BDX Options History — November 2015

In November 2015, BDX traded between $111.05 and $117.16. ATM implied volatility averaged 16.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.1% (HV 20d: 17.0%). Max pain ranged from $103.54 to $107.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.33.

Notable Days

  • 2015-11-13: Highest Volume — 5,392 contracts
  • 2015-11-04: Largest IV drop — 19.2% change
  • 2015-11-03: Highest IV Rank — 39.8%
  • 2015-11-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.40$111.05$117.16$111.05$115.24
Max Pain$106.80$103.54$107.38$103.54$107.38
ATM IV16.9%15.0%20.3%20.2%17.3%
Expected Move4.9%4.3%5.8%5.8%5.0%
HV 20d17.0%13.8%18.6%15.5%18.4%
HV 60d23.0%20.7%24.1%22.6%20.8%
IV Rank23.3%13.8%39.8%39.5%25.1%
IV Percentile44.1%20.2%80.2%79.8%51.2%
Term Structure0.8%-1.7%2.7%-1.7%0.2%
VWIV18.4%15.4%25.3%19.9%17.1%
Skew 25d3.2%2.5%3.9%2.5%2.7%
Skew 10d7.4%4.7%10.7%10.7%8.8%
Call IV 25d15.7%14.5%19.2%19.2%16.4%
Put IV 25d18.9%17.8%21.9%21.7%19.1%
Bid-Ask Spread %83.2779.6189.9484.4381.92
Gamma HHI0.400.160.800.160.25
Net GEX5.5M848.6K19.2M848.6K1.9M
Net DEX-47.0M-93.5M-7.9M-7.9M-21.1M
Net VEX-177.1K-211.6K-138.2K-188.4K-138.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.057.342.132.00
Total Volume2,542.853065,3922,5211,017
Total OI20,426.4514,56224,54017,24415,322

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$111.05$103.5420.2%5.8%15.5%39.5%19.9%2.5%-1.7%848.6K-7.9M-188.4K2.1384.43N/AN/A8041,7177,3679,877
2015-11-03$112.35$103.5420.3%5.8%13.8%39.8%20.0%3.4%-1.3%989.6K-14.8M-184.6K1.8682.35N/AN/A1,0091,8797,3469,896
2015-11-04$115.73$103.5416.4%4.7%15.8%20.5%17.1%2.8%0.5%1.6M-34.6M-171.9K2.8689.94N/AN/A1,1583,3107,44510,142
2015-11-05$116.80$107.3817.0%5.0%15.7%23.7%17.7%3.6%0.4%1.0M-39.0M-185.6K0.2480.72N/AN/A3,1357477,81811,541
2015-11-06$116.97$107.3815.7%4.7%15.8%17.3%18.3%3.5%1.7%3.3M-55.0M-190.8K0.0580.41N/AN/A3,1041629,67511,613
2015-11-09$116.90$107.3816.7%4.8%15.9%22.1%16.9%3.2%1.3%7.1M-77.5M-211.6K1.0379.61N/AN/A24324912,58311,627
2015-11-10$116.54$107.3816.2%4.7%15.1%19.5%17.0%3.0%1.9%7.8M-77.4M-204.5K0.9680.27N/AN/A81978412,56211,752
2015-11-11$117.16$107.3815.0%4.3%14.2%13.8%16.6%3.3%2.7%8.1M-82.0M-195.2K0.8982.25N/AN/A87878412,60411,846
2015-11-12$113.88$107.3816.4%4.7%18.6%20.6%19.9%3.3%1.5%8.2M-42.7M-206.4K0.9284.19N/AN/A76270512,67711,863
2015-11-13$114.09$107.3817.1%4.9%17.8%23.9%21.6%3.6%1.3%8.6M-42.3M-209.2K7.3480.67N/AN/A6464,74612,70211,809
2015-11-16$115.65$107.3817.6%5.0%18.2%26.4%16.9%3.2%0.6%10.6M-64.5M-187.2K3.4280.95N/AN/A6923712,70110,714
2015-11-17$115.91$107.3817.3%5.0%18.1%25.4%25.3%3.9%0.6%10.7M-69.5M-180.5K3.5482.38N/AN/A7702,72112,69210,882
2015-11-18$116.31$107.3816.9%4.8%18.0%22.9%17.7%2.9%1.2%12.3M-81.0M-166.0K4.0883.60N/AN/A6672,71612,83110,911
2015-11-19$115.02$107.3816.9%4.8%18.3%23.1%19.7%2.9%1.5%19.2M-56.0M-165.4K4.0785.54N/AN/A6562,66712,81810,993
2015-11-20$116.01$107.3816.5%4.7%18.1%21.2%16.8%3.2%1.6%1.3M-93.5M-149.4K1.6384.87N/AN/A1,6032,60812,82311,007
2015-11-23$115.75$107.3816.1%4.6%18.1%19.3%17.8%3.6%0.6%1.8M-21.8M-149.9K1.3884.53N/AN/A2203046,5238,039
2015-11-24$115.47$107.3815.9%4.6%18.2%18.2%15.4%3.1%0.3%1.7M-18.4M-152.5K0.7885.44N/AN/A2001566,6748,276
2015-11-25$115.12$107.3816.1%4.6%18.2%19.0%17.5%3.2%0.8%1.7M-18.7M-152.5K3.6983.80N/AN/A7072,6066,8298,416
2015-11-27$116.04$107.3817.0%4.9%18.1%23.8%19.0%2.7%-0.1%2.1M-23.1M-151.4K3.8387.46N/AN/A6822,6106,9078,426
2015-11-30$115.24$107.3817.3%5.0%18.4%25.1%17.1%2.7%0.2%1.9M-21.1M-138.2K2.0081.92N/AN/A3406776,8808,442