BDX Options History — January 2015

In January 2015, BDX traded between $106.07 and $112.13. ATM implied volatility averaged 18.9%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.0% (HV 20d: 16.9%). Max pain ranged from $107.38 to $111.21. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-01-16: Highest Volume — 3,078 contracts
  • 2015-01-12: Largest IV spike — 15.4% change
  • 2015-01-30: Highest IV Rank — 69.3%
  • 2015-01-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.90$106.07$112.13$107.35$106.07
Max Pain$108.53$107.38$111.21$107.38$111.21
ATM IV18.9%16.7%20.6%17.1%20.6%
Expected Move5.5%4.8%5.9%5.3%5.9%
HV 20d16.9%14.1%18.8%16.8%17.6%
HV 60d19.0%18.2%19.7%19.6%19.2%
IV Rank59.1%45.6%69.3%48.0%69.3%
IV Percentile89.0%71.4%96.4%79.4%96.4%
Term Structure-0.7%-1.6%1.3%1.3%-1.6%
VWIV20.2%17.5%23.7%18.8%21.2%
Skew 25d2.9%1.4%4.2%1.5%4.2%
Skew 10d6.5%2.9%11.0%2.9%7.6%
Call IV 25d18.3%16.3%20.4%17.5%19.8%
Put IV 25d21.1%18.9%24.0%19.0%24.0%
Bid-Ask Spread %68.3318.6183.2968.5434.02
Gamma HHI0.350.260.470.260.28
Net GEX1.8M836.0K2.7M1.1M836.0K
Net DEX-31.2M-47.5M-15.0M-25.2M-15.0M
Net VEX-110.2K-133.3K-84.5K-97.1K-121.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.304.171.540.50
Total Volume941.751213,078742949
Total OI11,516.210,26113,37910,49711,973

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$107.35$107.3817.1%5.3%16.8%48.0%18.8%1.5%1.3%1.1M-25.2M-97.1K1.5468.54N/AN/A2934495,8804,617
2015-01-05$107.93$107.3818.4%5.7%16.9%55.6%20.2%3.4%-0.4%1.5M-28.6M-93.5K0.9073.33N/AN/A2562295,8884,668
2015-01-06$107.72$107.3819.5%5.6%16.3%62.3%20.9%3.2%-1.1%1.3M-26.5M-97.2K2.0378.19N/AN/A921865,9214,862
2015-01-07$110.25$107.3820.2%5.3%18.1%66.9%19.7%3.1%-0.4%2.0M-37.2M-94.9K0.5083.29N/AN/A2941485,9834,970
2015-01-08$112.13$107.3819.3%5.3%18.8%61.5%19.3%3.3%0.4%2.1M-47.5M-84.5K0.3069.41N/AN/A1,1263356,1935,075
2015-01-09$111.01$107.3816.7%5.2%17.5%45.8%21.2%2.6%0.3%2.4M-45.8M-96.4K0.8272.97N/AN/A5044116,6415,130
2015-01-12$110.17$107.3819.3%5.3%17.8%61.4%21.4%3.2%-0.2%2.4M-41.4M-98.0K2.0773.89N/AN/A3186586,7075,347
2015-01-13$108.70$107.3819.1%5.7%18.4%60.0%22.1%1.4%-1.2%1.9M-32.7M-111.3K2.2280.36N/AN/A2986616,8175,752
2015-01-14$108.02$107.3820.5%5.9%18.3%68.5%22.9%2.7%-1.6%1.6M-29.4M-104.4K1.1477.08N/AN/A6076896,8705,903
2015-01-15$107.88$107.3820.1%5.8%17.5%66.3%23.7%2.4%-0.5%1.7M-30.7M-106.3K0.4675.28N/AN/A1,2785886,9996,067
2015-01-16$107.67$107.3819.1%5.5%16.3%60.3%19.6%2.7%-0.6%2.7M-28.5M-112.9K0.4079.22N/AN/A2,2038757,2676,112
2015-01-20$107.59$107.3819.7%5.6%14.1%63.5%19.5%2.4%-1.1%1.4M-25.4M-117.7K0.3879.95N/AN/A207796,5423,719
2015-01-21$109.56$107.3818.1%5.2%15.4%54.4%19.9%3.2%-0.4%2.0M-31.0M-125.7K0.6280.06N/AN/A111696,6983,766
2015-01-22$111.18$107.3817.5%5.0%16.2%50.2%18.5%3.0%-0.9%2.4M-40.5M-114.2K0.4573.64N/AN/A8683926,8133,815
2015-01-23$109.95$111.2116.7%4.8%16.4%45.6%17.8%2.6%-0.3%2.3M-33.5M-133.3K1.2775.39N/AN/A4906257,2473,961
2015-01-26$110.06$111.2117.5%5.0%16.1%50.7%19.6%2.8%-0.6%2.1M-31.8M-127.6K1.2776.03N/AN/A1421797,0944,175
2015-01-27$109.08$111.2119.5%5.6%16.4%62.5%17.5%3.4%-1.4%1.9M-28.7M-120.7K4.1774.67N/AN/A23987,1384,318
2015-01-28$108.04$111.2119.7%5.7%16.9%63.8%20.0%3.2%-1.3%1.5M-23.6M-123.3K0.8122.61N/AN/A5534487,1914,366
2015-01-29$107.62$111.2120.0%5.7%16.9%65.5%20.4%3.2%-1.5%1.3M-21.5M-123.1K0.9418.61N/AN/A5705347,2594,580
2015-01-30$106.07$111.2120.6%5.9%17.6%69.3%21.2%4.2%-1.6%836.0K-15.0M-121.7K0.5034.02N/AN/A6323177,3004,673