BDX Options History — March 2016

In March 2016, BDX traded between $112.37 and $117.03. ATM implied volatility averaged 17.4%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.2% (HV 20d: 17.2%). Max pain ranged from $111.21 to $115.05. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2016-03-16: Highest Volume — 2,455 contracts
  • 2016-03-08: Largest IV spike — 21.1% change
  • 2016-03-08: Highest IV Rank — 51.2%
  • 2016-03-01: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.63$112.37$117.03$114.93$116.64
Max Pain$111.39$111.21$115.05$111.21$115.05
ATM IV17.4%14.0%23.4%19.9%15.1%
Expected Move4.9%4.0%5.7%5.7%4.3%
HV 20d17.2%13.1%24.3%24.3%16.2%
HV 60d22.2%20.7%23.3%23.3%20.7%
IV Rank23.2%7.7%51.2%34.7%12.8%
IV Percentile40.4%3.6%83.3%64.3%13.9%
Term Structure1.7%-1.1%3.1%-0.8%3.1%
VWIV18.5%14.2%21.2%21.1%15.3%
Skew 25d3.4%2.4%5.9%5.9%2.6%
Skew 10d6.8%1.8%9.6%9.6%3.9%
Call IV 25d15.8%13.6%18.1%17.8%13.6%
Put IV 25d19.2%16.2%23.7%23.7%16.2%
Bid-Ask Spread %79.4670.3288.7285.7473.00
Gamma HHI0.240.190.390.210.23
Net GEX1.3M-3.1M4.0M846.5K4.0M
Net DEX-10.9M-22.5M10.7M-13.2M-22.3M
Net VEX-167.4K-222.1K-120.4K-145.4K-222.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.405.122.141.62
Total Volume1,281.0457552,455938755
Total OI16,518.45512,11721,34316,16216,270

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$114.93$111.2119.9%5.7%24.3%34.7%21.1%5.9%-0.8%846.5K-13.2M-145.4K2.1485.74N/AN/A2996397,8588,304
2016-03-02$115.43$111.2118.9%5.4%24.1%30.3%21.2%3.4%-1.1%1.3M-18.6M-145.0K1.0186.77N/AN/A4104127,9658,384
2016-03-03$114.63$111.2117.5%4.9%21.4%24.0%18.5%3.8%1.4%725.1K-12.9M-138.2K0.7077.70N/AN/A5523877,9378,419
2016-03-04$114.46$111.2118.1%5.0%19.3%26.5%19.0%4.0%1.6%602.9K-11.7M-142.6K1.3580.71N/AN/A3965328,0438,455
2016-03-07$113.85$111.2119.3%4.9%17.4%32.3%19.4%3.8%2.0%-61.5K-6.4M-133.1K0.5783.45N/AN/A9365328,0758,700
2016-03-08$112.82$111.2123.4%5.4%16.6%51.2%18.2%3.5%1.3%-325.6K-2.1M-139.8K1.2087.62N/AN/A3824587,8278,751
2016-03-09$112.53$111.2119.3%5.5%16.7%32.0%20.2%3.2%1.0%-747.6K1.2M-130.6K1.5082.52N/AN/A4947407,9778,837
2016-03-10$113.62$111.2118.4%5.3%16.5%27.8%20.3%3.4%1.9%-25.9K-5.2M-130.2K1.8682.77N/AN/A3125808,0009,013
2016-03-11$114.77$111.2117.2%4.9%16.4%22.6%19.4%3.9%2.1%1.4M-15.2M-129.0K1.3480.75N/AN/A3684948,0929,109
2016-03-14$115.76$111.2117.4%5.0%13.5%23.5%19.5%2.7%1.3%2.4M-22.2M-120.4K0.9680.75N/AN/A4254088,2599,136
2016-03-15$114.40$111.2117.0%4.9%13.9%21.5%20.3%3.8%2.0%1.1M-13.2M-120.4K5.1280.36N/AN/A3711,9028,4249,194
2016-03-16$114.83$111.2117.5%5.0%13.1%24.0%17.0%4.7%1.2%1.8M-14.0M-149.7K3.2188.47N/AN/A5831,8728,44510,574
2016-03-17$112.37$111.2118.4%5.3%15.3%27.9%17.7%2.4%1.3%-3.1M10.7M-183.6K2.2588.72N/AN/A5371,2068,85612,154
2016-03-18$115.13$111.2116.0%4.6%17.1%17.0%16.3%3.3%2.4%3.0M-15.6M-192.6K0.4478.92N/AN/A1,6247108,96612,377
2016-03-21$114.63$111.2115.7%4.5%17.1%15.3%20.5%2.9%2.8%1.9M-7.9M-192.2K0.7376.15N/AN/A9787145,9056,212
2016-03-22$114.59$111.2115.5%4.4%17.0%14.6%17.3%3.1%2.2%1.9M-8.6M-212.8K1.7073.05N/AN/A4637866,6287,179
2016-03-23$114.55$111.2115.6%4.5%16.9%14.9%20.2%3.3%2.0%1.9M-8.1M-211.6K1.4872.00N/AN/A4086056,8097,712
2016-03-24$114.24$111.2115.6%4.5%16.8%14.8%16.9%3.2%2.7%1.9M-6.4M-215.5K1.7770.32N/AN/A3746617,0097,810
2016-03-28$114.42$111.2116.8%4.8%16.5%20.4%18.8%2.5%1.7%2.0M-7.8M-210.6K2.9072.37N/AN/A2146197,1327,919
2016-03-29$116.18$111.2115.6%4.5%16.6%14.9%15.2%2.9%2.2%3.0M-17.2M-208.7K1.1372.77N/AN/A6677507,1917,977
2016-03-30$117.03$111.2114.0%4.0%16.1%7.7%14.2%2.4%2.5%3.6M-22.5M-208.7K0.4073.13N/AN/A1,1594697,3808,142
2016-03-31$116.64$115.0515.1%4.3%16.2%12.8%15.3%2.6%3.1%4.0M-22.3M-222.1K1.6273.00N/AN/A2894667,9598,311