BDX Options History — March 2017

In March 2017, BDX traded between $138.89 and $142.29. ATM implied volatility averaged 15.3%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.1% (HV 20d: 10.2%). Max pain ranged from $126.55 to $138.06. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.00.

Notable Days

2017-03-07: Highest Volume — 7,500 contracts
2017-03-13: Largest IV spike — 20.3% change
2017-03-14: Highest IV Rank — 30.8%
2017-03-01: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.01	$138.89	$142.29	$142.29	$140.91
Max Pain	$136.56	$126.55	$138.06	$126.55	$138.06
ATM IV	15.3%	13.7%	17.9%	16.4%	13.7%
Expected Move	4.3%	3.9%	4.7%	4.7%	3.9%
HV 20d	10.2%	7.2%	12.9%	7.9%	11.6%
HV 60d	11.7%	10.8%	12.1%	11.8%	11.8%
IV Rank	16.6%	7.6%	30.8%	22.4%	7.6%
IV Percentile	24.3%	6.3%	59.9%	42.5%	6.3%
Term Structure	2.1%	-0.7%	3.7%	-0.7%	3.7%
VWIV	16.0%	13.9%	18.0%	17.9%	13.9%
Skew 25d	2.3%	1.1%	3.8%	1.6%	2.5%
Skew 10d	5.3%	2.2%	8.1%	4.8%	8.1%
Call IV 25d	14.7%	13.3%	16.0%	16.0%	13.5%
Put IV 25d	17.0%	15.3%	18.5%	17.6%	16.0%
Bid-Ask Spread %	86.69	79.80	92.50	84.24	92.50
Gamma HHI	0.23	0.16	0.68	0.21	0.16
Net GEX	307.5K	-9.9M	4.5M	4.5M	318.6K
Net DEX	-34.7M	-75.6M	-49.8K	-75.6M	-10.0M
Net VEX	-240.7K	-272.1K	-218.4K	-222.5K	-235.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.19	2.26	2.26	1.24
Total Volume	2,667.739	800	7,500	1,220	805
Total OI	18,055.391	13,636	22,929	18,020	15,065

