BDX Options History — July 2016

In July 2016, BDX traded between $130.18 and $135.40. ATM implied volatility averaged 16.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.6% (HV 20d: 18.4%). Max pain ranged from $130.39 to $130.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.89.

Notable Days

  • 2016-07-15: Highest Volume — 3,165 contracts
  • 2016-07-08: Largest IV drop — 20.3% change
  • 2016-07-28: Highest IV Rank — 28.3%
  • 2016-07-28: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.80$130.18$135.40$130.18$135.17
Max Pain$130.39$130.39$130.39$130.39$130.39
ATM IV16.8%13.3%19.1%14.4%18.1%
Expected Move5.0%4.1%5.5%4.1%5.2%
HV 20d18.4%10.9%21.0%20.6%10.9%
HV 60d15.1%14.8%15.5%15.5%15.3%
IV Rank16.7%0.0%28.3%4.5%23.5%
IV Percentile34.7%0.0%57.5%5.2%52.4%
Term Structure-0.8%-2.0%2.9%2.9%-0.9%
VWIV18.9%14.7%20.8%14.7%18.7%
Skew 25d3.6%2.2%4.8%3.5%2.2%
Skew 10d8.3%5.2%13.8%7.9%6.9%
Call IV 25d15.8%13.2%17.8%13.2%17.3%
Put IV 25d19.4%16.8%21.1%16.8%19.5%
Bid-Ask Spread %82.8673.7793.5293.5289.69
Gamma HHI0.260.200.390.390.26
Net GEX2.3M1.5M3.4M3.0M2.3M
Net DEX-48.2M-68.5M-33.9M-34.3M-45.7M
Net VEX-183.8K-203.2K-153.6K-202.7K-198.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.891.285.453.033.35
Total Volume2,4682,1563,1652,1902,488
Total OI16,245.214,70418,03215,74016,683

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$130.18$130.3914.4%4.1%20.6%4.5%14.7%3.5%2.9%3.0M-34.3M-202.7K3.0393.52N/AN/A5431,6477,0288,712
2016-07-05$131.36$130.3916.4%5.2%20.8%13.8%19.0%4.3%-0.5%3.4M-41.1M-201.8K3.3675.32N/AN/A5291,7807,1178,726
2016-07-06$132.08$130.3916.3%5.1%20.6%13.3%19.6%4.0%-0.3%3.3M-44.9M-203.2K4.0373.77N/AN/A4871,9687,1498,845
2016-07-07$132.78$130.3916.6%5.0%20.4%15.1%19.8%3.6%-0.9%3.4M-51.0M-178.2K3.7477.45N/AN/A5161,9337,1288,994
2016-07-08$134.78$130.3913.3%4.7%21.0%0.0%19.7%4.0%-0.3%3.2M-60.4M-183.6K4.1378.51N/AN/A5042,0777,2159,030
2016-07-11$135.23$130.3915.6%4.8%20.7%11.1%19.8%3.5%-0.5%3.0M-66.3M-157.2K4.8578.14N/AN/A4462,1617,2529,305
2016-07-12$134.78$130.3915.6%5.0%20.7%11.1%20.8%3.5%-1.1%2.8M-65.0M-163.1K4.5979.86N/AN/A4692,1567,2979,745
2016-07-13$134.97$130.3916.6%4.8%20.7%16.3%20.4%3.7%-0.7%1.8M-62.1M-176.6K5.1279.67N/AN/A4242,1697,37410,233
2016-07-14$135.40$130.3916.6%4.8%19.8%16.4%15.8%2.6%-0.8%1.8M-68.5M-153.6K3.0379.31N/AN/A6441,9537,38910,233
2016-07-15$134.25$130.3917.2%4.9%20.2%18.9%16.7%4.0%-1.4%1.6M-64.5M-159.6K1.2882.80N/AN/A1,3891,7767,68210,350
2016-07-18$133.72$130.3916.8%4.8%19.9%17.3%18.3%3.5%-1.4%2.2M-42.0M-178.5K4.7783.63N/AN/A4322,0676,4538,251
2016-07-19$133.74$130.3916.9%4.9%19.5%17.8%18.3%4.1%-0.9%2.0M-41.4M-179.0K5.1483.14N/AN/A3511,8056,5338,686
2016-07-20$134.91$130.3916.9%4.9%19.3%17.8%18.7%3.5%-1.0%2.2M-46.0M-180.0K5.4582.27N/AN/A3792,0706,5818,728
2016-07-21$134.08$130.3917.3%4.9%19.5%19.3%18.9%3.2%-0.9%1.6M-38.4M-201.7K2.7184.36N/AN/A6951,8806,6229,102
2016-07-22$133.16$130.3917.6%5.1%19.3%21.2%19.8%3.6%-1.5%1.5M-34.3M-202.0K3.7387.46N/AN/A5001,8656,6889,128
2016-07-25$132.37$130.3918.1%5.2%16.3%23.5%20.6%3.6%-1.3%1.5M-33.9M-191.4K4.0285.71N/AN/A4481,7976,7499,202
2016-07-26$134.20$130.3917.8%5.1%13.2%22.2%19.2%4.8%-1.4%1.8M-38.7M-201.0K4.1286.52N/AN/A4411,8206,7959,289
2016-07-27$133.78$130.3917.9%5.1%13.4%22.3%19.5%3.0%-1.8%1.9M-40.9M-184.6K4.2487.37N/AN/A4251,8046,8369,410
2016-07-28$135.04$130.3919.1%5.5%11.1%28.3%18.9%3.0%-2.0%2.0M-45.3M-179.5K3.1488.70N/AN/A6091,9136,8849,480
2016-07-29$135.17$130.3918.1%5.2%10.9%23.5%18.7%2.2%-0.9%2.3M-45.7M-198.3K3.3589.69N/AN/A5721,9167,0699,614