BDX Options History — October 2015 In October 2015, BDX traded between $100.09 and $109.82. ATM implied volatility averaged 21.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.9% (HV 20d: 25.1%). Max pain ranged from $103.54 to $103.54. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.87.
Notable Days 2015-10-14 : Highest Volume — 5,049 contracts2015-10-13 : Largest IV spike — 19.9% change2015-10-01 : Highest IV Rank — 69.3%2015-10-01 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $106.06 $100.09 $109.82 $100.09 $109.52 Max Pain $103.54 $103.54 $103.54 $103.54 $103.54 ATM IV 21.2% 18.7% 26.2% 26.2% 18.8% Expected Move 6.0% 5.4% 7.5% 7.5% 5.4% HV 20d 25.1% 15.6% 27.6% 24.1% 15.6% HV 60d 22.8% 21.4% 23.4% 21.4% 22.5% IV Rank 44.4% 32.0% 69.3% 69.3% 32.5% IV Percentile 82.8% 65.1% 98.0% 98.0% 65.1% Term Structure -0.4% -1.5% 0.8% -1.4% -0.5% VWIV 21.6% 18.9% 26.9% 26.9% 19.8% Skew 25d 4.1% 2.0% 6.3% 6.3% 3.5% Skew 10d 10.0% 6.2% 12.8% 10.3% 7.7% Call IV 25d 19.3% 17.4% 22.7% 22.7% 18.5% Put IV 25d 23.5% 21.6% 29.0% 29.0% 22.0% Bid-Ask Spread % 84.10 79.70 89.56 85.13 89.56 Gamma HHI 0.17 0.13 0.28 0.18 0.15 Net GEX 212.5K -1.3M 1.3M -1.3M 614.8K Net DEX 10.4M -4.5M 32.8M 32.8M -2.5M Net VEX -191.6K -203.5K -177.4K -180.2K -203.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.87 0.16 4.60 2.99 2.30 Total Volume 3,212.182 333 5,049 3,143 2,498 Total OI 16,687.682 14,722 18,722 16,194 17,300
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-10-01 $100.09 $103.54 26.2% 7.5% 24.1% 69.3% 26.9% 6.3% -1.4% -1.3M 32.8M -180.2K 2.99 85.13 N/A N/A 787 2,356 7,453 8,741 2015-10-02 $103.56 $103.54 22.9% 6.6% 27.3% 52.6% 21.6% 2.0% 0.8% -496.2K 21.8M -190.1K 3.02 87.82 N/A N/A 745 2,251 7,460 8,720 2015-10-05 $105.07 $103.54 21.6% 6.4% 27.4% 46.6% 21.9% 4.7% -0.4% 341.2K 13.7M -192.2K 0.16 80.29 N/A N/A 287 46 7,542 8,740 2015-10-06 $103.24 $103.54 21.8% 6.7% 26.7% 47.5% 23.9% 4.4% -1.1% -448.6K 19.9M -186.0K 3.77 82.53 N/A N/A 870 3,279 7,783 8,777 2015-10-07 $105.15 $103.54 22.5% 6.6% 26.9% 50.7% 23.0% 4.7% -0.6% 215.0K 14.9M -202.2K 2.44 82.65 N/A N/A 1,406 3,429 7,808 9,358 2015-10-08 $105.18 $103.54 22.2% 6.4% 26.8% 49.6% 21.8% 4.6% -0.3% 276.5K 14.8M -199.2K 3.72 81.28 N/A N/A 709 2,632 7,958 9,585 2015-10-09 $105.45 $103.54 23.8% 6.5% 26.8% 57.1% 22.5% 4.6% -0.6% 528.8K 11.8M -197.4K 3.55 81.70 N/A N/A 762 2,706 7,927 9,671 2015-10-12 $106.07 $103.54 20.9% 5.8% 26.9% 43.1% 22.5% 3.6% 0.2% 1.3M 8.4M -192.1K 4.32 82.71 N/A N/A 622 2,688 8,026 9,670 2015-10-13 $104.92 $103.54 25.1% 6.2% 27.0% 63.7% 23.0% 3.4% -0.2% 818.0K 12.2M -190.5K 3.15 79.70 N/A N/A 794 2,503 8,038 9,691 2015-10-14 $104.02 $103.54 21.9% 6.3% 26.7% 47.8% 20.8% 4.0% 0.2% -1.0M 18.5M -177.4K 0.94 84.52 N/A N/A 2,609 2,440 8,028 9,634 2015-10-15 $105.12 $103.54 21.1% 6.0% 27.0% 43.8% 20.1% 4.7% -0.2% -51.4K 12.0M -187.6K 1.44 81.10 N/A N/A 1,702 2,445 9,004 9,671 2015-10-16 $107.01 $103.54 19.2% 5.5% 27.6% 34.6% 18.9% 4.1% 0.2% 288.5K 5.2M -192.8K 2.80 83.27 N/A N/A 862 2,412 9,017 9,705 2015-10-19 $107.26 $103.54 19.4% 5.6% 27.6% 35.5% 18.9% 4.6% -0.2% 376.6K 5.5M -189.6K 3.05 85.26 N/A N/A 750 2,287 7,011 7,711 2015-10-20 $107.09 $103.54 18.7% 5.4% 27.1% 32.0% 19.6% 4.4% 0.2% 366.6K 6.7M -187.2K 3.46 84.89 N/A N/A 664 2,295 7,191 7,815 2015-10-21 $107.09 $103.54 19.8% 5.7% 26.5% 37.4% 20.0% 4.9% -0.6% 479.1K 5.4M -190.1K 3.62 87.79 N/A N/A 649 2,349 7,236 7,855 2015-10-22 $106.16 $103.54 19.7% 5.6% 26.7% 36.8% 20.4% 4.1% -1.0% 343.7K 8.7M -191.1K 3.58 87.48 N/A N/A 670 2,402 7,292 7,872 2015-10-23 $107.55 $103.54 19.8% 5.7% 26.1% 37.7% 21.6% 3.7% -0.6% 579.8K 3.5M -185.0K 2.01 87.61 N/A N/A 846 1,699 7,365 7,904 2015-10-26 $107.26 $103.54 20.1% 5.8% 20.5% 38.9% 24.0% 3.9% -0.7% 512.8K 7.2M -181.3K 4.60 81.82 N/A N/A 786 3,612 7,356 7,941 2015-10-27 $107.86 $103.54 20.3% 5.8% 20.5% 39.9% 23.1% 3.7% -1.5% 66.1K 8.4M -196.4K 2.48 84.45 N/A N/A 784 1,946 7,385 9,484 2015-10-28 $108.81 $103.54 19.9% 5.7% 20.3% 38.0% 19.3% 3.1% 0.1% 270.0K 4.5M -203.5K 2.62 80.89 N/A N/A 735 1,930 7,409 9,789 2015-10-29 $109.82 $103.54 20.4% 5.9% 18.9% 40.7% 20.6% 3.7% -0.6% 623.2K -4.5M -199.0K 3.11 87.83 N/A N/A 590 1,834 7,417 9,789 2015-10-30 $109.52 $103.54 18.8% 5.4% 15.6% 32.5% 19.8% 3.5% -0.5% 614.8K -2.5M -203.3K 2.30 89.56 N/A N/A 758 1,740 7,441 9,859
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