BDX Options History — May 2015

In May 2015, BDX traded between $106.49 and $110.40. ATM implied volatility averaged 16.8%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.0% (HV 20d: 15.8%). Max pain ranged from $107.38 to $111.21. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.10.

Notable Days

  • 2015-05-28: Highest Volume — 4,326 contracts
  • 2015-05-07: Largest IV drop — 30.3% change
  • 2015-05-06: Highest IV Rank — 89.6%
  • 2015-05-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.50$106.49$110.40$108.97$107.82
Max Pain$108.53$107.38$111.21$111.21$107.38
ATM IV16.8%12.5%23.8%21.2%14.6%
Expected Move4.5%3.6%6.1%6.1%4.2%
HV 20d15.8%14.4%17.5%14.4%14.5%
HV 60d16.7%16.3%18.3%18.3%16.3%
IV Rank46.6%20.3%89.6%73.4%33.1%
IV Percentile54.0%6.7%99.6%98.0%33.7%
Term Structure0.4%-3.2%2.0%-3.2%0.5%
VWIV16.0%12.9%20.8%20.8%14.2%
Skew 25d2.8%2.1%3.4%3.3%2.4%
Skew 10d5.3%3.5%7.4%7.4%3.5%
Call IV 25d14.4%12.1%19.4%19.4%13.9%
Put IV 25d17.2%14.5%22.7%22.7%16.3%
Bid-Ask Spread %81.0359.5294.5269.9987.81
Gamma HHI0.360.230.540.230.49
Net GEX-2.2M-5.9M2.0M1.1M-5.7M
Net DEX12.5M-10.7M33.7M-4.9M33.0M
Net VEX-163.1K-224.1K-135.7K-142.9K-224.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.100.2122.290.511.07
Total Volume1,986.82484,3261,5702,652
Total OI15,974.512,72320,74913,29920,749

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$108.97$111.2121.2%6.1%14.4%73.4%20.8%3.3%-3.2%1.1M-4.9M-142.9K0.5169.99N/AN/A1,0435277,5715,728
2015-05-04$110.40$111.2120.4%4.7%15.1%69.1%17.8%2.8%0.1%2.0M-10.7M-143.1K4.6659.52N/AN/A2561,1917,4285,571
2015-05-05$108.99$107.3823.8%5.1%15.8%89.5%19.1%2.6%-0.3%506.7K-1.8M-158.2K0.9680.28N/AN/A6586327,7876,930
2015-05-06$108.16$107.3823.8%5.1%15.9%89.6%19.1%3.4%-0.3%-194.2K5.2M-153.3K0.9980.40N/AN/A6886797,8197,150
2015-05-07$109.66$107.3816.6%4.5%16.5%45.5%16.9%3.0%1.1%765.6K-2.4M-153.5K0.5282.00N/AN/A1,0205347,8417,290
2015-05-08$108.92$111.2117.2%4.7%16.6%49.5%16.4%3.1%0.6%118.4K4.0M-150.5K9.5463.66N/AN/A948957,8097,113
2015-05-11$108.59$111.2119.8%4.7%16.5%65.3%16.7%2.8%0.9%-938.6K9.2M-149.7K1.0162.47N/AN/A1231257,8007,786
2015-05-12$106.86$107.3819.3%4.6%17.2%62.1%18.0%2.9%1.2%-3.2M19.5M-140.4K0.8285.22N/AN/A7756368,0038,062
2015-05-13$106.49$107.3815.6%4.5%17.2%39.4%17.8%3.0%1.4%-3.9M23.2M-135.7K0.8386.21N/AN/A7316117,9798,199
2015-05-14$108.14$107.3815.3%4.4%17.5%37.3%13.9%2.9%1.6%-3.5M10.8M-140.4K0.2183.85N/AN/A2,5785507,9928,296
2015-05-15$108.45$107.3814.6%4.2%17.4%33.2%14.9%2.6%2.0%-982.2K6.7M-141.5K0.7287.12N/AN/A7195197,9448,319
2015-05-18$108.61$111.2114.6%4.2%15.9%33.3%15.1%2.8%0.1%-875.1K7.5M-135.7K22.2974.74N/AN/A831,8306,1816,542
2015-05-19$108.47$111.2114.4%4.1%15.3%32.1%14.0%2.8%0.1%-2.3M17.0M-163.8K0.7975.42N/AN/A1531216,2198,274
2015-05-20$108.50$107.3814.4%4.1%15.1%32.4%15.3%2.8%0.3%-2.2M13.2M-162.5K1.2091.93N/AN/A4915896,4718,530
2015-05-21$109.31$107.3812.5%3.6%15.4%20.3%13.8%2.7%1.3%-1.8M8.5M-161.0K4.2492.95N/AN/A8123,4366,4718,567
2015-05-22$108.90$107.3814.2%4.1%15.4%30.9%13.8%2.1%-0.3%-4.8M20.4M-192.2K4.3794.52N/AN/A7753,3856,79111,195
2015-05-26$107.62$107.3814.4%4.1%14.8%32.3%14.9%2.7%0.4%-5.8M33.7M-181.1K3.5791.56N/AN/A5772,0616,80911,230
2015-05-27$108.59$107.3814.2%4.1%14.8%30.9%12.9%2.7%0.2%-5.9M29.1M-215.5K2.6684.88N/AN/A7812,0806,84112,564
2015-05-28$108.64$107.3814.6%4.2%14.6%33.3%13.5%2.7%0.1%-5.5M28.5M-216.5K0.9486.14N/AN/A2,2352,0917,04412,595
2015-05-29$107.82$107.3814.6%4.2%14.5%33.1%14.2%2.4%0.5%-5.7M33.0M-224.1K1.0787.81N/AN/A1,2811,3718,15912,590