BDX Options History — September 2014

In September 2014, BDX traded between $86.39 and $89.79. ATM implied volatility averaged 13.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.5% (HV 20d: 8.7%). Max pain ranged from $84.37 to $88.20. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2014-09-19: Highest Volume — 3,005 contracts
  • 2014-09-08: Largest IV spike — 12.8% change
  • 2014-09-23: Highest IV Rank — 35.4%
  • 2014-09-18: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.94$86.39$89.79$89.62$87.29
Max Pain$85.46$84.37$88.20$84.37$88.20
ATM IV13.2%11.1%15.0%13.1%13.9%
Expected Move4.6%4.4%4.7%4.4%4.6%
HV 20d8.7%7.3%9.7%9.6%9.4%
HV 60d10.4%10.3%10.6%10.5%10.3%
IV Rank24.4%12.1%35.4%23.9%28.5%
IV Percentile29.8%1.6%63.9%24.6%43.7%
Term Structure1.5%-0.1%2.7%-0.1%1.2%
VWIV16.7%15.3%19.2%15.3%16.2%
Skew 25d0.6%-2.4%2.1%0.8%-1.1%
Skew 10d1.5%-7.0%6.1%-0.3%-3.8%
Call IV 25d13.9%11.8%16.0%12.0%15.7%
Put IV 25d14.5%12.8%15.9%12.8%14.6%
Bid-Ask Spread %59.0748.9072.3672.3648.90
Gamma HHI0.410.270.670.330.36
Net GEX-1.4M-5.6M446.5K-717.0K309.4K
Net DEX6.9M571.3K14.4M850.4K3.1M
Net VEX-72.7K-94.2K-63.7K-68.3K-93.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.088.950.170.29
Total Volume617.2381313,005249331
Total OI12,784.2868,62815,40013,45010,919

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$89.62$84.3713.1%4.4%9.6%23.9%15.3%0.8%-0.1%-717.0K850.4K-68.3K0.1772.36N/AN/A212377,6385,812
2014-09-03$89.79$84.3712.2%4.5%9.0%18.5%17.4%1.1%0.3%-849.1K571.3K-66.6K0.6868.81N/AN/A81557,6135,838
2014-09-04$89.29$84.3711.7%4.6%9.2%15.7%16.3%1.6%1.1%-1.5M3.9M-67.4K0.0869.23N/AN/A598507,6245,856
2014-09-05$89.14$84.3711.1%4.6%8.6%12.1%19.2%1.8%1.9%-2.0M5.5M-64.9K0.6456.62N/AN/A2161397,4175,896
2014-09-08$88.31$84.3712.6%4.5%7.8%20.7%15.6%1.2%2.6%-2.1M8.0M-63.7K1.3549.14N/AN/A56757,5465,898
2014-09-09$88.63$84.3713.0%4.5%7.9%23.5%16.3%1.5%1.4%-2.1M7.3M-64.3K0.1260.07N/AN/A1,1691397,5625,928
2014-09-10$88.23$84.3712.7%4.6%8.0%21.3%16.3%1.2%2.2%-2.0M7.7M-67.9K0.2956.31N/AN/A151458,2575,931
2014-09-11$88.35$84.3713.7%4.7%7.3%27.3%16.7%2.1%2.1%-2.4M7.7M-68.2K1.2751.90N/AN/A3434348,2575,939
2014-09-12$87.21$84.3713.5%4.5%8.3%26.1%16.8%0.7%1.9%-2.4M14.2M-67.8K0.7150.63N/AN/A2801988,5966,225
2014-09-15$87.48$84.3713.4%4.6%8.3%25.6%16.0%0.9%2.0%-2.7M13.8M-68.5K0.9051.41N/AN/A3052738,7966,322
2014-09-16$87.66$84.3713.1%4.7%8.0%23.9%15.7%1.4%2.2%-2.8M13.1M-67.6K6.5656.71N/AN/A533518,9736,308
2014-09-17$87.84$84.3713.0%4.7%7.9%23.5%16.6%1.1%2.3%-2.9M11.3M-71.0K0.4266.06N/AN/A3781598,9986,374
2014-09-18$88.21$84.3712.7%4.7%8.1%21.7%17.8%0.4%2.7%-5.6M6.7M-72.6K8.9557.24N/AN/A565029,2186,099
2014-09-19$87.21$84.3713.8%4.5%8.9%28.0%18.4%-2.4%1.3%-1.9M14.4M-64.6K0.2955.03N/AN/A2,3356709,2186,182
2014-09-22$86.48$84.3714.9%4.5%9.1%34.6%16.5%-2.0%-0.1%13.8K5.7M-73.2K0.5865.19N/AN/A4162405,3823,246
2014-09-23$86.39$88.2015.0%4.7%8.9%35.4%17.6%-0.9%0.7%-50.0K6.3M-75.5K2.9856.11N/AN/A571705,5123,457
2014-09-24$87.22$88.2013.3%4.6%9.7%25.1%17.0%1.0%1.8%118.3K5.1M-75.4K0.5664.57N/AN/A162925,5653,623
2014-09-25$87.26$88.2013.6%4.7%9.5%26.9%16.7%1.1%1.2%301.8K3.9M-77.9K0.8758.69N/AN/A7546595,6273,644
2014-09-26$87.53$88.2013.3%4.5%9.6%24.8%15.8%0.7%1.7%441.2K2.9M-94.2K0.3360.34N/AN/A3591206,1914,243
2014-09-29$87.71$88.2013.5%4.6%9.3%26.1%15.8%0.3%1.4%446.5K2.4M-93.8K0.7865.23N/AN/A1361066,4244,316
2014-09-30$87.29$88.2013.9%4.6%9.4%28.5%16.2%-1.1%1.2%309.4K3.1M-93.0K0.2948.90N/AN/A257746,5424,377