BDX Options History — February 2017

In February 2017, BDX traded between $136.26 and $140.53. ATM implied volatility averaged 16.3%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.1% (HV 20d: 12.2%). Max pain ranged from $126.55 to $130.39. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.30.

Notable Days

  • 2017-02-17: Highest Volume — 2,487 contracts
  • 2017-02-02: Largest IV drop — 28.5% change
  • 2017-02-01: Highest IV Rank — 51.0%
  • 2017-02-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.06$136.26$140.53$136.71$140.24
Max Pain$126.75$126.55$130.39$130.39$126.55
ATM IV16.3%15.3%22.6%22.6%16.4%
Expected Move4.7%4.4%6.5%6.5%4.7%
HV 20d12.2%8.0%14.5%14.4%8.0%
HV 60d16.8%12.8%20.9%20.9%12.8%
IV Rank21.5%15.6%51.0%51.0%22.5%
IV Percentile34.6%19.0%88.1%88.1%42.9%
Term Structure0.9%-3.9%2.2%-3.9%-0.4%
VWIV17.5%15.4%23.3%23.3%17.6%
Skew 25d2.2%1.6%3.0%1.8%1.9%
Skew 10d5.4%4.0%7.4%5.4%5.1%
Call IV 25d15.8%14.8%21.8%21.8%16.0%
Put IV 25d18.0%16.8%23.6%23.6%17.9%
Bid-Ask Spread %64.7714.5485.3785.3585.37
Gamma HHI0.220.180.290.210.18
Net GEX4.7M4.2M5.8M4.5M4.2M
Net DEX-58.1M-64.9M-49.7M-56.0M-64.8M
Net VEX-207.0K-226.1K-187.2K-202.2K-226.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.372.321.262.32
Total Volume1,415.6328812,4871,622930
Total OI17,178.36815,43219,03915,43217,863

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$136.71$130.3922.6%6.5%14.4%51.0%23.3%1.8%-3.9%4.5M-56.0M-202.2K1.2685.35N/AN/A7199039,9185,514
2017-02-02$136.38$126.5516.1%4.7%14.5%19.1%17.8%3.0%1.9%4.7M-53.1M-193.9K1.0073.48N/AN/A61361110,1445,808
2017-02-03$137.54$126.5515.4%4.5%14.4%15.6%17.8%2.8%2.0%5.1M-58.9M-192.2K1.3673.12N/AN/A51670210,2545,916
2017-02-06$136.69$126.5516.2%4.6%13.6%19.3%18.2%2.9%1.9%4.8M-53.8M-193.0K1.1072.61N/AN/A59465510,2746,158
2017-02-07$137.06$126.5515.5%4.6%13.5%16.1%18.7%2.6%1.9%5.0M-57.6M-187.2K1.0780.60N/AN/A72477210,2876,389
2017-02-08$136.54$126.5516.1%4.6%13.2%20.7%17.4%2.3%1.9%4.8M-52.3M-202.4K0.9073.00N/AN/A73366010,3166,654
2017-02-09$136.26$126.5516.2%4.6%12.5%21.5%17.7%2.1%2.0%4.6M-49.7M-210.6K1.3270.06N/AN/A48664110,4396,882
2017-02-10$136.71$126.5515.7%4.5%12.5%18.7%19.1%2.7%2.2%4.7M-51.4M-208.9K1.0876.69N/AN/A45449110,4606,979
2017-02-13$136.97$126.5515.7%4.5%12.5%18.5%17.2%2.5%2.0%4.9M-52.7M-201.7K1.3879.78N/AN/A37051110,4557,093
2017-02-14$137.01$126.5515.9%4.6%12.5%19.7%15.8%2.5%2.0%5.0M-53.9M-196.2K1.8270.60N/AN/A54499010,4167,154
2017-02-15$138.16$126.5516.0%4.6%12.7%20.4%16.0%1.8%1.8%5.3M-60.5M-203.5K1.8179.80N/AN/A5801,05110,5257,661
2017-02-16$138.38$126.5516.6%4.8%12.6%23.8%16.7%2.1%1.4%5.2M-61.6M-209.7K1.2180.60N/AN/A78494810,5508,227
2017-02-17$138.63$126.5516.3%4.7%12.0%22.0%15.4%1.8%1.8%5.8M-64.2M-214.7K0.3776.33N/AN/A1,81367410,6348,405
2017-02-21$139.75$126.5516.1%4.6%11.5%21.1%16.6%2.3%-0.0%4.4M-61.9M-205.5K1.1224.69N/AN/A9711,0859,0406,960
2017-02-22$139.60$126.5516.2%4.6%11.4%21.2%17.2%1.8%-0.7%4.2M-60.7M-220.7K1.4742.67N/AN/A5668299,4407,539
2017-02-23$139.93$126.5515.9%4.5%11.4%19.7%16.7%1.7%-0.3%4.3M-63.1M-219.3K1.3214.54N/AN/A6428489,4817,615
2017-02-24$140.53$126.5515.3%4.4%11.1%16.3%16.0%2.3%0.0%4.3M-64.9M-225.1K1.0529.55N/AN/A6446759,5547,806
2017-02-27$140.11$126.5516.2%4.6%8.3%21.2%17.5%1.6%-0.3%4.2M-63.5M-220.8K1.7841.74N/AN/A4207489,6567,923
2017-02-28$140.24$126.5516.4%4.7%8.0%22.5%17.6%1.9%-0.4%4.2M-64.8M-226.1K2.3285.37N/AN/A2806509,7088,155