BDX Options History — August 2015

In August 2015, BDX traded between $106.30 and $117.95. ATM implied volatility averaged 20.2%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.4% (HV 20d: 15.8%). Max pain ranged from $111.21 to $115.05. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 5.93.

Notable Days

  • 2015-08-07: Highest Volume — 20,835 contracts
  • 2015-08-24: Largest IV spike — 28.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.22$106.30$117.95$116.91$108.31
Max Pain$113.40$111.21$115.05$111.21$111.21
ATM IV20.2%16.3%29.6%21.0%23.2%
Expected Move5.8%4.6%8.5%6.0%6.7%
HV 20d15.8%12.7%18.6%13.6%17.2%
HV 60d13.2%12.1%14.8%12.2%14.8%
IV Rank61.5%44.0%100.0%72.6%65.5%
IV Percentile80.0%54.8%100.0%96.4%97.6%
Term Structure-0.9%-4.0%1.2%-2.4%-0.9%
VWIV20.9%16.4%30.1%20.0%30.0%
Skew 25d3.4%0.4%7.3%3.6%4.5%
Skew 10d6.2%1.9%14.0%7.6%8.2%
Call IV 25d19.2%15.0%27.5%19.4%22.6%
Put IV 25d22.5%17.7%34.8%23.0%27.1%
Bid-Ask Spread %91.1174.4798.4086.6498.40
Gamma HHI0.290.210.470.250.32
Net GEX-1.8M-6.8M3.8M3.8M-6.8M
Net DEX22.5M-47.1M72.1M-47.1M72.1M
Net VEX-346.1K-511.7K-267.5K-299.5K-267.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.930.6935.2235.221.92
Total Volume4,633.85752920,83514,5001,324
Total OI28,750.71423,17436,69823,17426,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$116.91$111.2121.0%6.0%13.6%72.6%20.0%3.6%-2.4%3.8M-47.1M-299.5K35.2286.64N/AN/A40114,09911,47711,697
2015-08-04$116.81$111.2121.8%6.3%13.7%77.4%21.6%2.8%-3.7%-3.7M-3.8M-470.5K1.5391.54N/AN/A6671,02311,42824,441
2015-08-05$117.95$111.2120.4%5.8%12.7%68.6%22.4%3.8%-3.1%-2.9M-20.1M-440.9K8.4887.01N/AN/A4724,00411,50424,494
2015-08-06$115.30$115.0517.0%4.7%15.9%48.2%16.9%3.3%-0.4%-5.1M19.3M-451.7K7.8392.28N/AN/A6815,33011,59623,122
2015-08-07$114.23$115.0516.3%4.8%15.6%44.0%17.4%2.4%0.3%-6.0M40.8M-511.7K17.7892.47N/AN/A1,10919,72611,66925,029
2015-08-10$115.18$115.0516.4%4.6%15.4%44.5%16.4%1.9%1.2%3.6M-26.6M-323.4K5.9994.86N/AN/A1,5479,26111,67612,864
2015-08-11$113.97$115.0517.5%4.7%15.7%51.0%17.0%2.5%0.5%1.8M-7.0M-352.4K0.7174.47N/AN/A31021912,59914,413
2015-08-12$113.42$115.0517.2%4.9%15.8%49.1%16.8%2.2%0.1%1.0M3.8M-344.0K10.7092.95N/AN/A7157,64912,56114,618
2015-08-13$113.23$115.0517.1%4.9%15.5%48.6%17.0%2.3%0.2%1.2M469.7K-336.5K10.5089.03N/AN/A7057,39012,63514,742
2015-08-14$113.74$115.0517.0%4.9%15.5%47.9%18.0%2.1%0.7%1.6M-2.8M-337.7K0.8396.48N/AN/A42535512,73514,737
2015-08-17$113.92$115.0517.4%5.0%15.6%50.7%18.0%0.4%-0.0%2.2M-5.1M-327.6K0.6992.04N/AN/A52736312,78614,749
2015-08-18$112.90$115.0517.3%5.0%15.8%50.2%17.8%2.0%0.8%1.2M5.4M-305.2K0.8790.29N/AN/A55548212,85014,773
2015-08-19$112.37$115.0518.0%5.2%15.8%54.2%18.0%2.1%-0.7%-480.1K15.8M-305.4K8.3482.44N/AN/A1251,04412,85014,739
2015-08-20$110.25$115.0517.9%5.1%17.1%53.3%19.3%3.6%0.2%-4.4M41.8M-297.8K1.4695.96N/AN/A2,6043,80212,89915,651
2015-08-21$108.94$111.2123.0%6.6%17.5%84.5%22.2%4.8%-3.2%-4.0M66.1M-330.0K3.1290.71N/AN/A3661,14413,45918,417
2015-08-24$106.74$111.2129.6%8.5%18.6%100.0%30.1%7.3%-4.0%-3.3M67.0M-334.6K2.8094.81N/AN/A4921,37910,93215,649
2015-08-25$106.30$111.2126.5%7.6%15.6%83.2%26.5%5.2%-1.3%-3.8M70.4M-303.8K1.0493.40N/AN/A1,0511,08911,10615,474
2015-08-26$107.31$115.0525.8%7.4%15.1%79.4%26.6%4.8%-2.2%-4.1M69.5M-303.7K1.6587.86N/AN/A6861,13011,20515,488
2015-08-27$109.37$111.2122.1%6.3%17.2%59.6%22.7%4.9%-0.8%-4.4M55.4M-316.3K1.1793.12N/AN/A78692011,27215,525
2015-08-28$109.40$111.2122.2%6.4%17.2%59.8%24.1%4.0%-1.1%-4.7M56.2M-308.2K1.8296.59N/AN/A48087411,36015,577
2015-08-31$108.31$111.2123.2%6.7%17.2%65.5%30.0%4.5%-0.9%-6.8M72.1M-267.5K1.9298.40N/AN/A45487011,37415,593