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$142.29	$126.55	16.4%	4.7%	7.9%	22.4%	17.9%	1.6%	-0.7%	4.5M	-75.6M	-222.5K	2.26	84.24	N/A	N/A	374	846	9,733	8,287
2017-03-02	$141.62	$126.55	16.2%	4.7%	8.2%	21.6%	17.2%	1.8%	-0.4%	4.2M	-72.8M	-224.5K	1.91	85.16	N/A	N/A	459	879	9,774	8,486
2017-03-03	$141.55	$126.55	15.5%	4.5%	8.1%	17.8%	17.4%	1.4%	-0.1%	4.2M	-72.7M	-224.1K	1.83	91.54	N/A	N/A	424	776	9,925	8,690
2017-03-06	$141.50	$138.06	15.9%	4.3%	7.7%	19.8%	15.9%	2.5%	2.3%	4.1M	-70.5M	-219.3K	0.36	79.80	N/A	N/A	2,042	726	9,950	8,782
2017-03-07	$140.94	$138.06	15.4%	4.3%	7.4%	17.2%	15.4%	2.3%	1.8%	4.1M	-70.9M	-237.7K	0.85	83.56	N/A	N/A	4,059	3,441	11,077	8,843
2017-03-08	$141.11	$138.06	14.2%	4.1%	7.4%	10.4%	14.7%	2.3%	2.5%	128.1K	-60.5M	-249.6K	0.33	82.79	N/A	N/A	3,916	1,276	10,511	11,496
2017-03-09	$142.08	$138.06	14.3%	4.4%	7.4%	11.3%	18.0%	2.8%	1.9%	1.2M	-54.0M	-245.4K	0.19	83.89	N/A	N/A	3,911	750	9,529	11,424
2017-03-10	$142.16	$138.06	14.0%	4.2%	7.2%	9.2%	15.6%	2.2%	2.1%	1.5M	-56.9M	-225.4K	0.34	83.39	N/A	N/A	3,918	1,345	9,550	11,451
2017-03-13	$141.89	$138.06	16.8%	4.3%	7.4%	24.8%	15.8%	2.8%	1.9%	-632.6K	-51.1M	-221.7K	0.19	84.95	N/A	N/A	3,948	754	9,586	12,034
2017-03-14	$140.41	$138.06	17.9%	4.5%	8.6%	30.8%	16.2%	2.6%	1.2%	-3.2M	-38.2M	-225.0K	0.36	84.35	N/A	N/A	2,592	932	9,604	12,139
2017-03-15	$141.62	$138.06	15.5%	4.4%	8.9%	17.7%	16.3%	2.7%	2.0%	-2.6M	-51.1M	-218.4K	0.61	84.55	N/A	N/A	2,190	1,332	9,924	12,888
2017-03-16	$138.89	$138.06	16.1%	4.6%	11.3%	20.7%	17.9%	3.2%	1.8%	-9.9M	-21.9M	-226.9K	1.73	83.16	N/A	N/A	2,507	4,329	9,957	12,972
2017-03-17	$141.02	$138.06	14.8%	4.3%	12.5%	14.0%	16.8%	2.1%	2.3%	174.0K	-41.4M	-242.7K	0.44	80.05	N/A	N/A	2,403	1,056	10,037	12,771
2017-03-20	$140.04	$138.06	14.5%	4.2%	12.8%	12.3%	16.1%	2.3%	3.2%	-200.8K	-4.4M	-250.3K	2.19	87.18	N/A	N/A	482	1,058	5,125	8,511
2017-03-21	$139.20	$138.06	15.4%	4.4%	12.7%	17.3%	14.9%	2.4%	2.9%	-607.3K	-49.8K	-250.6K	1.02	91.35	N/A	N/A	696	712	5,280	8,956
2017-03-22	$140.18	$138.06	15.2%	4.4%	12.9%	16.0%	15.5%	2.7%	2.0%	-378.2K	-2.6M	-264.2K	1.15	83.60	N/A	N/A	602	688	5,281	9,097
2017-03-23	$140.65	$138.06	15.2%	4.4%	12.9%	16.1%	16.4%	2.1%	2.6%	-167.7K	-3.8M	-272.1K	1.19	92.02	N/A	N/A	427	509	5,325	9,141
2017-03-24	$141.16	$138.06	15.0%	4.3%	12.9%	14.7%	15.6%	2.7%	2.7%	47.6K	-8.1M	-269.7K	0.93	90.99	N/A	N/A	438	410	5,465	9,148
2017-03-27	$141.02	$138.06	15.5%	4.5%	12.9%	17.8%	16.3%	3.8%	2.4%	-48.3K	-6.2M	-268.4K	0.94	90.57	N/A	N/A	435	410	5,537	9,222
2017-03-28	$141.14	$138.06	15.5%	4.4%	12.9%	17.6%	15.6%	1.9%	2.8%	-7.7K	-7.3M	-258.5K	0.90	90.92	N/A	N/A	422	378	5,584	9,274
2017-03-29	$141.02	$138.06	15.0%	4.3%	11.7%	14.7%	14.6%	1.1%	3.2%	235.2K	-10.7M	-235.2K	0.86	92.20	N/A	N/A	463	397	5,612	9,255
2017-03-30	$140.87	$138.06	14.0%	4.0%	11.6%	9.2%	14.0%	2.1%	3.7%	152.5K	-8.4M	-248.7K	1.15	91.19	N/A	N/A	392	449	5,721	9,255
2017-03-31	$140.91	$138.06	13.7%	3.9%	11.6%	7.6%	13.9%	2.5%	3.7%	318.6K	-10.0M	-235.8K	1.24	92.50	N/A	N/A	360	445	5,741	9,324