BDX Options History — August 2016

In August 2016, BDX traded between $131.55 and $136.36. ATM implied volatility averaged 14.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.9% (HV 20d: 13.6%). Max pain ranged from $122.72 to $130.39. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.73.

Notable Days

2016-08-04: Highest Volume — 5,856 contracts
2016-08-04: Largest IV drop — 29.4% change
2016-08-03: Highest IV Rank — 39.1%
2016-08-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.04	$131.55	$136.36	$135.57	$135.99
Max Pain	$126.05	$122.72	$130.39	$130.39	$126.55
ATM IV	14.5%	12.3%	21.3%	19.2%	15.4%
Expected Move	4.2%	3.5%	6.1%	5.5%	4.4%
HV 20d	13.6%	10.6%	15.0%	10.9%	14.2%
HV 60d	15.4%	14.7%	15.6%	14.7%	15.4%
IV Rank	8.5%	0.0%	39.1%	28.7%	14.3%
IV Percentile	12.1%	0.0%	71.8%	58.7%	15.1%
Term Structure	1.4%	-3.2%	3.9%	-2.5%	-0.3%
VWIV	16.8%	14.2%	21.9%	20.2%	15.0%
Skew 25d	3.4%	2.3%	4.6%	2.7%	4.6%
Skew 10d	7.1%	4.7%	9.0%	9.0%	6.1%
Call IV 25d	13.7%	12.2%	19.9%	17.7%	12.5%
Put IV 25d	17.1%	15.0%	22.1%	20.4%	17.1%
Bid-Ask Spread %	83.22	74.01	89.41	84.37	89.41
Gamma HHI	0.24	0.17	0.39	0.28	0.29
Net GEX	2.0M	469.6K	3.5M	2.5M	2.6M
Net DEX	-39.6M	-56.7M	-23.3M	-49.8M	-45.7M
Net VEX	-174.3K	-213.4K	-153.4K	-183.0K	-156.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.73	0.32	8.14	3.59	3.99
Total Volume	2,580.435	419	5,856	2,740	2,437
Total OI	18,786.087	16,306	20,971	16,894	17,625

