BDX Options History — June 2015

In June 2015, BDX traded between $105.82 and $109.82. ATM implied volatility averaged 14.7%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.2% (HV 20d: 11.5%). Max pain ranged from $107.38 to $111.21. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-06-08: Highest Volume — 6,063 contracts
  • 2015-06-29: Largest IV spike — 24.8% change
  • 2015-06-29: Highest IV Rank — 47.6%
  • 2015-06-29: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.97$105.82$109.82$108.02$108.79
Max Pain$107.55$107.38$111.21$107.38$107.38
ATM IV14.7%12.4%16.9%15.3%16.3%
Expected Move4.2%3.5%4.9%4.4%4.7%
HV 20d11.5%10.7%14.1%14.1%10.7%
HV 60d13.8%13.0%16.1%16.1%13.0%
IV Rank33.7%19.7%47.6%37.6%43.5%
IV Percentile31.9%4.0%63.1%40.9%52.4%
Term Structure1.7%-0.1%3.0%-0.1%1.3%
VWIV15.1%12.3%18.1%14.8%15.1%
Skew 25d2.1%1.2%2.8%2.3%2.5%
Skew 10d4.4%1.6%6.5%4.1%1.6%
Call IV 25d14.0%12.3%15.8%14.4%14.9%
Put IV 25d16.1%13.6%17.9%16.7%17.4%
Bid-Ask Spread %87.8775.5295.0693.6393.88
Gamma HHI0.470.200.800.490.23
Net GEX-5.9M-14.4M-404.6K-5.8M-1.2M
Net DEX24.5M-1.7M47.1M32.0M9.8M
Net VEX-184.5K-224.2K-149.1K-216.8K-224.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.275.980.432.16
Total Volume2,134.4552086,0631,8832,662
Total OI18,584.36411,38921,78420,83116,101

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$108.02$107.3815.3%4.4%14.1%37.6%14.8%2.3%-0.1%-5.8M32.0M-216.8K0.4393.63N/AN/A1,3135708,21712,614
2015-06-02$107.77$111.2115.2%4.4%13.2%37.0%15.2%2.2%0.1%-6.2M37.3M-209.4K1.1175.52N/AN/A991098,04512,443
2015-06-03$107.87$107.3814.7%4.2%12.5%34.2%14.8%2.8%0.6%-6.7M35.6M-208.0K0.8392.84N/AN/A8136758,25112,675
2015-06-04$107.48$107.3815.1%4.4%12.3%36.7%16.7%2.2%1.5%-7.1M40.2M-202.9K0.9283.21N/AN/A9368658,33012,724
2015-06-05$107.48$107.3814.5%4.3%11.1%32.6%16.2%2.1%1.6%-7.7M36.6M-204.0K0.8485.99N/AN/A9437958,16412,964
2015-06-08$107.18$107.3815.3%4.4%10.9%37.6%16.7%2.1%1.9%-8.2M38.9M-194.8K5.9884.14N/AN/A8695,1948,18413,046
2015-06-09$105.82$107.3816.1%4.5%11.7%42.5%16.0%2.5%1.7%-6.9M47.1M-175.8K0.6784.89N/AN/A7845228,19211,999
2015-06-10$107.42$107.3815.2%4.3%11.7%36.7%15.9%2.3%1.7%-7.3M31.6M-182.4K0.8385.59N/AN/A6975818,33012,000
2015-06-11$108.00$107.3814.7%4.2%11.7%34.0%18.1%2.2%2.0%-7.2M24.2M-176.7K1.1288.21N/AN/A5366038,36712,067
2015-06-12$107.14$107.3814.9%4.3%10.7%35.0%17.6%2.1%2.0%-9.3M35.8M-173.0K1.1387.14N/AN/A5235938,37112,093
2015-06-15$106.38$107.3815.4%4.4%10.9%38.3%17.0%2.2%1.8%-9.7M44.6M-158.6K0.9585.21N/AN/A6786448,40212,108
2015-06-16$106.80$107.3815.1%4.3%11.0%36.6%16.7%2.4%2.0%-11.9M40.4M-156.6K1.1386.52N/AN/A6427298,55312,085
2015-06-17$107.19$107.3814.8%4.2%11.1%34.6%14.9%2.2%2.2%-14.3M34.7M-154.1K0.2791.28N/AN/A2,4836688,54312,153
2015-06-18$107.99$107.3814.1%4.1%11.5%30.5%14.6%2.3%2.5%-14.4M14.6M-159.3K0.9990.13N/AN/A6416359,57412,210
2015-06-19$109.14$107.3813.4%3.8%11.8%25.7%13.3%1.9%3.0%-404.6K-1.7M-149.1K1.8287.69N/AN/A7431,3519,05512,192
2015-06-22$109.51$107.3812.4%3.5%11.8%19.7%13.3%1.2%2.4%-407.7K-104.8K-154.2K0.4993.05N/AN/A8374134,6706,719
2015-06-23$109.82$107.3812.4%3.5%10.9%19.7%12.6%1.3%2.6%-777.8K726.8K-169.7K1.1195.06N/AN/A9341,0375,2187,360
2015-06-24$108.78$107.3813.8%3.9%11.1%28.2%12.8%2.0%2.0%-926.9K5.5M-173.0K2.6289.22N/AN/A9362,4565,5047,381
2015-06-25$108.91$107.3813.5%3.9%11.1%26.8%12.7%1.7%2.4%-1.4M10.2M-205.8K2.6481.07N/AN/A8472,2345,5668,988
2015-06-26$108.87$107.3813.6%3.9%10.7%27.1%12.3%2.0%2.3%-1.4M10.5M-202.6K2.6486.34N/AN/A8712,2965,6269,025
2015-06-29$108.90$107.3816.9%4.9%10.7%47.6%15.8%2.1%0.8%-1.3M9.8M-208.1K1.7192.50N/AN/A1,5482,6535,6579,090
2015-06-30$108.79$107.3816.3%4.7%10.7%43.5%15.1%2.5%1.3%-1.2M9.8M-224.2K2.1693.88N/AN/A8421,8206,5949,507