BDX Options History — June 2016

In June 2016, BDX traded between $125.00 and $131.94. ATM implied volatility averaged 16.6%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.3% (HV 20d: 13.3%). Max pain ranged from $118.88 to $130.39. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-06-06: Highest Volume — 6,939 contracts
  • 2016-06-24: Largest IV spike — 34.8% change
  • 2016-06-27: Highest IV Rank — 45.2%
  • 2016-06-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.03$125.00$131.94$128.06$129.86
Max Pain$128.64$118.88$130.39$118.88$130.39
ATM IV16.6%13.7%22.8%15.6%15.1%
Expected Move4.8%4.0%6.5%4.5%4.3%
HV 20d13.3%10.8%20.7%13.2%20.6%
HV 60d14.0%12.4%15.8%14.4%15.5%
IV Rank18.6%6.2%45.2%14.8%7.8%
IV Percentile30.6%2.8%80.2%19.4%9.5%
Term Structure1.4%-0.7%2.9%0.1%2.8%
VWIV18.1%14.7%23.2%14.9%15.5%
Skew 25d4.1%2.8%5.9%3.1%4.0%
Skew 10d8.9%4.2%13.0%4.2%8.6%
Call IV 25d15.3%13.0%21.5%13.3%13.9%
Put IV 25d19.4%16.4%27.4%16.4%17.9%
Bid-Ask Spread %83.9678.0393.3780.6793.37
Gamma HHI0.250.140.360.210.36
Net GEX1.5M-789.5K3.5M3.3M2.6M
Net DEX-28.1M-69.9M-266.4K-53.4M-31.5M
Net VEX-213.2K-233.7K-188.4K-218.3K-203.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.114.611.942.93
Total Volume2,137.56786,9391,1882,178
Total OI17,237.36414,08120,13719,68915,564

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$128.06$118.8815.6%4.5%13.2%14.8%14.9%3.1%0.1%3.3M-53.4M-218.3K1.9480.67N/AN/A4047849,06310,626
2016-06-02$129.28$126.5515.8%4.3%13.3%15.8%17.3%3.1%1.1%3.5M-58.4M-214.2K1.8478.03N/AN/A2614819,06710,933
2016-06-03$129.80$126.5513.7%4.3%11.3%6.2%15.7%2.8%1.8%3.4M-64.2M-204.2K1.2381.04N/AN/A3454259,01111,063
2016-06-06$130.38$126.5514.2%4.1%11.3%8.4%14.7%3.2%2.9%3.4M-69.9M-188.4K0.1180.56N/AN/A6,2516889,03011,107
2016-06-07$129.27$126.5514.0%4.0%11.7%7.4%17.4%3.9%2.1%1.5M-25.4M-219.7K0.6482.16N/AN/A1,9301,2396,13411,265
2016-06-08$130.50$126.5514.2%4.1%11.6%8.6%17.8%3.2%2.5%2.7M-32.1M-197.9K0.3780.46N/AN/A1,8586886,14611,364
2016-06-09$130.58$126.5514.8%4.2%11.5%11.1%15.8%3.6%1.8%2.6M-32.6M-201.6K0.4683.94N/AN/A1,9409016,17211,457
2016-06-10$129.65$126.5515.7%4.5%11.8%15.3%16.0%3.6%1.9%1.9M-27.0M-204.8K0.5587.05N/AN/A2,2831,2636,30311,635
2016-06-13$129.08$130.3916.0%4.6%11.7%17.0%19.8%5.7%2.2%1.6M-23.4M-233.0K0.4380.03N/AN/A1,8948206,82212,218
2016-06-14$129.56$130.3917.0%4.9%10.8%21.4%23.1%5.5%0.8%1.9M-23.9M-216.1K1.0480.19N/AN/A7167436,90612,337
2016-06-15$127.76$130.3919.6%5.6%11.8%33.7%21.3%4.6%-0.4%-789.5K-13.9M-220.5K0.8483.55N/AN/A8527166,92912,431
2016-06-16$128.30$130.3918.6%5.3%10.8%28.9%18.9%4.0%-0.1%-139.8K-13.9M-233.7K1.0081.93N/AN/A6916926,98612,447
2016-06-17$127.17$130.3918.2%5.2%10.8%26.9%19.3%3.7%1.6%291.2K-11.5M-228.3K1.0880.11N/AN/A6657207,03012,580
2016-06-20$128.81$130.3915.6%4.5%11.5%14.7%18.5%5.3%2.1%821.0K-18.8M-208.2K1.8685.44N/AN/A2384405,3758,706
2016-06-21$130.44$130.3916.2%4.7%12.0%17.9%17.1%4.5%1.5%1.2M-25.2M-200.8K1.1286.75N/AN/A4815385,3968,765
2016-06-22$130.37$130.3917.3%4.9%11.5%22.6%18.1%4.8%1.1%1.1M-23.8M-223.1K1.6484.80N/AN/A3215255,6358,938
2016-06-23$131.94$130.3915.8%4.5%12.1%10.9%16.7%3.3%1.9%1.3M-30.9M-206.1K1.1989.66N/AN/A3654355,6599,153
2016-06-24$128.29$130.3921.3%6.1%16.0%37.8%21.9%4.9%-0.1%540.4K-14.1M-231.0K3.5690.38N/AN/A4151,4775,7439,155
2016-06-27$125.00$130.3922.8%6.5%18.5%45.2%23.2%5.9%-0.7%-214.6K-266.4K-225.1K4.6184.37N/AN/A6472,9885,8689,010
2016-06-28$125.72$130.3919.1%5.5%18.6%27.0%19.6%4.1%1.4%163.9K-4.9M-206.1K3.1085.37N/AN/A6351,9686,0058,489
2016-06-29$128.85$130.3915.6%4.5%20.7%10.1%16.3%3.8%2.4%1.3M-19.6M-205.0K1.1787.34N/AN/A1,4401,6846,0668,633
2016-06-30$129.86$130.3915.1%4.3%20.6%7.8%15.5%4.0%2.8%2.6M-31.5M-203.9K2.9393.37N/AN/A5551,6236,8708,694