BDX Options History — September 2016

In September 2016, BDX traded between $131.26 and $139.18. ATM implied volatility averaged 15.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 15.5%). Max pain ranged from $126.55 to $138.06. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.19.

Notable Days

  • 2016-09-06: Highest Volume — 4,196 contracts
  • 2016-09-09: Largest IV spike — 33.2% change
  • 2016-09-13: Highest IV Rank — 54.1%
  • 2016-09-13: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.54$131.26$139.18$135.76$138.30
Max Pain$134.59$126.55$138.06$126.55$138.06
ATM IV15.5%13.0%24.0%14.6%14.8%
Expected Move4.3%3.7%5.2%4.2%4.2%
HV 20d15.5%10.1%20.8%10.9%20.8%
HV 60d15.5%14.4%16.8%15.3%15.5%
IV Rank15.0%3.2%54.1%10.8%11.6%
IV Percentile23.2%1.6%88.1%10.7%14.7%
Term Structure1.8%0.4%3.2%0.4%2.0%
VWIV15.7%13.2%18.1%15.0%14.6%
Skew 25d3.6%2.3%4.9%3.5%4.9%
Skew 10d8.4%5.5%12.8%9.2%7.6%
Call IV 25d13.6%11.5%16.2%13.0%12.6%
Put IV 25d17.2%14.4%20.0%16.6%17.6%
Bid-Ask Spread %81.9772.7890.1389.5489.20
Gamma HHI0.250.170.500.250.25
Net GEX1.6M-1.6M5.3M2.2M2.3M
Net DEX-23.2M-46.3M-3.3M-42.0M-28.9M
Net VEX-160.5K-187.3K-143.7K-172.4K-178.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.875.393.841.43
Total Volume2,371.0951,0424,1962,4481,486
Total OI14,794.66710,03918,47117,89512,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$135.76$126.5514.6%4.2%10.9%10.8%15.0%3.5%0.4%2.2M-42.0M-172.4K3.8489.54N/AN/A5061,9426,78911,106
2016-09-02$136.02$126.5514.0%4.0%10.1%8.0%14.9%2.9%0.7%2.5M-45.4M-153.0K5.3990.13N/AN/A3892,1006,83411,367
2016-09-06$136.28$134.2213.7%3.9%10.1%6.5%18.0%4.1%2.1%2.8M-46.3M-152.4K1.2078.24N/AN/A1,9092,2876,87511,596
2016-09-07$136.12$134.2215.6%4.2%10.1%15.1%16.2%3.8%2.0%2.4M-36.3M-150.2K2.1380.25N/AN/A1,0652,2735,99711,709
2016-09-08$135.56$134.2214.4%4.3%10.2%10.0%16.0%3.1%1.2%2.2M-26.8M-155.3K2.5682.22N/AN/A8592,1975,63411,682
2016-09-09$131.47$134.2219.2%4.8%14.3%32.1%16.9%3.5%1.7%-744.0K-5.7M-164.5K2.5275.93N/AN/A1,0572,6615,65011,743
2016-09-12$132.90$134.2218.1%4.4%13.9%26.8%17.2%4.5%1.8%-98.9K-10.7M-161.2K3.0479.66N/AN/A7442,2595,65311,915
2016-09-13$131.26$134.2224.0%5.2%14.5%54.1%17.5%3.9%0.9%-1.6M-3.3M-156.8K2.7975.95N/AN/A8312,3165,64311,903
2016-09-14$132.52$134.2216.4%4.7%14.8%18.8%18.1%4.3%1.0%-689.3K-8.4M-157.9K2.9373.59N/AN/A7642,2405,70711,996
2016-09-15$135.22$134.2216.1%4.6%16.4%17.7%15.0%4.4%1.0%2.2M-25.4M-145.6K1.5376.98N/AN/A1,4622,2355,71512,103
2016-09-16$134.48$134.2215.3%4.4%16.6%14.1%16.6%4.1%1.9%5.3M-25.0M-148.2K1.8972.78N/AN/A1,1702,2086,06712,170
2016-09-19$134.87$134.2214.8%4.2%16.6%11.6%16.1%3.8%2.6%1.3M-15.4M-143.7K2.4080.69N/AN/A3227724,2655,774
2016-09-20$135.20$134.2215.1%4.3%16.6%13.0%15.6%4.0%2.2%1.4M-16.6M-148.6K2.1879.04N/AN/A3277154,3775,962
2016-09-21$137.64$134.2213.9%4.0%17.7%7.4%14.8%3.7%2.2%1.6M-21.5M-158.9K1.2982.34N/AN/A5757404,4626,042
2016-09-22$139.18$134.2213.0%3.7%17.5%3.2%13.2%2.9%2.5%2.1M-29.0M-154.5K1.4484.43N/AN/A8891,2784,6636,103
2016-09-23$137.79$138.0613.3%3.8%18.0%4.7%14.5%2.3%3.2%1.5M-23.3M-177.6K1.3785.83N/AN/A6078315,0756,594
2016-09-26$135.80$138.0616.0%4.6%18.7%17.1%15.1%2.9%2.2%1.2M-16.1M-168.8K1.5585.59N/AN/A5588665,0836,692
2016-09-27$137.15$138.0614.0%4.0%18.7%7.7%15.4%3.9%2.7%1.7M-21.0M-167.0K1.6885.17N/AN/A5118595,2666,817
2016-09-28$137.40$138.0613.8%4.0%18.7%7.2%14.3%2.6%2.4%1.8M-23.6M-167.4K0.8785.83N/AN/A9318105,3646,859
2016-09-29$135.45$138.0616.2%4.7%19.4%18.2%14.9%3.0%1.9%1.5M-16.8M-187.3K1.8988.03N/AN/A4298135,7806,885
2016-09-30$138.30$138.0614.8%4.2%20.8%11.6%14.6%4.9%2.0%2.3M-28.9M-178.5K1.4389.20N/AN/A6128745,7996,972