BDX Options History — January 2016

In January 2016, BDX traded between $108.11 and $113.83. ATM implied volatility averaged 26.0%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.2% (HV 20d: 22.8%). Max pain ranged from $111.21 to $118.88. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-01-04: Highest Volume — 4,873 contracts
  • 2016-01-08: Largest IV spike — 27.4% change
  • 2016-01-08: Highest IV Rank — 100.0%
  • 2016-01-28: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.44$108.11$113.83$113.56$110.09
Max Pain$114.85$111.21$118.88$118.88$111.21
ATM IV26.0%21.2%34.0%23.7%25.7%
Expected Move6.9%5.8%8.2%5.8%7.4%
HV 20d22.8%20.7%25.3%24.2%25.3%
HV 60d20.2%19.1%21.4%19.1%21.3%
IV Rank64.4%44.3%100.0%56.7%61.9%
IV Percentile94.5%86.9%100.0%94.0%94.0%
Term Structure-1.5%-4.7%-0.1%-0.5%-2.8%
VWIV23.7%21.2%27.0%23.5%27.0%
Skew 25d4.5%3.4%6.4%4.1%3.4%
Skew 10d9.5%7.7%12.0%9.4%7.7%
Call IV 25d22.1%19.5%24.6%19.7%24.6%
Put IV 25d26.6%23.8%29.8%23.8%28.0%
Bid-Ask Spread %78.3274.7082.2374.7082.23
Gamma HHI0.220.180.270.240.20
Net GEX-2.1M-3.4M20.8K20.8K-2.1M
Net DEX30.6M9.8M50.7M9.8M25.3M
Net VEX-197.9K-224.7K-185.5K-188.4K-188.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.133.213.211.16
Total Volume1,292.5266694,8734,873686
Total OI17,38314,75019,58514,75017,048

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$113.56$118.8823.7%5.8%24.2%56.7%23.5%4.1%-0.5%20.8K9.8M-188.4K3.2174.70N/AN/A1,1563,7177,1337,617
2016-01-05$113.83$118.8821.2%5.9%21.1%44.3%22.3%4.3%-0.7%-960.1K15.8M-224.7K0.9475.68N/AN/A7807357,42810,709
2016-01-06$112.57$118.8825.4%6.2%21.3%65.0%21.3%3.9%-0.1%-1.8M25.6M-219.0K1.2080.07N/AN/A5166227,44410,718
2016-01-07$111.11$118.8826.7%6.5%21.3%71.4%23.5%4.1%-1.3%-2.4M34.5M-212.2K0.7577.36N/AN/A8066057,49110,807
2016-01-08$109.02$115.0534.0%7.6%21.9%100.0%21.6%5.7%-4.7%-2.8M42.5M-204.0K0.2581.42N/AN/A9402397,49310,877
2016-01-11$108.34$115.0532.1%7.0%21.4%91.5%21.2%4.7%-1.6%-3.3M50.7M-188.5K0.4874.78N/AN/A8784227,74110,910
2016-01-12$109.33$115.0532.0%6.2%21.2%91.1%22.2%3.9%-1.0%-3.4M46.8M-195.2K0.4577.78N/AN/A6682987,87911,080
2016-01-13$108.53$115.0525.0%7.2%20.7%58.9%24.8%4.4%-1.4%-3.1M48.5M-190.9K0.5682.12N/AN/A5713228,01611,105
2016-01-14$111.49$115.0522.2%6.4%23.3%46.0%21.5%3.8%-0.2%-2.7M34.7M-196.6K0.1377.67N/AN/A2,3483128,04911,194
2016-01-15$109.37$115.0524.1%6.9%22.9%54.9%25.6%5.3%-0.3%-2.0M45.2M-202.3K0.8777.19N/AN/A4974348,39611,189
2016-01-19$109.62$115.0525.3%7.3%22.9%60.3%25.0%4.0%-1.9%-2.0M28.7M-194.4K0.3277.59N/AN/A5091605,9359,574
2016-01-20$108.11$115.0526.0%7.5%22.7%63.3%24.3%5.0%-1.5%-2.4M35.3M-187.6K0.3578.28N/AN/A6912446,0699,591
2016-01-21$108.88$115.0526.1%7.5%22.9%63.6%24.1%4.8%-1.8%-2.2M31.9M-193.9K0.6175.43N/AN/A4993046,2639,680
2016-01-22$110.99$115.0523.1%6.6%24.2%50.0%22.3%4.4%-1.0%-1.8M21.1M-198.4K0.5375.16N/AN/A7053746,3849,751
2016-01-25$111.12$111.2124.3%7.0%23.8%55.3%23.6%5.0%-1.4%-1.6M18.8M-193.0K0.8479.32N/AN/A5514636,6899,802
2016-01-26$111.38$111.2124.2%6.9%23.8%55.2%26.3%4.1%-1.8%-1.6M19.3M-195.8K1.6479.97N/AN/A3706076,7479,820
2016-01-27$111.89$111.2124.9%7.2%24.0%58.5%23.6%4.6%-1.6%-1.5M16.5M-201.7K0.8081.22N/AN/A4643736,7779,985
2016-01-28$109.11$111.2128.5%8.2%24.8%75.1%26.2%6.4%-3.3%-2.2M30.5M-185.5K1.0280.11N/AN/A3423506,87910,007
2016-01-29$110.09$111.2125.7%7.4%25.3%61.9%27.0%3.4%-2.8%-2.1M25.3M-188.0K1.1682.23N/AN/A3173696,91810,130