BDX Options History — January 2017

In January 2017, BDX traded between $126.28 and $135.89. ATM implied volatility averaged 20.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.7% (HV 20d: 12.5%). Max pain ranged from $126.55 to $130.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-01-06: Highest Volume — 3,989 contracts
  • 2017-01-11: Largest IV spike — 9.6% change
  • 2017-01-31: Highest IV Rank — 46.7%
  • 2017-01-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.42$126.28$135.89$126.38$135.89
Max Pain$130.00$126.55$130.39$126.55$130.39
ATM IV20.2%18.3%21.7%20.8%21.7%
Expected Move5.9%5.7%6.2%6.0%6.2%
HV 20d12.5%11.1%14.5%11.9%14.5%
HV 60d21.5%21.2%21.9%21.7%21.9%
IV Rank38.8%28.5%46.7%39.4%46.7%
IV Percentile71.0%54.0%84.5%71.4%84.5%
Term Structure-1.3%-2.9%0.9%0.9%-2.9%
VWIV20.5%15.7%23.1%21.5%20.6%
Skew 25d2.6%1.5%3.8%1.9%2.4%
Skew 10d6.2%3.6%8.7%3.6%5.9%
Call IV 25d19.7%19.2%20.6%20.5%20.6%
Put IV 25d22.3%21.4%23.3%22.4%22.9%
Bid-Ask Spread %80.0771.1889.1883.9287.39
Gamma HHI0.330.170.580.190.22
Net GEX4.2M99.1K9.0M487.4K4.4M
Net DEX-32.3M-55.1M8.8M7.4M-51.8M
Net VEX-173.6K-204.7K-118.3K-122.8K-204.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.211.691.151.51
Total Volume2,009.358983,9891,7071,007
Total OI14,908.612,69116,41412,69115,223

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$126.38$126.5520.8%6.0%11.9%39.4%21.5%1.9%0.9%487.4K7.4M-122.8K1.1583.92N/AN/A7949137,3755,316
2017-01-04$126.74$126.5520.6%5.9%11.8%38.4%20.5%2.0%0.9%447.3K6.2M-124.6K1.3489.18N/AN/A5226987,4125,590
2017-01-05$126.28$130.3919.8%6.1%11.9%34.8%23.1%2.7%-1.0%99.1K8.8M-118.3K1.1472.66N/AN/A5286037,3475,632
2017-01-06$128.83$130.3918.4%5.7%13.7%28.5%20.4%3.2%-0.8%1.6M-3.0M-128.5K0.2177.88N/AN/A3,3006897,2475,760
2017-01-09$129.50$130.3919.1%5.9%13.7%31.2%22.2%2.8%-1.6%3.7M-21.0M-177.5K1.6177.15N/AN/A4076559,9905,912
2017-01-10$131.22$130.3918.3%5.8%13.2%29.9%21.4%2.3%-0.7%5.8M-37.0M-179.1K1.0877.57N/AN/A1,0301,11410,0135,943
2017-01-11$132.98$130.3920.1%5.8%12.6%38.5%20.6%2.6%-1.3%7.0M-48.7M-187.6K0.2578.18N/AN/A2,74167810,0445,887
2017-01-12$133.15$130.3920.3%5.8%12.2%39.6%21.0%2.9%-1.0%6.6M-52.6M-202.2K0.6174.90N/AN/A1,06665610,3735,914
2017-01-13$133.17$130.3920.0%5.7%12.2%38.4%21.3%2.6%-1.5%6.9M-53.7M-200.6K0.6971.18N/AN/A1,03571010,4015,954
2017-01-17$132.90$130.3920.3%5.8%12.1%39.9%23.1%2.8%-1.4%7.2M-51.3M-185.0K0.7678.87N/AN/A90268210,3995,925
2017-01-18$133.41$130.3920.1%5.8%11.4%38.9%22.0%2.9%-1.5%8.4M-55.1M-179.8K1.6977.24N/AN/A43072610,3975,945
2017-01-19$133.17$130.3920.1%5.8%11.1%38.7%21.3%3.8%-1.5%9.0M-52.0M-174.9K1.6873.10N/AN/A39666310,3955,978
2017-01-20$132.03$130.3921.3%6.1%11.5%44.9%20.4%1.6%-1.7%2.9M-42.6M-167.3K0.3478.12N/AN/A2,44083310,4056,009
2017-01-23$131.02$130.3921.3%6.1%12.0%44.7%22.0%3.2%-2.1%2.9M-28.0M-161.9K0.2882.24N/AN/A2,5107058,9263,941
2017-01-24$130.68$130.3920.3%5.8%12.0%39.7%16.7%2.6%-1.4%3.0M-27.3M-178.0K0.4181.01N/AN/A2,2209069,4364,357
2017-01-25$131.59$130.3920.3%5.8%12.2%39.5%15.7%2.3%-1.5%3.3M-30.8M-187.6K0.2884.62N/AN/A2,0945849,6234,659
2017-01-26$131.21$130.3920.6%5.9%12.2%41.3%16.1%2.4%-1.4%3.3M-29.7M-189.1K0.3687.10N/AN/A2,1567719,6864,765
2017-01-27$134.39$130.3920.0%5.7%14.1%38.0%19.8%1.5%-1.7%4.2M-44.0M-201.4K1.5085.48N/AN/A4506759,7245,110
2017-01-30$133.88$130.3921.5%6.2%14.3%45.7%21.0%2.9%-2.4%3.7M-39.9M-201.0K1.4983.62N/AN/A3615379,8055,354
2017-01-31$135.89$130.3921.7%6.2%14.5%46.7%20.6%2.4%-2.9%4.4M-51.8M-204.7K1.5187.39N/AN/A4026059,8345,389