BDX Options History — November 2016

In November 2016, BDX traded between $125.08 and $137.24. ATM implied volatility averaged 21.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.9% (HV 20d: 24.9%). Max pain ranged from $130.39 to $134.22. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-11-10: Highest Volume — 3,183 contracts
  • 2016-11-03: Largest IV drop — 26.9% change
  • 2016-11-02: Highest IV Rank — 84.2%
  • 2016-11-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.23$125.08$137.24$127.81$129.69
Max Pain$130.75$130.39$134.22$134.22$130.39
ATM IV21.0%17.4%30.5%30.3%20.6%
Expected Move5.9%5.0%8.8%8.7%5.9%
HV 20d24.9%14.1%32.0%14.1%32.0%
HV 60d20.3%16.0%23.5%16.0%23.5%
IV Rank40.3%23.6%84.2%83.0%38.3%
IV Percentile73.4%54.4%98.4%98.4%73.8%
Term Structure-0.8%-6.6%2.3%-5.9%-1.7%
VWIV21.0%16.7%28.8%28.8%20.9%
Skew 25d4.2%2.6%6.5%6.5%3.3%
Skew 10d9.7%5.2%12.9%9.4%7.5%
Call IV 25d19.0%15.9%27.5%26.7%20.2%
Put IV 25d23.1%19.0%33.1%33.1%23.4%
Bid-Ask Spread %77.0349.8286.5281.3882.44
Gamma HHI0.220.150.320.150.17
Net GEX1.5M-2.1M5.5M419.8K1.1M
Net DEX-5.8M-43.8M26.5M8.0M-141.7K
Net VEX-143.7K-181.9K-114.0K-160.7K-128.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.402.372.371.50
Total Volume1,767.191,1233,1832,1251,384
Total OI17,007.71414,45518,37516,49216,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$127.81$134.2230.3%8.7%14.1%83.0%28.8%6.5%-5.9%419.8K8.0M-160.7K2.3781.38N/AN/A6301,4958,2218,271
2016-11-02$128.36$134.2230.5%8.8%14.1%84.2%28.4%4.9%-6.6%394.0K6.8M-169.4K1.1881.19N/AN/A8781,0358,2928,782
2016-11-03$132.60$130.3922.3%5.9%18.8%46.4%21.5%5.2%-0.8%2.7M-16.1M-170.4K1.4749.82N/AN/A5297778,5588,969
2016-11-04$134.30$130.3923.6%5.9%19.4%52.3%23.2%4.7%-0.8%3.7M-24.9M-181.9K1.0665.08N/AN/A6356748,6489,030
2016-11-07$136.22$130.3921.3%5.3%19.8%41.6%19.7%4.6%0.5%4.9M-35.9M-167.4K1.4070.92N/AN/A4786728,6929,045
2016-11-08$137.24$130.3921.9%5.4%17.0%44.1%20.0%4.3%0.5%5.5M-43.8M-167.2K1.6574.33N/AN/A4817948,6749,139
2016-11-09$134.05$130.3919.5%5.6%19.1%33.3%19.9%4.9%-0.3%3.5M-19.2M-159.5K2.1176.57N/AN/A4128698,6619,232
2016-11-10$134.78$130.3919.5%5.6%19.2%33.5%20.3%4.6%0.1%4.6M-26.3M-155.4K0.4077.23N/AN/A2,2749098,7119,254
2016-11-11$130.55$130.3920.2%5.8%22.3%36.7%18.3%4.2%0.0%387.3K2.1M-144.9K2.3073.99N/AN/A3417828,2269,406
2016-11-14$125.08$130.3921.4%6.1%26.9%42.0%22.3%4.1%-0.4%-2.1M26.5M-114.0K1.4475.04N/AN/A8571,2398,1439,461
2016-11-15$127.80$130.3919.9%5.7%28.0%35.1%20.9%4.5%0.4%-1.8M18.9M-122.3K0.7474.32N/AN/A1,3289838,6019,773
2016-11-16$129.55$130.3918.9%5.4%28.5%30.7%20.3%4.4%0.9%-1.0M10.7M-126.1K0.5883.66N/AN/A1,3517818,6149,761
2016-11-17$132.80$130.3917.7%5.1%30.0%24.9%19.3%3.3%1.2%1.7M-7.9M-134.0K0.6674.92N/AN/A1,3228738,4079,759
2016-11-18$132.05$130.3917.4%5.0%30.0%23.6%16.7%2.6%2.3%943.4K-7.0M-121.5K0.4678.80N/AN/A1,9028768,4379,785
2016-11-21$131.56$130.3917.7%5.1%30.0%24.8%18.3%3.4%-0.1%1.3M-6.0M-125.1K0.8781.44N/AN/A8097056,1028,353
2016-11-22$128.42$130.3920.2%5.8%31.1%36.6%19.7%4.1%-0.9%61.3K6.4M-125.5K0.7978.08N/AN/A1,3061,0306,1568,488
2016-11-23$129.01$130.3918.6%5.3%30.3%29.3%20.4%3.9%-0.9%269.9K8.2M-135.4K0.5882.09N/AN/A8695066,7348,909
2016-11-25$130.92$130.3920.5%5.9%30.7%38.0%20.5%3.8%-2.1%1.3M-3.4M-139.7K0.4686.39N/AN/A1,0254696,8878,893
2016-11-28$130.54$130.3919.9%5.7%30.7%35.1%21.4%3.1%-1.3%1.5M-3.9M-132.2K0.4786.52N/AN/A1,0404876,9878,917
2016-11-29$132.49$130.3919.3%5.5%31.1%32.2%20.5%3.2%-1.4%2.3M-14.5M-136.1K0.6083.38N/AN/A8144907,1078,954
2016-11-30$129.69$130.3920.6%5.9%32.0%38.3%20.9%3.3%-1.7%1.1M-141.7K-128.4K1.5082.44N/AN/A5538317,1588,965