BDX Options History — February 2015

In February 2015, BDX traded between $107.01 and $114.10. ATM implied volatility averaged 16.6%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.9% (HV 20d: 20.6%). Max pain ranged from $103.54 to $107.38. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-02-19: Highest Volume — 2,870 contracts
  • 2015-02-27: Largest IV spike — 19.5% change
  • 2015-02-02: Highest IV Rank — 68.6%
  • 2015-02-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.42$107.01$114.10$107.01$112.60
Max Pain$104.15$103.54$107.38$107.38$103.54
ATM IV16.6%12.2%20.5%20.5%14.6%
Expected Move4.8%3.5%5.9%5.9%4.2%
HV 20d20.6%17.8%21.8%17.8%20.5%
HV 60d19.8%17.7%20.7%19.2%17.9%
IV Rank45.5%18.9%68.6%68.6%33.5%
IV Percentile62.8%6.3%95.6%95.6%48.0%
Term Structure0.6%-1.4%2.3%-1.4%0.3%
VWIV18.2%13.7%22.3%21.5%15.6%
Skew 25d3.0%1.7%3.8%3.4%3.3%
Skew 10d6.0%4.0%10.7%7.0%4.7%
Call IV 25d15.9%12.6%19.9%19.9%12.7%
Put IV 25d18.9%15.0%23.2%23.2%16.0%
Bid-Ask Spread %37.5918.2963.0418.2963.04
Gamma HHI0.410.270.620.310.40
Net GEX2.9M975.4K6.4M1.1M3.5M
Net DEX-31.3M-47.8M-17.2M-17.2M-40.5M
Net VEX-113.3K-128.7K-97.5K-121.9K-109.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.110.960.720.58
Total Volume1,4187852,8708001,409
Total OI13,025.78911,67514,81812,02612,846

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$107.01$107.3820.5%5.9%17.8%68.6%21.5%3.4%-1.4%1.1M-17.2M-121.9K0.7218.29N/AN/A4673337,3134,713
2015-02-03$108.28$107.3820.2%5.8%18.2%66.5%20.5%3.0%-1.3%1.5M-22.7M-121.8K0.5018.80N/AN/A6263107,2974,949
2015-02-04$107.15$107.3820.1%5.8%18.6%66.7%22.3%3.3%-1.3%975.4K-19.0M-118.2K0.9620.10N/AN/A5715507,3955,018
2015-02-05$111.34$103.5417.9%5.1%21.6%53.6%19.2%2.3%0.3%2.6M-34.9M-120.9K0.8446.70N/AN/A1,0608937,1405,143
2015-02-06$109.78$103.5418.3%4.9%21.3%55.7%22.2%3.8%-0.2%2.1M-28.4M-128.7K0.6052.13N/AN/A9875977,3505,552
2015-02-09$108.05$103.5419.3%5.6%21.7%62.3%21.8%2.9%-0.5%1.0M-18.4M-124.2K0.5857.87N/AN/A9025237,4495,737
2015-02-10$108.83$103.5416.6%5.5%21.8%45.4%20.1%1.7%-0.1%1.5M-21.5M-123.3K0.6461.44N/AN/A9215917,5005,844
2015-02-11$108.66$103.5418.2%5.2%21.3%55.6%21.6%3.5%0.3%1.2M-20.3M-120.1K0.7762.73N/AN/A8436547,5855,962
2015-02-12$109.59$103.5416.6%4.8%21.4%45.6%19.6%2.8%1.1%2.4M-26.8M-115.7K0.5130.18N/AN/A7914067,6426,031
2015-02-13$110.24$103.5415.9%4.6%21.4%41.5%17.8%3.1%1.7%3.1M-29.9M-114.6K0.6424.75N/AN/A8285277,6596,032
2015-02-17$110.29$103.5416.3%4.7%21.4%44.0%17.1%2.7%1.3%4.1M-31.5M-103.8K0.4331.58N/AN/A8713757,6566,066
2015-02-18$110.26$103.5416.3%4.7%21.4%43.6%18.2%2.6%1.5%4.7M-30.5M-102.3K0.4823.03N/AN/A8173967,7766,088
2015-02-19$109.98$103.5415.1%4.3%20.5%36.5%14.8%3.5%2.3%3.6M-26.8M-97.5K0.1136.15N/AN/A2,5942767,8146,092
2015-02-20$111.60$103.5415.4%4.4%20.5%38.3%14.5%3.5%2.3%6.4M-44.7M-109.8K0.6119.34N/AN/A4862998,7216,097
2015-02-23$112.61$103.5415.9%4.6%20.2%41.2%17.2%3.6%0.4%3.1M-39.5M-105.0K0.6623.49N/AN/A7444877,3294,346
2015-02-24$114.10$103.5413.1%3.8%20.7%24.1%13.7%2.8%1.4%3.6M-47.7M-104.9K0.3826.66N/AN/A1,3995277,4374,523
2015-02-25$113.65$103.5412.9%3.7%20.4%22.9%14.4%2.8%1.7%3.9M-46.0M-107.5K0.5139.41N/AN/A1,0065187,9264,662
2015-02-26$114.00$103.5412.2%3.5%19.9%18.9%13.7%2.4%1.9%4.2M-47.8M-104.0K0.4358.47N/AN/A9504087,9234,877
2015-02-27$112.60$103.5414.6%4.2%20.5%33.5%15.6%3.3%0.3%3.5M-40.5M-109.3K0.5863.04N/AN/A8905197,9274,919