BDX Options History — October 2016

In October 2016, BDX traded between $128.29 and $137.44. ATM implied volatility averaged 20.6%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.9% (HV 20d: 18.7%). Max pain ranged from $134.22 to $138.06. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-10-20: Highest Volume — 2,374 contracts
  • 2016-10-12: Largest IV spike — 17.3% change
  • 2016-10-31: Highest IV Rank — 66.3%
  • 2016-10-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.72$128.29$137.44$136.75$128.92
Max Pain$136.23$134.22$138.06$138.06$134.22
ATM IV20.6%15.1%26.7%15.1%26.7%
Expected Move6.1%4.3%7.6%4.3%7.6%
HV 20d18.7%14.5%21.9%21.2%14.5%
HV 60d16.3%15.4%16.8%15.4%15.9%
IV Rank38.3%13.0%66.3%13.0%66.3%
IV Percentile69.3%17.5%96.4%17.5%96.4%
Term Structure-1.5%-4.6%3.0%2.2%-4.6%
VWIV21.7%16.1%27.5%16.1%27.5%
Skew 25d4.1%2.8%5.1%2.8%4.1%
Skew 10d8.3%-0.5%12.2%7.3%12.2%
Call IV 25d19.8%14.7%26.4%14.7%26.4%
Put IV 25d23.9%17.5%30.5%17.5%30.5%
Bid-Ask Spread %77.8871.9589.9988.3576.23
Gamma HHI0.210.130.280.250.14
Net GEX1.3M226.0K2.2M1.9M553.6K
Net DEX-8.1M-25.6M8.2M-21.8M5.3M
Net VEX-176.7K-198.0K-154.7K-183.7K-167.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.703.801.471.07
Total Volume1,691.6679972,3741,5862,127
Total OI15,042.85712,93816,58012,93815,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$136.75$138.0615.1%4.3%21.2%13.0%16.1%2.8%2.2%1.9M-21.8M-183.7K1.4788.35N/AN/A6429445,8777,061
2016-10-04$134.83$138.0616.6%4.8%21.8%19.8%17.0%3.5%3.0%1.3M-12.3M-176.1K1.0187.28N/AN/A9869965,9017,249
2016-10-05$135.37$138.0616.3%4.7%21.9%18.3%16.3%3.7%3.0%1.5M-14.1M-177.6K0.9689.99N/AN/A1,0329916,1917,430
2016-10-06$135.55$138.0616.0%5.7%21.8%17.1%20.1%4.0%-1.1%1.3M-14.5M-186.7K1.2171.99N/AN/A7228766,2357,613
2016-10-07$136.09$138.0616.1%5.7%18.6%17.6%20.2%4.4%-1.0%1.6M-16.8M-186.4K1.6375.23N/AN/A5849516,2767,603
2016-10-10$137.44$138.0615.3%5.5%18.5%14.2%19.3%3.9%-0.9%2.2M-25.6M-172.0K0.8875.92N/AN/A1,2081,0626,2757,612
2016-10-11$133.63$138.0617.5%5.9%20.8%24.0%20.6%3.6%-1.2%1.9M-12.4M-192.1K1.3280.36N/AN/A7289587,9777,479
2016-10-12$133.13$138.0620.5%5.9%20.6%38.0%21.1%4.6%-1.5%1.7M-9.3M-198.0K1.1877.63N/AN/A6938178,0397,576
2016-10-13$132.76$138.0621.0%6.0%19.2%40.4%22.4%5.1%-1.7%1.4M-8.2M-187.8K1.4774.01N/AN/A7291,0718,0807,613
2016-10-14$132.05$138.0622.9%6.6%19.2%48.7%22.1%4.6%-1.8%1.1M-5.7M-185.2K1.4775.02N/AN/A6981,0278,0457,608
2016-10-17$131.52$138.0623.1%6.6%19.2%49.9%22.2%4.2%-1.8%747.3K-1.7M-174.1K0.9773.59N/AN/A9909578,0717,664
2016-10-18$132.64$134.2221.6%6.2%19.5%43.1%22.5%4.6%-2.2%1.3M-7.7M-184.3K1.1976.30N/AN/A8431,0018,2747,631
2016-10-19$132.41$134.2221.0%6.0%18.2%40.0%24.1%4.2%-1.6%1.2M-6.3M-180.0K1.3477.27N/AN/A7009418,3677,787
2016-10-20$132.75$134.2221.1%6.0%17.6%40.7%23.0%4.0%-1.9%1.5M-9.4M-174.5K0.7076.62N/AN/A1,3979778,3937,853
2016-10-21$132.18$134.2222.7%6.5%17.4%48.1%23.1%4.2%-2.0%1.9M-6.6M-182.4K0.9271.95N/AN/A1,0911,0018,7137,867
2016-10-24$132.25$134.2222.7%6.5%16.8%48.0%21.7%4.0%-2.5%2.1M-12.7M-166.5K2.4076.19N/AN/A2987157,6137,216
2016-10-25$131.16$134.2222.1%6.3%16.4%45.2%22.7%3.8%-2.4%1.7M-7.4M-165.2K2.8880.53N/AN/A2577407,6267,262
2016-10-26$128.57$134.2224.1%6.9%17.5%54.5%25.3%4.9%-3.6%624.0K4.1M-154.7K3.8076.70N/AN/A2871,0897,6637,395
2016-10-27$128.29$134.2225.3%7.3%17.0%60.2%25.0%4.7%-3.6%226.0K8.2M-157.6K1.8378.51N/AN/A4347947,6827,708
2016-10-28$128.75$134.2224.9%7.1%14.8%58.1%22.8%3.6%-4.0%578.6K4.4M-158.4K2.2075.74N/AN/A3668057,7357,820
2016-10-31$128.92$134.2226.7%7.6%14.5%66.3%27.5%4.1%-4.6%553.6K5.3M-167.5K1.0776.23N/AN/A1,0271,1007,8208,000