BDX Options History — April 2016

In April 2016, BDX traded between $117.12 and $123.98. ATM implied volatility averaged 17.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 16.1%). Max pain ranged from $115.05 to $118.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.56.

Notable Days

  • 2016-04-12: Highest Volume — 3,152 contracts
  • 2016-04-11: Largest IV spike — 13.1% change
  • 2016-04-29: Highest IV Rank — 42.4%
  • 2016-04-29: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.98$117.12$123.98$117.85$123.65
Max Pain$117.79$115.05$118.88$115.05$118.88
ATM IV17.6%13.5%21.5%13.5%21.5%
Expected Move5.2%3.9%6.2%3.9%6.2%
HV 20d16.1%14.2%18.9%16.3%14.2%
HV 60d19.7%17.3%20.8%20.8%17.3%
IV Rank24.5%5.5%42.4%5.5%42.4%
IV Percentile45.2%2.0%73.8%2.0%73.8%
Term Structure-0.7%-3.2%3.3%3.3%-3.2%
VWIV20.2%15.0%24.8%15.0%24.8%
Skew 25d3.7%1.7%4.8%1.7%3.8%
Skew 10d7.9%4.8%9.4%4.8%8.2%
Call IV 25d16.8%13.3%19.4%13.3%19.4%
Put IV 25d20.5%15.0%23.2%15.0%23.2%
Bid-Ask Spread %67.4156.3579.1475.8770.17
Gamma HHI0.260.220.310.230.25
Net GEX3.9M2.9M5.8M4.3M3.7M
Net DEX-42.2M-64.5M-25.4M-29.2M-46.7M
Net VEX-228.6K-243.3K-213.8K-223.0K-237.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.636.241.823.15
Total Volume1,608.4296883,1529651,325
Total OI17,751.42915,90220,60416,56517,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$117.85$115.0513.5%3.9%16.3%5.5%15.0%1.7%3.3%4.3M-29.2M-223.0K1.8275.87N/AN/A3426238,0868,479
2016-04-04$118.80$115.0514.9%4.9%16.4%11.7%19.6%3.5%-0.5%4.6M-37.3M-214.5K2.5660.47N/AN/A5951,5238,2028,487
2016-04-05$117.12$115.0515.9%5.0%17.2%16.3%19.2%4.8%-0.1%4.1M-25.4M-233.6K3.7556.35N/AN/A5081,9008,5109,428
2016-04-06$119.17$115.0516.1%5.2%17.6%17.4%18.0%3.3%-0.7%4.2M-37.5M-231.4K1.3260.35N/AN/A1,2821,6938,6149,506
2016-04-07$118.86$115.0516.5%5.1%17.6%19.2%18.8%4.3%0.2%4.5M-37.6M-243.3K4.3559.07N/AN/A3471,5099,0069,565
2016-04-08$118.38$115.0516.0%5.1%17.6%16.6%19.9%4.4%-0.2%4.8M-34.7M-237.5K3.6660.04N/AN/A2428849,0699,724
2016-04-11$118.08$118.8818.0%5.1%17.4%26.3%20.9%4.3%-0.4%5.1M-31.9M-233.8K6.2460.15N/AN/A1651,0349,0889,782
2016-04-12$120.87$118.8817.6%5.2%18.9%24.1%18.8%3.6%-0.4%3.9M-53.8M-222.6K0.6361.86N/AN/A1,9371,2159,0969,799
2016-04-13$121.89$118.8818.6%5.3%18.3%28.7%19.3%3.5%-0.9%5.8M-63.7M-228.6K1.5169.76N/AN/A63595710,23510,045
2016-04-14$121.17$118.8817.4%5.0%18.6%23.6%20.0%3.9%-0.9%5.2M-59.2M-231.1K0.9279.14N/AN/A1,05697710,20710,078
2016-04-15$122.06$118.8817.2%4.9%16.2%22.2%18.0%3.7%-0.2%2.9M-64.5M-228.4K1.2971.59N/AN/A71292210,55510,049
2016-04-18$122.27$118.8817.4%5.0%14.4%23.2%18.5%3.8%-0.2%3.1M-37.4M-224.7K1.7674.34N/AN/A2494397,7688,134
2016-04-19$121.24$118.8817.4%5.0%14.7%23.3%21.3%3.8%-0.4%3.0M-33.6M-221.9K2.2971.97N/AN/A2495707,8438,227
2016-04-20$121.92$118.8817.5%5.0%14.7%23.6%18.5%3.3%-0.5%3.1M-36.9M-227.2K1.8468.04N/AN/A3035577,9128,413
2016-04-21$121.69$118.8818.0%5.2%14.8%26.0%19.0%4.0%-0.6%3.1M-35.1M-228.5K2.0270.32N/AN/A3527117,9918,563
2016-04-22$122.57$118.8818.1%5.2%14.7%26.5%20.9%3.7%-1.0%3.3M-38.6M-228.6K3.4276.29N/AN/A1635578,0948,702
2016-04-25$122.76$118.8819.1%5.5%14.7%31.4%24.8%3.6%-2.0%3.3M-40.3M-226.5K3.3764.95N/AN/A4181,4128,1038,784
2016-04-26$122.42$118.8819.4%5.6%14.2%32.8%24.7%4.3%-2.3%3.7M-43.1M-213.8K3.4064.71N/AN/A4411,5058,4028,354
2016-04-27$123.98$118.8819.8%5.7%14.5%34.6%21.6%3.7%-2.3%3.6M-48.8M-232.8K2.2669.12N/AN/A6171,3938,5198,512
2016-04-28$123.91$118.8820.7%5.9%14.4%38.8%22.3%3.5%-1.7%3.8M-50.1M-231.0K2.2971.12N/AN/A4441,0148,6668,662
2016-04-29$123.65$118.8821.5%6.2%14.2%42.4%24.8%3.8%-3.2%3.7M-46.7M-237.6K3.1570.17N/AN/A3191,0068,8188,703