BDX Options History — February 2016

In February 2016, BDX traded between $101.95 and $114.91. ATM implied volatility averaged 24.2%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.3% (HV 20d: 25.5%). Max pain ranged from $111.21 to $115.05. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-02-02: Highest Volume — 4,105 contracts
  • 2016-02-08: Largest IV spike — 26.3% change
  • 2016-02-08: Highest IV Rank — 93.1%
  • 2016-02-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.04$101.95$114.91$112.11$113.41
Max Pain$112.36$111.21$115.05$111.21$111.21
ATM IV24.2%19.6%32.5%26.7%19.6%
Expected Move6.8%5.6%8.2%7.7%5.6%
HV 20d25.5%22.0%26.7%26.4%24.7%
HV 60d22.5%20.7%23.2%21.5%23.1%
IV Rank55.2%33.3%93.1%66.7%33.3%
IV Percentile84.5%61.5%99.6%96.8%61.5%
Term Structure-1.1%-4.6%0.6%-3.2%-0.7%
VWIV24.4%20.7%31.2%29.7%22.3%
Skew 25d4.5%3.4%5.6%4.4%3.6%
Skew 10d8.9%5.4%10.8%9.7%5.4%
Call IV 25d21.9%18.2%26.9%24.7%19.6%
Put IV 25d26.5%22.5%31.6%29.0%23.2%
Bid-Ask Spread %77.1869.4187.6881.2383.60
Gamma HHI0.240.170.380.180.21
Net GEX-2.8M-6.1M706.6K-1.2M267.3K
Net DEX29.4M-12.3M84.0M14.2M-6.4M
Net VEX-155.2K-190.5K-132.4K-185.9K-146.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.282.230.452.23
Total Volume1,382.856654,1051,055738
Total OI19,382.6514,22623,39417,21915,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$112.11$111.2126.7%7.7%26.4%66.7%29.7%4.4%-3.2%-1.2M14.2M-185.9K0.4581.23N/AN/A7293267,02310,196
2016-02-02$111.25$111.2128.6%8.2%22.0%75.4%31.2%4.7%-4.6%-1.3M14.7M-190.5K2.1282.69N/AN/A1,3142,7917,53210,238
2016-02-03$108.05$111.2124.8%7.1%24.1%57.9%24.4%4.6%-0.9%-4.2M40.5M-184.8K1.4687.68N/AN/A6659737,98812,480
2016-02-04$105.66$115.0523.3%6.4%25.0%51.1%23.9%4.3%-0.4%-5.0M59.5M-168.2K1.1172.11N/AN/A5746398,14612,706
2016-02-05$103.50$115.0525.7%6.9%25.5%62.0%24.9%5.6%-0.2%-4.6M73.7M-149.4K0.9877.57N/AN/A4724608,23912,827
2016-02-08$101.95$115.0532.5%8.0%25.2%93.1%25.7%3.4%-2.8%-4.0M84.0M-132.4K0.8372.59N/AN/A5464538,20312,976
2016-02-09$103.10$115.0527.7%7.3%25.7%71.1%26.6%5.4%-1.5%-4.7M78.0M-137.9K0.6272.63N/AN/A7304508,24613,056
2016-02-10$104.36$115.0525.4%7.3%25.9%60.8%25.4%5.5%-0.9%-5.1M66.8M-149.7K0.6174.70N/AN/A7284468,45513,150
2016-02-11$104.03$115.0526.8%7.7%25.8%67.1%27.3%5.0%-2.3%-5.1M72.8M-147.3K0.6574.65N/AN/A7624928,70313,254
2016-02-12$107.24$111.2124.9%7.1%26.4%58.4%26.0%4.7%-1.2%-6.1M47.1M-165.6K0.4369.41N/AN/A1,0294458,98313,339
2016-02-16$108.85$111.2124.8%7.1%26.2%57.9%23.9%4.4%-1.2%-6.0M28.2M-158.6K0.3171.37N/AN/A1,4044389,28713,373
2016-02-17$110.50$111.2122.8%6.5%26.7%48.7%24.3%4.3%-0.7%-3.8M11.1M-160.1K0.7573.61N/AN/A8406279,73213,444
2016-02-18$109.74$111.2122.3%6.4%26.4%46.2%22.6%5.3%0.6%-4.0M13.5M-151.4K0.2879.35N/AN/A1,8085109,85913,535
2016-02-19$110.94$111.2123.7%6.8%26.5%52.8%22.7%3.5%-0.3%-954.7K6.7M-145.7K0.6281.40N/AN/A7584739,30513,519
2016-02-22$111.70$111.2121.4%6.1%25.8%42.1%21.5%4.1%-0.5%-362.1K3.6M-142.0K0.6077.66N/AN/A5533326,7967,430
2016-02-23$112.47$111.2121.4%6.1%25.9%42.1%21.0%4.0%-0.8%-227.0K870.7K-142.6K0.7076.60N/AN/A5914176,8427,556
2016-02-24$113.12$111.2121.9%6.3%25.9%44.5%21.3%4.1%-1.0%53.9K-2.3M-146.1K1.0375.24N/AN/A3283377,1097,659
2016-02-25$113.91$111.2120.0%5.7%26.0%35.9%22.8%5.2%0.4%250.1K-5.2M-146.0K0.7578.72N/AN/A6965247,2147,776
2016-02-26$114.91$111.2120.1%5.8%24.2%36.1%20.7%4.3%-0.2%706.6K-12.3M-153.8K0.7280.81N/AN/A7315287,4638,038
2016-02-29$113.41$111.2119.6%5.6%24.7%33.3%22.3%3.6%-0.7%267.3K-6.4M-146.1K2.2383.60N/AN/A2285107,8398,137