BDX Options History — November 2014

In November 2014, BDX traded between $96.18 and $108.34. ATM implied volatility averaged 14.6%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.6% (HV 20d: 17.2%). Max pain ranged from $84.37 to $88.20. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2014-11-26: Highest Volume — 4,690 contracts
  • 2014-11-07: Largest IV spike — 36.1% change
  • 2014-11-03: Highest IV Rank — 68.8%
  • 2014-11-03: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.02$96.18$108.34$97.72$107.63
Max Pain$84.57$84.37$88.20$84.37$88.20
ATM IV14.6%12.5%20.5%20.5%16.4%
Expected Move4.4%4.1%4.9%4.9%4.5%
HV 20d17.2%13.5%23.1%20.6%23.1%
HV 60d21.8%20.8%24.1%20.8%24.1%
IV Rank33.0%20.4%68.8%68.8%43.7%
IV Percentile50.5%16.7%96.4%96.4%78.2%
Term Structure0.5%-3.4%2.0%-3.4%-0.3%
VWIV15.8%14.8%17.8%17.8%16.3%
Skew 25d2.4%0.1%4.7%4.4%0.1%
Skew 10d5.0%1.5%10.8%6.7%1.8%
Call IV 25d13.6%9.7%17.8%17.8%16.3%
Put IV 25d16.0%14.3%22.2%22.2%16.4%
Bid-Ask Spread %59.5352.8870.7457.3960.92
Gamma HHI0.440.240.700.240.24
Net GEX2.1M1.2M4.4M2.6M1.9M
Net DEX-54.5M-68.9M-39.2M-49.8M-68.9M
Net VEX-100.6K-132.4K-53.4K-128.6K-103.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.224.023.440.73
Total Volume1,398.5261764,6902,578189
Total OI17,117.63212,02418,69816,51716,047

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$97.72$84.3720.5%4.9%20.6%68.8%17.8%4.4%-3.4%2.6M-49.8M-128.6K3.4457.39N/AN/A5811,9979,4277,090
2014-11-04$96.92$84.3715.3%4.6%19.0%37.2%15.2%1.8%0.7%1.7M-44.4M-122.3K4.0253.74N/AN/A5982,4059,4018,174
2014-11-05$97.57$84.3716.2%4.7%18.4%42.5%15.3%2.8%-1.7%1.3M-45.2M-129.9K2.4454.41N/AN/A5771,4099,4388,987
2014-11-06$98.14$84.3712.8%4.3%17.9%22.0%15.2%1.5%0.5%1.4M-48.4M-120.7K2.0952.88N/AN/A5631,1789,4819,013
2014-11-07$96.18$84.3717.4%4.4%19.2%49.8%16.3%3.9%-0.4%1.6M-42.2M-132.4K1.1063.66N/AN/A6146779,4848,577
2014-11-10$98.32$84.3715.1%4.3%19.7%35.7%15.9%2.3%0.9%1.8M-49.7M-110.1K0.8160.76N/AN/A6185019,5488,651
2014-11-11$98.71$84.3713.1%4.3%19.7%23.7%16.2%2.1%1.7%2.0M-54.6M-100.8K0.9761.49N/AN/A5385249,3898,580
2014-11-12$99.20$84.3712.5%4.1%18.8%20.4%14.8%3.1%0.9%2.2M-56.6M-105.4K0.9357.46N/AN/A5705329,5858,641
2014-11-13$99.15$84.3713.9%4.3%13.7%28.7%15.2%1.7%1.3%2.1M-58.0M-105.4K1.1655.04N/AN/A3984639,6208,741
2014-11-14$99.09$84.3713.6%4.3%13.6%26.7%17.1%2.1%1.4%2.2M-57.6M-103.3K0.4762.09N/AN/A120569,6428,746
2014-11-17$99.34$84.3713.3%4.3%13.5%24.9%15.4%3.0%1.9%2.4M-58.8M-100.2K0.8158.30N/AN/A4964019,6658,756
2014-11-18$100.39$84.3714.2%4.3%13.8%30.7%15.2%2.4%1.1%2.5M-64.3M-90.0K0.7158.46N/AN/A6864879,6758,793
2014-11-19$99.79$84.3713.8%4.5%14.1%28.3%15.9%2.1%2.0%2.7M-61.4M-96.3K0.2266.62N/AN/A181399,8338,865
2014-11-20$99.97$84.3713.4%4.4%14.0%25.8%15.6%2.0%1.7%4.4M-60.6M-85.0K1.0462.30N/AN/A4164329,4838,706
2014-11-21$99.95$84.3713.4%4.2%13.9%25.5%15.5%3.1%1.2%2.8M-61.0M-83.1K0.3955.09N/AN/A1,1974629,5118,704
2014-11-24$100.56$84.3713.0%4.3%13.9%23.4%15.5%2.2%0.7%1.8M-39.2M-77.7K1.0856.91N/AN/A1321426,1425,882
2014-11-25$103.44$84.3714.2%4.7%16.7%30.4%15.8%4.7%-0.2%1.5M-49.2M-62.9K0.2562.80N/AN/A1,3663376,1685,897
2014-11-26$108.34$84.3715.5%4.8%22.7%38.1%16.7%0.6%0.4%1.2M-65.8M-53.4K0.3870.74N/AN/A3,3961,2946,9415,952
2014-11-28$107.63$88.2016.4%4.5%23.1%43.7%16.3%0.1%-0.3%1.9M-68.9M-103.1K0.7360.92N/AN/A109808,9947,053