BDX Options History — July 2015

In July 2015, BDX traded between $108.53 and $116.67. ATM implied volatility averaged 15.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.4% (HV 20d: 11.5%). Max pain ranged from $107.38 to $111.21. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2015-07-29: Highest Volume — 8,418 contracts
  • 2015-07-29: Largest IV spike — 25.2% change
  • 2015-07-31: Highest IV Rank — 68.3%
  • 2015-07-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.52$108.53$116.67$109.88$116.67
Max Pain$109.12$107.38$111.21$107.38$111.21
ATM IV15.8%13.6%20.3%14.3%20.3%
Expected Move4.7%4.0%5.8%4.1%5.8%
HV 20d11.5%9.9%14.1%11.2%14.0%
HV 60d12.8%12.0%13.5%13.1%12.5%
IV Rank41.0%27.5%68.3%31.4%68.3%
IV Percentile45.6%19.8%93.3%25.0%93.3%
Term Structure-0.7%-3.4%2.1%2.1%-3.4%
VWIV17.1%13.8%21.0%14.3%20.4%
Skew 25d2.1%1.2%2.8%1.3%2.3%
Skew 10d4.5%3.2%7.5%3.9%7.5%
Call IV 25d15.8%13.6%19.8%14.4%19.8%
Put IV 25d17.9%15.4%22.1%15.6%22.1%
Bid-Ask Spread %85.7475.4596.0690.1192.07
Gamma HHI0.250.150.320.220.24
Net GEX1.4M-1.0M3.8M-677.7K3.8M
Net DEX-14.2M-47.9M8.1M1.5M-47.9M
Net VEX-218.5K-330.2K-186.2K-221.9K-320.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.488.653.851.23
Total Volume2,226.7738678,4181,9541,851
Total OI17,106.77314,75423,29016,17923,290

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$109.88$107.3814.3%4.1%11.2%31.4%14.3%1.3%2.1%-677.7K1.5M-221.9K3.8590.11N/AN/A4031,5516,6639,516
2015-07-02$109.95$107.3814.6%4.2%11.1%33.6%14.7%1.5%1.9%-620.2K943.9K-218.7K3.6595.89N/AN/A4551,6636,6979,567
2015-07-06$109.33$107.3815.2%4.9%11.3%37.3%19.1%2.5%-0.4%-1.0M5.2M-213.4K1.9376.33N/AN/A4548786,7429,709
2015-07-07$109.78$107.3815.1%5.0%11.3%36.5%18.5%2.7%-0.9%-679.5K826.6K-208.4K8.6575.45N/AN/A3322,8776,8129,716
2015-07-08$108.53$107.3817.4%5.4%11.1%50.3%20.2%2.8%-1.0%348.8K8.1M-206.1K3.0478.24N/AN/A3321,0096,8298,641
2015-07-09$108.92$107.3817.5%5.3%9.9%50.9%21.0%2.3%-0.9%550.3K4.2M-205.3K5.0078.32N/AN/A3291,6516,8988,716
2015-07-10$110.71$107.3814.7%4.9%11.2%33.9%21.0%2.0%-0.8%869.3K-6.4M-216.0K2.0477.17N/AN/A7251,4776,9089,677
2015-07-13$111.97$107.3815.3%4.8%11.2%37.5%18.3%2.2%-0.6%982.0K-16.7M-201.0K0.8081.13N/AN/A9657717,3069,768
2015-07-14$112.89$107.3813.6%4.7%10.8%27.5%17.1%2.1%-0.4%1.4M-22.9M-199.0K2.2182.97N/AN/A6981,5487,3819,824
2015-07-15$112.53$107.3816.1%4.6%11.0%42.6%16.0%2.0%-0.7%2.1M-21.7M-193.1K1.6084.07N/AN/A6421,0297,4399,587
2015-07-16$113.58$107.3814.0%4.0%11.3%29.6%14.3%1.8%-0.3%2.8M-28.8M-191.6K0.6584.60N/AN/A2,5361,6407,7409,620
2015-07-17$113.61$107.3814.1%4.0%11.2%30.0%15.9%2.4%-0.1%1.6M-29.5M-195.3K2.4887.52N/AN/A6791,6848,6019,917
2015-07-20$113.63$111.2114.2%4.1%10.8%31.2%14.5%1.8%-0.6%1.7M-12.7M-186.2K0.8088.64N/AN/A6405116,1028,652
2015-07-21$113.13$111.2115.4%4.4%11.0%38.6%15.0%1.8%-0.6%1.5M-9.6M-192.1K0.4888.24N/AN/A1,1175346,3338,982
2015-07-22$113.49$111.2114.2%4.1%11.0%30.9%13.8%2.2%-0.1%1.8M-10.3M-222.4K0.8889.51N/AN/A4604076,8829,180
2015-07-23$113.61$111.2114.3%4.1%10.2%31.3%14.0%1.9%-0.3%1.9M-12.4M-220.6K1.7790.32N/AN/A4107256,8989,260
2015-07-24$113.05$111.2116.1%4.6%10.5%42.7%15.0%2.4%-0.8%1.6M-10.0M-212.6K0.7987.65N/AN/A7115627,0629,353
2015-07-27$112.21$111.2117.1%4.9%11.0%48.7%17.1%2.0%-1.3%1.2M-6.4M-202.4K1.1485.86N/AN/A6787717,1249,390
2015-07-28$115.00$111.2115.5%4.4%13.7%38.9%16.7%2.6%-1.0%2.5M-22.3M-206.8K1.0686.96N/AN/A8468977,2499,619
2015-07-29$116.54$111.2119.4%5.6%14.1%62.8%19.7%1.9%-1.9%2.5M-33.0M-243.1K0.7589.15N/AN/A4,7983,6207,8869,686
2015-07-30$116.43$111.2120.1%5.8%14.0%66.7%20.5%1.2%-3.4%3.5M-42.2M-330.2K0.5196.06N/AN/A2,0721,05111,40911,718
2015-07-31$116.67$111.2120.3%5.8%14.0%68.3%20.4%2.3%-3.4%3.8M-47.9M-320.5K1.2392.07N/AN/A8311,02011,51011,780