BDX Options History — April 2015

In April 2015, BDX traded between $107.84 and $111.69. ATM implied volatility averaged 18.4%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.6% (HV 20d: 14.8%). Max pain ranged from $111.21 to $111.21. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2015-04-16: Highest Volume — 4,485 contracts
  • 2015-04-08: Largest IV spike — 16.3% change
  • 2015-04-30: Highest IV Rank — 73.3%
  • 2015-04-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.25$107.84$111.69$108.77$108.03
Max Pain$111.21$111.21$111.21$111.21$111.21
ATM IV18.4%16.5%21.1%17.2%21.1%
Expected Move5.4%4.9%6.1%4.9%6.1%
HV 20d14.8%12.3%20.2%20.2%14.1%
HV 60d18.5%18.2%19.5%19.4%18.3%
IV Rank56.3%45.1%73.3%49.0%73.3%
IV Percentile79.8%62.7%98.0%71.8%98.0%
Term Structure-1.3%-3.5%2.4%2.4%-3.5%
VWIV18.9%17.2%21.1%17.4%21.0%
Skew 25d2.8%2.1%3.7%2.4%3.7%
Skew 10d5.7%3.3%8.4%3.3%6.0%
Call IV 25d17.7%16.0%19.7%16.6%19.7%
Put IV 25d20.5%18.8%23.5%19.0%23.5%
Bid-Ask Spread %75.5644.1394.9094.9069.12
Gamma HHI0.270.220.340.290.22
Net GEX-275.3K-2.7M2.4M-706.2K782.9K
Net DEX-2.7M-19.9M7.6M566.8K-1.2M
Net VEX-118.7K-136.3K-98.2K-111.1K-133.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.283.883.881.27
Total Volume1,750.3814354,4852,5692,358
Total OI12,482.76210,59914,72210,89212,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$108.77$111.2117.2%4.9%20.2%49.0%17.4%2.4%2.4%-706.2K566.8K-111.1K3.8894.90N/AN/A5272,0426,3404,552
2015-04-02$108.39$111.2117.2%5.6%19.7%49.1%21.1%3.5%-0.8%-1.5M5.0M-127.7K3.8683.71N/AN/A5051,9496,4746,351
2015-04-06$108.46$111.2118.0%5.7%16.2%54.4%18.1%2.9%-0.8%-1.8M5.0M-121.0K0.7785.13N/AN/A5694356,5066,352
2015-04-07$107.96$111.2116.5%5.5%16.1%45.1%18.9%3.2%-0.7%-2.4M7.0M-115.5K0.8185.31N/AN/A5584526,5526,391
2015-04-08$108.42$111.2119.2%5.5%14.7%61.5%18.7%2.5%-0.6%-2.5M7.6M-116.8K3.8386.63N/AN/A903456,3456,102
2015-04-09$109.23$111.2119.2%5.5%14.5%61.4%18.4%3.1%-1.0%-2.4M2.6M-117.7K1.5085.68N/AN/A5157736,5906,719
2015-04-10$109.80$111.2117.3%5.0%13.7%49.7%18.6%3.4%-0.6%-1.1M-3.0M-116.5K1.9285.69N/AN/A4678956,5896,785
2015-04-13$109.23$111.2119.8%5.7%13.5%64.9%18.5%3.3%-0.8%-1.5M-889.1K-113.4K3.8387.35N/AN/A5372,0576,6146,820
2015-04-14$108.33$111.2119.5%5.6%13.8%63.0%18.7%2.4%-1.1%-2.3M3.6M-105.7K1.2587.22N/AN/A6498136,6896,281
2015-04-15$107.84$111.2119.1%5.5%13.7%60.7%19.6%2.3%-1.6%-2.7M4.4M-98.2K1.5487.98N/AN/A6119416,8196,281
2015-04-16$109.19$111.2118.3%5.3%12.3%56.1%17.2%3.0%-1.5%-1.3M-505.9K-99.6K0.2885.64N/AN/A3,5119746,8156,377
2015-04-17$108.48$111.2118.1%5.2%12.4%54.5%18.3%2.3%-1.4%616.3K-2.7M-110.6K1.6584.69N/AN/A6231,0298,2226,500
2015-04-20$110.58$111.2117.1%4.9%14.4%48.4%20.5%2.4%-1.5%1.5M-11.2M-112.6K2.4348.66N/AN/A8812,1406,3235,087
2015-04-21$111.69$111.2117.3%5.0%14.7%49.8%17.3%2.8%-1.6%2.4M-19.9M-120.2K2.1945.63N/AN/A6051,3226,5384,061
2015-04-22$110.72$111.2117.3%4.9%14.6%49.5%18.4%3.4%-1.2%1.7M-12.6M-130.6K1.5444.13N/AN/A4306616,6644,897
2015-04-23$110.71$111.2116.9%4.9%14.0%47.6%18.7%2.1%-0.9%2.0M-13.6M-134.6K2.1268.02N/AN/A3828106,7245,004
2015-04-24$110.69$111.2117.2%4.9%14.0%49.3%18.7%2.2%-1.1%1.9M-11.9M-136.3K2.0570.21N/AN/A3837866,7245,183
2015-04-27$108.82$111.2119.8%5.7%14.8%65.2%19.3%2.8%-2.5%930.9K-3.5M-125.1K2.1564.84N/AN/A3798186,7235,205
2015-04-28$109.81$111.2118.8%5.4%15.0%58.7%19.7%2.7%-2.3%1.4M-6.7M-125.1K0.9066.77N/AN/A6115526,7395,215
2015-04-29$109.08$111.2120.9%6.0%14.4%72.0%19.9%3.1%-3.2%1.2M-4.2M-121.7K0.5169.50N/AN/A1,1706036,9345,237
2015-04-30$108.03$111.2121.1%6.1%14.1%73.3%21.0%3.7%-3.5%782.9K-1.2M-133.7K1.2769.12N/AN/A1,0401,3187,4965,318