BDX Options History — December 2016

In December 2016, BDX traded between $125.58 and $130.00. ATM implied volatility averaged 20.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.0% (HV 20d: 23.0%). Max pain ranged from $126.55 to $130.39. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-12-29: Highest Volume — 4,807 contracts
  • 2016-12-14: Largest IV drop — 24.1% change
  • 2016-12-13: Highest IV Rank — 57.6%
  • 2016-12-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.52$125.58$130.00$126.38$126.67
Max Pain$128.56$126.55$130.39$130.39$126.55
ATM IV20.0%17.8%24.8%21.9%19.6%
Expected Move5.5%5.1%6.3%6.3%5.6%
HV 20d23.0%11.9%33.3%33.3%11.9%
HV 60d22.8%21.7%24.1%24.1%21.7%
IV Rank35.4%25.5%57.6%44.1%33.7%
IV Percentile66.2%50.8%89.3%79.0%65.1%
Term Structure1.4%-1.7%2.6%-1.7%1.8%
VWIV18.5%14.2%23.2%23.2%19.9%
Skew 25d2.7%1.0%3.6%2.4%1.0%
Skew 10d6.0%1.9%8.1%6.2%2.9%
Call IV 25d18.3%16.6%22.1%22.1%19.4%
Put IV 25d21.0%19.2%24.5%24.5%20.5%
Bid-Ask Spread %82.0477.1987.3187.3186.27
Gamma HHI0.180.130.370.150.22
Net GEX-9.9K-1.5M2.6M-588.7K926.9K
Net DEX7.7M-3.6M21.1M16.8M2.9M
Net VEX-111.2K-135.1K-99.1K-120.9K-135.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.302.721.260.84
Total Volume1,667.5711,1264,8071,1331,492
Total OI13,880.5717,64418,80916,39612,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$126.38$130.3921.9%6.3%33.3%44.1%23.2%2.4%-1.7%-588.7K16.8M-120.9K1.2687.31N/AN/A5026317,1939,203
2016-12-02$126.84$130.3921.5%6.2%31.0%42.7%21.2%3.6%-1.3%-435.7K15.3M-120.1K0.5586.09N/AN/A9435157,2289,267
2016-12-05$126.37$130.3921.0%5.6%30.5%40.2%18.5%3.6%1.3%-875.9K18.5M-108.0K2.1777.19N/AN/A4539817,2489,268
2016-12-06$126.18$130.3920.0%5.5%29.8%35.5%18.5%3.6%1.1%-1.4M21.1M-104.2K1.6878.86N/AN/A6051,0147,2669,665
2016-12-07$125.58$130.3921.3%5.6%29.5%41.5%20.0%3.5%1.3%-1.5M20.8M-101.8K0.7979.12N/AN/A6304967,2459,695
2016-12-08$125.60$130.3922.1%5.5%28.7%45.3%19.1%2.8%1.1%-1.4M19.6M-103.7K0.8879.85N/AN/A6735947,2689,702
2016-12-09$127.76$130.3920.2%5.4%29.4%36.6%18.8%3.2%2.1%-311.1K9.2M-102.7K1.0483.44N/AN/A5856097,3489,573
2016-12-12$130.00$130.3924.1%5.5%28.1%54.5%18.8%3.5%1.1%1.5M-3.6M-105.1K0.5978.94N/AN/A1,1426747,3879,573
2016-12-13$128.95$130.3924.8%5.4%23.4%57.6%21.4%3.0%1.3%937.7K1.4M-104.2K1.7478.70N/AN/A5349317,8449,699
2016-12-14$128.92$130.3918.8%5.4%22.2%30.0%20.1%2.1%1.3%980.3K1.8M-102.6K1.5585.40N/AN/A5067867,9129,974
2016-12-15$129.80$130.3918.4%5.3%21.8%28.2%19.2%2.4%1.5%2.6M-3.1M-99.1K0.5478.21N/AN/A1,3087067,9599,974
2016-12-16$128.57$126.5518.5%5.3%20.0%28.7%18.9%2.0%0.8%641.2K1.6M-103.5K1.1982.20N/AN/A8901,0578,8479,962
2016-12-19$127.76$126.5518.4%5.3%20.0%28.3%16.8%2.9%1.8%80.5K3.4M-100.8K1.6182.42N/AN/A5679163,9323,712
2016-12-20$127.24$126.5518.4%5.3%20.0%28.1%16.7%2.9%2.0%48.3K3.8M-111.2K2.7280.79N/AN/A6111,6634,2984,004
2016-12-21$127.47$126.5518.0%5.2%18.2%26.5%16.6%2.9%2.6%-155.3K5.5M-119.5K2.4981.85N/AN/A5361,3364,4194,644
2016-12-22$127.17$126.5518.0%5.2%18.1%26.3%16.5%2.7%2.5%-326.7K7.1M-119.9K1.9479.74N/AN/A5009714,4844,799
2016-12-23$127.58$126.5517.8%5.1%17.2%25.5%15.2%2.5%2.5%-260.7K5.5M-120.5K1.6982.26N/AN/A4768054,5504,929
2016-12-27$128.29$126.5518.8%5.4%17.4%29.9%14.2%2.8%2.1%-100.4K3.1M-118.2K1.4584.33N/AN/A5297674,5804,968
2016-12-28$127.21$126.5518.4%5.3%16.6%28.2%14.8%2.5%2.5%-360.7K6.2M-115.4K1.4786.51N/AN/A5167624,6495,008
2016-12-29$127.50$126.5519.2%5.5%14.9%31.8%19.1%1.2%1.8%-277.8K5.0M-119.1K0.3083.30N/AN/A3,7021,1054,7035,009
2016-12-30$126.67$126.5519.6%5.6%11.9%33.7%19.9%1.0%1.8%926.9K2.9M-135.1K0.8486.27N/AN/A8106827,3005,204