BDX Options History — December 2014

In December 2014, BDX traded between $102.93 and $108.35. ATM implied volatility averaged 17.4%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 4.6% (HV 20d: 21.9%). Max pain ranged from $88.20 to $111.21. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2014-12-05: Highest Volume — 9,040 contracts
  • 2014-12-10: Largest IV spike — 31.6% change
  • 2014-12-10: Highest IV Rank — 83.7%
  • 2014-12-16: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.55$102.93$108.35$108.35$106.73
Max Pain$93.00$88.20$111.21$88.20$111.21
ATM IV17.4%15.5%23.0%17.6%16.3%
Expected Move5.2%4.8%5.6%5.0%5.4%
HV 20d21.9%16.6%25.4%23.0%16.7%
HV 60d24.4%20.1%25.3%24.1%20.1%
IV Rank49.6%38.4%83.7%50.8%43.3%
IV Percentile81.0%63.5%98.8%85.7%70.6%
Term Structure1.0%-0.6%2.5%-0.6%2.5%
VWIV19.2%17.1%22.5%17.6%19.5%
Skew 25d1.8%-0.2%4.8%2.4%1.8%
Skew 10d4.2%0.5%9.2%3.9%4.8%
Call IV 25d17.1%15.4%18.8%17.3%17.7%
Put IV 25d18.9%17.1%21.7%19.7%19.5%
Bid-Ask Spread %61.2047.3394.6354.9773.25
Gamma HHI0.290.240.500.240.27
Net GEX1.5M617.2K3.3M1.7M1.2M
Net DEX-38.3M-67.6M-23.1M-67.6M-24.3M
Net VEX-107.2K-118.9K-97.7K-99.7K-98.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0525.500.741.68
Total Volume1,929.1362089,0401,003266
Total OI13,962.9099,81816,81015,76010,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$108.35$88.2017.6%5.0%23.0%50.8%17.6%2.4%-0.6%1.7M-67.6M-99.7K0.7454.97N/AN/A5764278,6797,081
2014-12-02$108.11$88.2016.5%5.1%22.5%44.5%17.6%1.4%0.6%1.7M-65.8M-107.4K0.9054.00N/AN/A6936268,7467,206
2014-12-03$107.69$88.2016.0%5.1%22.2%41.3%17.1%1.0%1.3%1.5M-65.4M-105.7K0.8755.01N/AN/A5234578,9467,473
2014-12-04$107.90$88.2015.7%4.9%22.2%39.4%19.7%1.2%1.2%1.5M-66.3M-102.7K0.1552.83N/AN/A563848,9517,546
2014-12-05$106.54$88.2015.6%4.8%23.1%38.8%17.4%1.3%0.2%1.6M-61.2M-103.4K0.0547.85N/AN/A8,6204209,2307,567
2014-12-08$107.16$88.2016.7%4.9%21.2%45.3%18.0%1.3%0.2%1.8M-42.2M-111.5K0.1050.74N/AN/A4,0864217,3147,594
2014-12-09$106.87$88.2017.5%5.2%20.4%50.4%18.3%1.3%1.2%1.8M-40.1M-118.9K0.2551.77N/AN/A2,0505087,4217,595
2014-12-10$104.76$88.2023.0%5.5%22.1%83.7%19.2%1.2%1.0%1.4M-32.6M-116.1K0.2758.14N/AN/A2,0545527,4177,661
2014-12-11$105.68$88.2018.2%5.2%22.2%54.5%18.8%2.6%0.1%1.5M-36.5M-115.5K0.2756.89N/AN/A1,9475167,5127,810
2014-12-12$105.11$88.2019.1%5.4%22.4%60.1%20.3%2.4%0.8%1.5M-33.6M-118.1K0.2647.34N/AN/A1,9265027,4877,769
2014-12-15$104.30$88.2018.8%5.5%22.7%58.0%20.6%0.4%0.8%1.4M-28.3M-104.9K0.2853.00N/AN/A1,8945257,4937,783
2014-12-16$102.93$88.2018.1%5.6%23.4%54.2%22.5%3.2%1.6%1.1M-23.3M-107.3K0.9149.86N/AN/A1,8931,7247,5207,964
2014-12-17$105.02$88.2019.2%5.4%24.1%60.7%19.6%4.8%1.8%617.2K-28.9M-112.5K0.4158.78N/AN/A1,8397477,5499,261
2014-12-18$107.46$88.2018.9%5.2%24.9%59.0%18.5%2.3%-0.5%1.3M-39.3M-107.8K0.1947.33N/AN/A1,8993617,2589,225
2014-12-19$107.23$88.2016.7%5.1%25.0%45.6%18.3%1.8%1.0%3.3M-32.9M-106.6K0.1962.53N/AN/A276536,6569,231
2014-12-22$107.30$0.0016.6%5.3%25.0%45.0%0.0%3.1%1.9%1.2M-26.2M-107.1K0.7694.63N/AN/A3792905,6414,177
2014-12-23$106.32$0.0016.5%5.2%25.4%44.2%20.6%-0.2%2.0%1.0M-23.1M-103.1K1.1579.20N/AN/A3463985,6594,184
2014-12-24$107.30$99.7115.5%5.2%23.7%38.4%21.9%1.6%2.4%1.3M-26.2M-110.1K0.8072.73N/AN/A3702965,6554,304
2014-12-26$106.91$103.5416.2%4.9%16.9%42.7%18.5%1.9%1.0%1.3M-26.0M-103.5K1.3574.17N/AN/A2403235,7944,315
2014-12-29$107.09$111.2116.7%5.1%16.8%45.6%19.9%1.7%1.6%1.2M-25.1M-97.7K1.3175.01N/AN/A2443195,8094,313
2014-12-30$107.32$111.2116.9%5.3%16.6%46.6%19.9%0.9%0.7%1.4M-26.7M-99.9K25.5076.41N/AN/A82005,7864,326
2014-12-31$106.73$111.2116.3%5.4%16.7%43.3%19.5%1.8%2.5%1.2M-24.3M-98.1K1.6873.25N/AN/A991675,7934,483