BDX Options History — December 2015

In December 2015, BDX traded between $114.95 and $120.05. ATM implied volatility averaged 16.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.5% (HV 20d: 19.1%). Max pain ranged from $107.38 to $115.05. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2015-12-03: Highest Volume — 5,379 contracts
  • 2015-12-04: Largest IV drop — 21.5% change
  • 2015-12-11: Highest IV Rank — 37.5%
  • 2015-12-11: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.15$114.95$120.05$117.10$118.50
Max Pain$114.35$107.38$115.05$107.38$115.05
ATM IV16.6%14.2%19.8%15.3%16.0%
Expected Move4.8%4.3%5.7%4.4%4.6%
HV 20d19.1%15.9%20.2%18.6%19.1%
HV 60d20.3%17.1%21.7%20.8%17.1%
IV Rank21.7%9.6%37.5%15.2%18.7%
IV Percentile38.7%6.7%75.0%20.6%30.6%
Term Structure1.3%-0.7%2.3%0.4%2.0%
VWIV17.7%15.4%20.8%17.7%17.7%
Skew 25d3.1%1.9%4.3%4.3%2.6%
Skew 10d6.9%4.3%11.0%11.0%8.1%
Call IV 25d15.7%14.4%18.7%14.4%15.8%
Put IV 25d18.8%17.0%21.8%18.7%18.4%
Bid-Ask Spread %80.6371.9686.1482.1780.62
Gamma HHI0.330.230.500.260.31
Net GEX2.8M1.4M4.7M2.4M2.4M
Net DEX-27.5M-44.1M-14.9M-27.7M-23.7M
Net VEX-186.6K-206.7K-141.1K-154.7K-188.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.074.351.190.82
Total Volume2,798.0453005,379300743
Total OI17,03213,10120,94416,18714,569

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$117.10$107.3815.3%4.4%18.6%15.2%17.7%4.3%0.4%2.4M-27.7M-154.7K1.1982.17N/AN/A1371637,1099,078
2015-12-02$116.38$107.3816.9%4.9%18.5%23.3%16.6%1.9%-0.7%2.6M-28.2M-141.1K2.7585.16N/AN/A1,0232,8077,2119,097
2015-12-03$114.95$115.0518.1%4.9%15.9%28.9%17.3%3.1%1.2%1.9M-18.0M-164.0K4.3580.68N/AN/A1,0054,3747,5969,123
2015-12-04$118.62$115.0514.2%4.3%19.3%9.6%17.1%3.0%2.3%3.5M-40.5M-159.2K4.1179.84N/AN/A8313,4147,87210,514
2015-12-07$117.82$115.0515.4%4.4%19.5%15.7%15.4%3.1%2.1%3.2M-34.4M-176.5K0.0780.79N/AN/A3,5822577,97810,550
2015-12-08$118.61$115.0515.8%4.5%19.6%17.8%16.0%3.2%1.9%3.4M-36.9M-176.1K1.4082.89N/AN/A1,7432,4377,63510,780
2015-12-09$117.26$115.0516.8%4.8%20.0%22.4%17.2%2.4%1.6%2.6M-19.8M-190.1K1.4481.92N/AN/A1,9732,8517,24910,887
2015-12-10$118.34$115.0516.6%4.8%20.2%21.8%17.1%2.2%1.0%3.9M-31.1M-186.3K1.5082.86N/AN/A1,6322,4527,70311,147
2015-12-11$116.18$115.0519.8%5.7%18.6%37.5%20.8%4.1%0.3%2.4M-16.6M-204.9K1.8480.82N/AN/A1,6272,9977,91211,214
2015-12-14$117.29$115.0519.5%5.6%18.8%36.1%19.7%2.5%0.2%2.9M-20.8M-194.0K1.7277.77N/AN/A1,5702,7048,00711,821
2015-12-15$117.68$115.0518.0%5.2%18.3%28.7%19.7%4.3%0.7%3.4M-24.9M-200.7K1.7881.78N/AN/A1,2762,2788,17512,051
2015-12-16$119.60$115.0517.3%5.0%19.1%25.0%19.4%3.6%1.5%4.7M-39.9M-189.5K1.5686.14N/AN/A1,6042,5028,21812,075
2015-12-17$119.80$115.0516.6%4.7%19.0%21.4%16.7%2.7%1.8%4.7M-44.1M-194.0K1.5481.46N/AN/A1,5662,4058,56212,323
2015-12-18$117.66$115.0517.0%4.9%19.8%23.5%18.7%3.5%1.8%1.4M-24.0M-205.0K1.5471.96N/AN/A1,6182,4898,56212,382
2015-12-21$117.77$115.0516.8%4.8%19.6%22.8%18.5%3.2%1.7%1.5M-14.9M-206.7K0.7673.74N/AN/A3572726,1906,911
2015-12-22$118.30$115.0516.1%4.6%19.6%19.1%19.3%3.0%1.4%1.8M-19.6M-197.1K0.9777.31N/AN/A4584466,3276,959
2015-12-23$119.54$115.0515.4%4.4%19.8%15.7%18.0%2.6%1.5%2.2M-27.5M-189.6K0.7476.50N/AN/A6254636,4967,177
2015-12-24$119.58$115.0515.5%4.5%19.7%16.3%16.2%2.4%1.9%2.4M-29.6M-196.1K0.6177.79N/AN/A4772916,8907,220
2015-12-28$119.11$115.0516.1%4.6%19.7%19.2%17.4%3.1%1.6%2.5M-26.4M-198.3K0.8283.44N/AN/A4533736,9727,346
2015-12-29$120.05$115.0516.4%4.7%19.6%20.6%16.6%3.2%1.4%2.6M-30.2M-196.0K1.0384.12N/AN/A3083156,9767,399
2015-12-30$119.21$115.0516.1%4.6%19.1%19.1%17.1%4.0%1.6%2.6M-26.4M-198.1K0.8084.19N/AN/A3652947,0207,421
2015-12-31$118.50$115.0516.0%4.6%19.1%18.7%17.7%2.6%2.0%2.4M-23.7M-188.3K0.8280.62N/AN/A4103337,0677,502