BDX Options History — May 2016

In May 2016, BDX traded between $123.02 and $129.18. ATM implied volatility averaged 16.8%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.0% (HV 20d: 12.8%). 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 17 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2016-05-06: Highest Volume — 4,888 contracts
  • 2016-05-05: Largest IV drop — 33.9% change
  • 2016-05-04: Highest IV Rank — 53.5%
  • 2016-05-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.92$123.02$129.18$123.61$127.80
Max Pain$117.79$115.05$118.88$118.88$118.88
ATM IV16.8%14.4%23.9%22.4%16.2%
Expected Move4.8%4.2%6.9%6.4%4.6%
HV 20d12.8%11.1%14.1%14.1%13.4%
HV 60d15.0%14.3%16.5%16.5%14.4%
IV Rank20.7%9.7%53.5%46.4%17.6%
IV Percentile32.4%9.1%85.3%79.4%30.2%
Term Structure0.4%-4.3%2.6%-3.5%-0.7%
VWIV17.7%14.5%25.7%24.3%15.3%
Skew 25d3.3%2.5%4.0%4.0%3.1%
Skew 10d7.1%4.8%10.0%10.0%5.2%
Call IV 25d15.5%12.6%22.3%20.3%13.9%
Put IV 25d18.8%15.5%25.6%24.3%17.1%
Bid-Ask Spread %71.7153.0685.7368.4880.52
Gamma HHI0.230.210.270.250.22
Net GEX3.8M2.5M4.6M3.9M3.8M
Net DEX-61.3M-81.8M-42.7M-45.8M-51.7M
Net VEX-232.6K-249.4K-215.3K-237.8K-215.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.829.871.841.60
Total Volume1,567.7147394,8888321,191
Total OI20,362.1917,71523,40217,71519,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$123.61$118.8822.4%6.4%14.1%46.4%24.3%4.0%-3.5%3.9M-45.8M-237.8K1.8468.48N/AN/A2945388,8818,834
2016-05-03$123.02$118.8823.3%6.7%13.0%50.7%24.8%3.9%-3.6%3.6M-43.0M-237.8K2.0669.19N/AN/A2936028,9058,961
2016-05-04$123.85$118.8823.9%6.9%11.9%53.5%25.7%3.2%-4.3%3.7M-47.2M-237.5K2.7459.66N/AN/A5721,5678,9529,105
2016-05-05$126.48$115.0515.8%4.6%13.6%16.0%18.6%3.7%1.5%4.3M-66.8M-216.0K1.1854.33N/AN/A7108389,1519,662
2016-05-06$126.30$115.0515.6%4.6%13.4%14.9%17.0%3.4%1.0%4.6M-65.7M-226.0K9.8753.06N/AN/A4504,4389,4559,835
2016-05-09$127.14$115.0516.8%4.6%13.3%20.4%18.9%3.1%1.5%4.4M-69.3M-240.0K2.7256.77N/AN/A1,1363,0859,61111,061
2016-05-10$128.54$115.0514.4%4.2%11.4%9.7%17.1%3.0%1.5%4.0M-76.9M-241.8K2.3256.53N/AN/A6091,4139,99211,321
2016-05-11$128.13$115.0516.1%4.6%11.5%17.1%16.7%3.1%1.5%4.2M-74.8M-235.9K1.7958.76N/AN/A46282810,06411,560
2016-05-12$128.25$115.0516.0%4.6%11.1%16.9%16.0%3.3%1.8%4.3M-75.3M-238.5K1.8562.83N/AN/A38771510,28011,657
2016-05-13$127.49$118.8816.3%4.7%11.3%18.0%16.4%3.6%1.8%4.3M-71.4M-235.8K1.5767.89N/AN/A51480610,30811,767
2016-05-16$129.18$118.8816.2%4.6%12.0%17.7%16.4%2.6%0.7%4.1M-81.8M-234.6K0.8280.05N/AN/A77563910,57912,006
2016-05-17$128.59$118.8815.9%4.6%11.6%16.3%16.4%3.5%1.4%4.3M-80.1M-236.5K0.8385.62N/AN/A78665410,77112,122
2016-05-18$126.79$118.8816.2%4.6%13.0%17.6%19.2%3.8%2.6%3.4M-64.0M-244.3K2.5277.91N/AN/A4021,01110,91112,340
2016-05-19$125.74$118.8816.6%4.7%13.4%19.4%16.6%3.1%1.5%3.2M-55.1M-249.4K1.7179.51N/AN/A53391510,96812,146
2016-05-20$126.56$118.8816.0%4.6%13.4%17.0%16.7%3.5%2.1%2.5M-62.2M-244.5K1.2781.88N/AN/A7941,01111,07812,324
2016-05-23$126.03$118.8815.1%4.3%13.6%12.5%15.5%2.9%1.5%3.2M-42.7M-221.8K1.1984.00N/AN/A3374028,6099,600
2016-05-24$127.41$118.8815.5%4.5%13.9%14.7%15.1%2.9%0.0%3.5M-49.0M-227.8K1.4785.73N/AN/A3084528,8059,660
2016-05-25$128.12$118.8815.2%4.4%13.4%13.3%15.7%3.4%0.2%3.8M-53.5M-224.6K2.2479.63N/AN/A2305188,9079,789
2016-05-26$128.24$118.8814.8%4.2%13.3%11.4%15.2%2.5%0.6%3.8M-56.8M-215.4K1.8080.96N/AN/A3085538,9709,950
2016-05-27$128.03$118.8815.4%4.4%13.3%14.2%14.5%4.0%0.4%3.9M-54.8M-222.3K1.8282.62N/AN/A3005469,13210,133
2016-05-31$127.80$118.8816.2%4.6%13.4%17.6%15.3%3.1%-0.7%3.8M-51.7M-215.3K1.6080.52N/AN/A4587339,14310,301