BDX Options History — April 2017

In April 2017, BDX traded between $136.06 and $142.84. ATM implied volatility averaged 16.5%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.0% (HV 20d: 11.5%). Max pain ranged from $138.06 to $138.06. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-04-24: Highest Volume — 7,422 contracts
  • 2017-04-12: Largest IV spike — 18.1% change
  • 2017-04-17: Highest IV Rank — 38.2%
  • 2017-04-17: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.37$136.06$142.84$141.33$142.74
Max Pain$138.06$138.06$138.06$138.06$138.06
ATM IV16.5%13.9%19.3%14.5%16.5%
Expected Move4.9%4.1%5.5%4.2%4.7%
HV 20d11.5%5.0%19.7%11.7%19.7%
HV 60d11.5%10.4%14.0%11.7%13.9%
IV Rank23.1%8.9%38.2%12.3%23.0%
IV Percentile42.6%9.1%71.8%15.1%49.2%
Term Structure-0.5%-2.1%3.9%3.9%-0.3%
VWIV17.6%14.4%19.4%14.4%18.2%
Skew 25d2.5%1.4%4.3%1.8%3.4%
Skew 10d5.7%2.5%7.3%7.1%6.1%
Call IV 25d16.3%13.1%18.1%13.1%15.5%
Put IV 25d18.8%14.9%21.0%14.9%18.9%
Bid-Ask Spread %71.3852.6797.4194.8781.67
Gamma HHI0.150.140.170.160.15
Net GEX1.0M-480.1K2.2M406.9K1.7M
Net DEX-13.1M-31.7M5.5M-10.8M-23.7M
Net VEX-233.0K-283.1K-196.2K-237.9K-283.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.221.991.571.42
Total Volume2,186.8958567,4229012,673
Total OI16,792.63213,95019,60415,13819,604

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$141.33$138.0614.5%4.2%11.7%12.3%14.4%1.8%3.9%406.9K-10.8M-237.9K1.5794.87N/AN/A3505515,7819,357
2017-04-04$140.25$138.0614.1%4.1%11.9%10.2%14.4%2.1%2.7%37.9K-5.4M-237.9K1.6694.29N/AN/A3225345,7909,372
2017-04-05$140.72$138.0614.3%4.1%12.0%11.0%18.7%1.8%3.7%247.8K-8.7M-238.3K0.6097.41N/AN/A1,2897755,8519,398
2017-04-06$140.67$138.0614.1%4.9%11.7%10.2%17.3%2.2%-0.9%1.0M-14.7M-228.2K0.4457.47N/AN/A1,3526026,8999,277
2017-04-07$141.19$138.0613.9%4.9%11.8%8.9%17.7%2.9%-0.6%1.3M-17.9M-241.9K0.4555.89N/AN/A1,4236446,9689,312
2017-04-10$141.04$138.0614.3%5.0%11.8%11.3%16.5%2.8%-1.3%1.2M-16.8M-237.2K0.7052.67N/AN/A9506617,0469,370
2017-04-11$140.60$138.0614.9%5.0%11.2%14.3%17.8%2.5%-0.9%1.0M-13.6M-239.3K0.7954.77N/AN/A8746897,1079,427
2017-04-12$140.43$138.0617.6%5.0%10.8%29.1%17.8%2.0%-1.1%1.2M-15.0M-226.5K0.8253.42N/AN/A7896467,1269,457
2017-04-13$140.37$138.0618.3%5.2%8.1%32.8%18.8%4.3%-1.7%1.1M-13.0M-232.0K0.7162.83N/AN/A8055747,1359,462
2017-04-17$140.73$138.0619.3%5.5%6.0%38.2%18.6%2.8%-1.5%1.1M-15.6M-210.2K0.7476.17N/AN/A8095957,1729,546
2017-04-18$140.72$138.0619.1%5.5%5.4%37.3%18.2%2.4%-2.1%1.7M-16.8M-201.5K0.6864.66N/AN/A8365657,2269,616
2017-04-19$141.12$138.0618.1%5.2%5.0%32.2%19.2%2.7%-1.4%1.9M-20.2M-196.4K1.0970.88N/AN/A4765207,1979,601
2017-04-20$142.84$138.0618.1%5.2%6.1%32.0%19.4%4.0%-1.2%1.9M-29.3M-210.9K0.2271.46N/AN/A2,3155057,2219,665
2017-04-21$142.07$138.0617.3%5.0%6.4%27.6%18.2%3.3%-1.0%2.2M-31.7M-199.7K0.2967.23N/AN/A2,5407268,2489,957
2017-04-24$136.06$138.0618.2%5.2%16.7%32.2%17.9%1.6%-1.8%844.0K624.9K-196.2K1.8169.51N/AN/A2,6424,7806,4647,486
2017-04-25$137.03$138.0616.7%4.8%17.0%24.0%17.3%1.4%-0.9%-480.1K5.1M-251.8K1.9270.27N/AN/A1,1442,1956,98610,859
2017-04-26$137.66$138.0616.7%4.8%17.1%24.1%17.0%2.1%-1.2%-315.7K5.5M-281.1K1.9981.62N/AN/A6191,2337,41711,634
2017-04-27$139.45$138.0617.2%4.9%17.8%27.1%17.1%2.2%-1.5%1.1M-6.7M-277.1K1.9379.18N/AN/A8691,6797,43611,590
2017-04-28$142.74$138.0616.5%4.7%19.7%23.0%18.2%3.4%-0.3%1.7M-23.7M-283.1K1.4281.67N/AN/A1,1031,5707,57312,031