%4.3%13.3%9.8%16.0%2.5%1.2%213.9K-1.1M-86.4K1.7670.08N/AN/A761367,2545,538
2014-08-21$90.14$88.209.1%4.5%13.3%0.0%16.2%1.9%1.7%-1.9K-657.3K-81.1K0.7371.31N/AN/A97707,2675,655
2014-08-22$89.71$88.2012.9%4.6%13.4%22.4%16.6%0.7%0.4%-193.4K586.4K-80.0K0.2369.65N/AN/A223527,3505,668
2014-08-25$90.09$88.2013.4%4.5%13.4%25.4%17.1%1.1%-0.7%-96.3K-326.1K-76.3K0.4569.75N/AN/A86397,4955,701
2014-08-26$90.30$88.2011.4%4.4%13.4%13.6%15.9%1.9%1.1%-161.8K-641.2K-77.9K0.2073.01N/AN/A73147,5435,727
2014-08-27$89.61$88.2012.4%4.7%13.5%19.5%17.6%1.4%0.3%-634.4K1.5M-74.7K0.6956.85N/AN/A121847,5495,730
2014-08-28$89.34$84.3712.3%4.5%9.6%19.0%17.2%1.9%0.3%-895.3K2.6M-72.0K0.3064.65N/AN/A141427,5595,794
2014-08-29$89.87$84.3712.5%4.4%9.8%20.5%15.6%2.9%0.2%-713.5K1.6M-76.0K3.2875.37N/AN/A23767,6265,813