BDX Options History — October 2014

In October 2014, BDX traded between $87.13 and $99.59. ATM implied volatility averaged 18.6%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 10.8% (HV 20d: 29.3%). Max pain ranged from $84.37 to $88.20. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.59.

Notable Days

  • 2014-10-06: Highest Volume — 5,616 contracts
  • 2014-10-13: Largest IV spike — 30.9% change
  • 2014-10-15: Highest IV Rank — 98.8%
  • 2014-10-16: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.31$87.13$99.59$87.13$98.76
Max Pain$86.20$84.37$88.20$88.20$84.37
ATM IV18.6%13.6%25.5%14.0%16.0%
Expected Move4.9%4.5%5.6%4.6%4.5%
HV 20d29.3%9.3%34.4%9.3%33.2%
HV 60d19.4%10.3%21.7%10.3%20.8%
IV Rank57.0%27.0%98.8%29.4%41.6%
IV Percentile85.3%38.9%99.6%48.0%73.0%
Term Structure-0.3%-1.4%2.3%1.2%-1.4%
VWIV18.3%15.8%20.9%17.1%17.3%
Skew 25d2.5%-0.7%5.3%-0.7%1.3%
Skew 10d5.1%-3.8%11.3%-3.8%5.8%
Call IV 25d17.7%15.4%21.2%15.7%16.6%
Put IV 25d20.2%15.1%24.5%15.1%17.9%
Bid-Ask Spread %51.3141.7485.9359.0143.30
Gamma HHI0.270.190.490.340.26
Net GEX2.7M236.4K4.8M236.4K2.8M
Net DEX-46.4M-81.6M4.0M4.0M-56.7M
Net VEX-133.1K-159.3K-93.8K-93.8K-126.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.061.380.060.93
Total Volume1,678.261975,6167322,126
Total OI15,851.04311,12618,29811,12616,241

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$87.13$88.2014.0%4.6%9.3%29.4%17.1%-0.7%1.2%236.4K4.0M-93.8K0.0659.01N/AN/A693396,6884,438
2014-10-02$87.53$88.2013.6%4.6%9.4%27.0%0.0%-0.2%2.3%746.7K168.0K-102.6K0.1056.59N/AN/A8897,3474,470
2014-10-03$88.85$88.2014.1%4.5%11.0%30.2%15.8%0.3%2.0%1.8M-6.5M-109.4K0.7654.02N/AN/A1,2729697,3944,474
2014-10-06$95.86$88.2017.7%4.6%28.8%51.8%16.4%2.9%-0.2%2.9M-54.5M-107.5K0.5685.93N/AN/A3,6112,0058,2935,369
2014-10-07$98.17$84.3719.4%4.6%29.6%61.8%17.3%1.8%-0.6%2.6M-71.2M-124.0K0.5558.19N/AN/A1,8109979,8246,354
2014-10-08$99.59$88.2020.0%4.6%29.6%65.5%16.8%3.1%-1.0%2.9M-81.6M-129.4K0.9142.52N/AN/A89481811,1066,689
2014-10-09$98.23$88.2017.6%5.0%30.4%51.2%17.8%2.7%-0.6%3.3M-77.3M-133.5K0.8847.69N/AN/A70261911,3586,647
2014-10-10$98.39$88.2017.3%5.0%29.6%49.0%18.1%2.6%-0.4%3.3M-76.5M-141.7K0.8041.74N/AN/A53342711,4806,693
2014-10-13$96.57$88.2022.6%5.0%30.9%81.1%17.5%3.0%-0.4%3.6M-67.5M-148.5K0.2543.34N/AN/A1,58239811,5656,717
2014-10-14$97.19$88.2020.7%5.1%30.9%69.9%17.6%3.6%-1.4%3.0M-67.3M-144.1K0.2842.44N/AN/A1,50741711,2946,770
2014-10-15$95.74$88.2025.5%5.0%31.7%98.8%17.7%5.3%1.5%3.3M-58.6M-133.1K0.6752.33N/AN/A61641311,3456,759
2014-10-16$92.64$88.2022.6%5.6%34.4%81.4%20.7%3.3%-1.0%4.7M-35.9M-151.4K0.4751.26N/AN/A68632211,0986,682
2014-10-17$93.37$84.3721.3%5.5%34.0%73.4%20.6%3.4%-0.8%4.8M-43.8M-155.7K0.0646.16N/AN/A1,4769211,5186,780
2014-10-20$94.06$84.3720.2%5.3%33.7%66.9%20.9%3.6%-0.4%1.9M-30.7M-159.3K0.3949.46N/AN/A1,3655288,9925,950
2014-10-21$94.53$84.3718.8%5.1%33.7%58.3%20.1%1.6%-0.3%2.1M-34.6M-154.8K0.3845.43N/AN/A1,2864879,1605,995
2014-10-22$94.95$84.3718.4%5.1%33.6%55.9%18.8%2.6%-0.8%2.3M-37.5M-147.4K1.3854.04N/AN/A3995509,2356,108
2014-10-23$95.70$84.3718.0%5.0%33.6%53.2%19.0%1.8%0.0%2.4M-40.8M-144.7K0.8556.04N/AN/A6965949,2196,212
2014-10-24$96.43$84.3717.8%4.9%33.6%52.2%19.0%2.3%-0.4%2.5M-44.6M-135.8K0.9443.33N/AN/A4964679,1986,322
2014-10-27$96.43$84.3718.6%5.0%33.7%56.7%19.4%3.4%-1.0%2.4M-43.0M-136.4K0.3652.40N/AN/A1,4165059,1066,321
2014-10-28$97.02$84.3717.6%4.8%33.5%50.9%18.6%2.6%-1.1%2.7M-46.7M-133.9K0.6146.89N/AN/A1,1897249,4296,382
2014-10-29$97.25$84.3719.4%4.8%33.4%61.9%18.1%2.9%-1.2%2.7M-47.1M-123.9K0.8457.02N/AN/A5794879,2136,523
2014-10-30$97.81$84.3716.2%4.6%33.4%42.8%17.6%3.1%-0.5%2.7M-49.5M-124.5K0.5751.07N/AN/A1,0896229,2366,580
2014-10-31$98.76$84.3716.0%4.5%33.2%41.6%17.3%1.3%-1.4%2.8M-56.7M-126.0K0.9343.30N/AN/A1,0991,0279,5816,660