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$135.57	$130.39	19.2%	5.5%	10.9%	28.7%	20.2%	2.7%	-2.5%	2.5M	-49.8M	-183.0K	3.59	84.37	N/A	N/A	597	2,143	7,166	9,728
2016-08-02	$135.34	$130.39	20.1%	5.8%	10.6%	33.2%	21.9%	3.4%	-3.2%	2.5M	-49.1M	-179.2K	4.74	76.90	N/A	N/A	567	2,688	7,296	10,036
2016-08-03	$134.72	$130.39	21.3%	6.1%	10.7%	39.1%	21.3%	2.3%	-3.2%	1.6M	-42.1M	-213.4K	4.29	87.04	N/A	N/A	467	2,003	7,389	10,844
2016-08-04	$131.55	$122.72	15.1%	4.5%	13.7%	8.8%	19.2%	3.6%	1.5%	469.6K	-23.3M	-190.0K	2.84	74.01	N/A	N/A	1,526	4,330	7,414	11,103
2016-08-05	$133.23	$122.72	12.9%	3.9%	13.4%	0.0%	15.9%	3.9%	2.8%	1.2M	-35.8M	-203.7K	3.09	78.34	N/A	N/A	761	2,349	7,641	13,222
2016-08-08	$133.06	$122.72	12.7%	4.0%	13.4%	0.0%	19.6%	3.1%	2.3%	1.3M	-34.7M	-191.7K	3.45	81.32	N/A	N/A	633	2,189	7,652	13,216
2016-08-09	$133.56	$122.72	13.3%	4.0%	13.4%	2.7%	16.2%	3.0%	2.6%	1.7M	-40.2M	-184.3K	3.33	81.38	N/A	N/A	701	2,333	7,729	13,215
2016-08-10	$134.05	$122.72	13.8%	4.0%	13.5%	5.2%	19.3%	3.3%	3.6%	2.1M	-43.9M	-176.6K	8.14	84.51	N/A	N/A	449	3,649	7,824	13,147
2016-08-11	$135.57	$122.72	13.5%	3.9%	14.1%	3.7%	14.5%	2.5%	2.7%	3.5M	-56.7M	-153.4K	3.99	82.79	N/A	N/A	560	2,231	7,800	11,720
2016-08-12	$133.43	$126.55	13.5%	3.9%	14.9%	3.7%	15.5%	3.2%	3.0%	2.4M	-42.1M	-166.9K	3.47	82.15	N/A	N/A	647	2,251	7,842	11,963
2016-08-15	$133.59	$126.55	13.6%	3.9%	14.8%	4.4%	16.7%	2.6%	3.1%	2.5M	-43.4M	-173.8K	4.37	83.60	N/A	N/A	541	2,365	7,982	12,078
2016-08-16	$132.64	$126.55	13.9%	4.0%	15.0%	5.5%	16.3%	4.0%	2.6%	2.2M	-36.7M	-168.1K	3.81	83.36	N/A	N/A	542	2,064	7,955	12,299
2016-08-17	$132.77	$126.55	13.8%	4.0%	14.7%	5.2%	17.8%	4.0%	2.9%	2.1M	-36.2M	-177.3K	1.38	82.83	N/A	N/A	243	333	8,049	12,469
2016-08-18	$133.23	$126.55	13.4%	3.8%	14.6%	3.3%	14.4%	3.8%	3.3%	1.8M	-40.9M	-173.1K	0.32	83.29	N/A	N/A	598	193	8,244	12,583
2016-08-19	$133.43	$126.55	12.9%	3.7%	14.4%	1.0%	15.7%	3.8%	3.9%	1.4M	-35.3M	-173.4K	3.37	85.47	N/A	N/A	591	1,996	7,931	12,625
2016-08-22	$133.90	$126.55	13.5%	3.9%	14.3%	3.9%	14.6%	3.2%	1.2%	1.7M	-32.9M	-156.1K	5.54	79.88	N/A	N/A	355	1,965	6,155	10,151
2016-08-23	$134.19	$126.55	13.5%	3.9%	13.4%	3.9%	15.3%	2.7%	1.4%	1.9M	-36.1M	-153.4K	4.97	86.03	N/A	N/A	384	1,913	6,214	10,308
2016-08-24	$132.88	$126.55	13.5%	3.9%	13.8%	4.0%	14.2%	3.1%	1.4%	1.2M	-28.1M	-174.4K	0.52	83.93	N/A	N/A	275	144	6,253	10,460
2016-08-25	$133.53	$126.55	14.0%	4.0%	13.5%	6.4%	15.7%	3.1%	0.4%	1.6M	-31.7M	-171.0K	3.86	83.52	N/A	N/A	490	1,894	6,382	10,547
2016-08-26	$134.58	$126.55	14.3%	4.1%	13.8%	7.5%	16.1%	3.7%	0.4%	1.9M	-36.3M	-170.7K	4.62	85.03	N/A	N/A	410	1,893	6,469	10,645
2016-08-29	$135.83	$126.55	15.1%	4.3%	14.2%	11.4%	15.7%	4.1%	0.2%	2.3M	-43.5M	-157.1K	4.43	86.31	N/A	N/A	408	1,809	6,486	10,816
2016-08-30	$136.36	$126.55	12.3%	3.5%	14.2%	0.0%	15.7%	4.3%	1.7%	2.5M	-45.5M	-162.3K	3.61	88.68	N/A	N/A	528	1,905	6,530	10,877
2016-08-31	$135.99	$126.55	15.4%	4.4%	14.2%	14.3%	15.0%	4.6%	-0.3%	2.6M	-45.7M	-156.4K	3.99	89.41	N/A	N/A	488	1,949	6,707	10,918