BDX Options History — March 2015

In March 2015, BDX traded between $108.14 and $114.70. ATM implied volatility averaged 15.9%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.1% (HV 20d: 20.0%). Max pain ranged from $103.54 to $115.05. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-03-05: Highest Volume — 8,822 contracts
  • 2015-03-10: Largest IV spike — 30.9% change
  • 2015-03-10: Highest IV Rank — 70.0%
  • 2015-03-16: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.78$108.14$114.70$113.51$110.12
Max Pain$110.86$103.54$115.05$103.54$111.21
ATM IV15.9%12.6%20.6%12.6%16.0%
Expected Move4.6%3.6%5.4%3.6%4.6%
HV 20d20.0%18.6%21.3%19.6%20.4%
HV 60d19.0%17.9%19.6%17.9%19.3%
IV Rank41.3%21.0%70.0%21.0%41.7%
IV Percentile54.2%9.9%96.8%9.9%54.4%
Term Structure1.9%-0.4%3.2%1.9%2.6%
VWIV16.7%11.7%19.8%11.7%18.5%
Skew 25d2.5%1.2%4.0%3.4%1.3%
Skew 10d5.4%1.6%13.2%8.2%4.3%
Call IV 25d15.4%12.0%17.0%12.0%16.0%
Put IV 25d17.9%15.3%20.3%15.4%17.3%
Bid-Ask Spread %81.4262.9393.8262.9393.82
Gamma HHI0.310.230.430.430.25
Net GEX768.9K-1.1M4.7M4.0M472.2K
Net DEX-12.1M-53.0M4.0M-44.1M-6.8M
Net VEX-111.5K-126.3K-98.2K-99.9K-118.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.171.570.400.91
Total Volume1,381.8181458,8221,318870
Total OI12,1408,94514,10512,93610,851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$113.51$103.5412.6%3.6%19.6%21.0%11.7%3.4%1.9%4.0M-44.1M-99.9K0.4062.93N/AN/A9393797,9604,976
2015-03-03$112.23$103.5414.3%4.1%20.2%31.5%15.4%1.3%1.3%3.4M-36.9M-98.2K0.3877.98N/AN/A9733747,9865,018
2015-03-04$113.64$103.5412.9%3.7%20.2%23.2%14.4%1.4%0.1%4.3M-45.7M-100.7K1.3078.83N/AN/A1,1821,5308,0434,914
2015-03-05$114.70$111.2112.6%3.9%19.7%21.1%14.7%2.4%2.8%4.7M-53.0M-101.1K0.2282.09N/AN/A7,2451,5778,1145,991
2015-03-06$110.97$115.0516.0%4.8%19.2%41.7%15.6%3.3%1.3%855.4K-11.7M-113.9K0.2973.92N/AN/A3,5231,0096,5236,047
2015-03-09$111.37$115.0515.8%4.7%18.6%40.4%19.8%3.1%1.5%603.3K-7.9M-107.0K0.1775.05N/AN/A1,0881815,7336,024
2015-03-10$109.21$115.0520.6%5.1%19.0%70.0%18.3%3.5%2.2%-280.7K-1.2M-114.4K1.0176.49N/AN/A3133176,4836,097
2015-03-11$108.14$115.0518.2%5.2%19.2%55.2%17.5%3.5%1.3%-896.6K4.0M-106.7K0.7971.88N/AN/A3282586,4956,266
2015-03-12$109.71$111.2115.8%4.5%19.9%40.9%18.1%2.9%2.3%-616.4K-841.6K-115.4K0.2073.89N/AN/A393766,4716,345
2015-03-13$108.80$111.2117.4%5.0%19.9%50.7%18.7%2.2%1.5%-1.0M1.9M-112.1K0.8077.46N/AN/A3122516,7706,338
2015-03-16$109.13$111.2119.0%5.4%19.8%60.2%18.4%4.0%-0.4%-552.5K-2.7M-110.8K1.0980.86N/AN/A1972147,0076,441
2015-03-17$108.57$111.2117.7%5.1%19.9%52.1%17.7%2.5%1.5%-1.1M1.7M-110.5K0.6183.11N/AN/A90557,0196,550
2015-03-18$110.84$111.2116.3%4.7%21.3%43.8%17.1%3.4%0.9%-137.3K-7.4M-113.9K0.2187.32N/AN/A333697,0816,590
2015-03-19$111.16$111.2115.9%4.6%21.3%41.5%15.7%3.3%1.6%77.4K-9.1M-113.6K0.5783.58N/AN/A3792167,0746,621
2015-03-20$111.00$111.2115.0%4.3%20.6%35.8%15.8%1.7%2.3%-1.0M-6.9M-107.9K0.9784.08N/AN/A3543427,0846,632
2015-03-23$111.60$111.2115.2%4.3%20.4%36.8%16.4%2.2%2.7%1.1M-8.1M-109.8K1.5785.19N/AN/A2373715,0653,880
2015-03-24$110.60$111.2115.6%4.5%20.0%39.6%17.4%1.5%2.8%597.1K-5.3M-113.5K1.0988.47N/AN/A2632895,2134,106
2015-03-25$109.38$111.2115.1%4.3%20.3%36.6%17.9%2.8%3.1%-606-1.1M-113.5K0.2187.61N/AN/A6781455,4124,237
2015-03-26$109.85$111.2116.5%4.7%20.3%44.8%17.3%1.2%2.1%137.5K-3.7M-122.7K0.6488.55N/AN/A1,0196505,9814,460
2015-03-27$110.90$111.2115.6%4.5%20.3%39.2%16.0%1.5%3.2%740.4K-7.2M-126.3K0.3388.13N/AN/A170566,0094,369
2015-03-30$111.67$111.2115.9%4.6%20.2%41.1%15.9%2.3%2.7%1.5M-13.3M-124.0K0.6890.03N/AN/A6864696,2994,505
2015-03-31$110.12$111.2116.0%4.6%20.4%41.7%18.5%1.3%2.6%472.2K-6.8M-118.0K0.9193.82N/AN/A4554156,3074,544