BDX Options History — May 2017

In May 2017, BDX traded between $138.04 and $145.05. ATM implied volatility averaged 15.7%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 4.3% (HV 20d: 19.9%). Max pain ranged from $138.06 to $141.89. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2017-05-11: Highest Volume — 11,070 contracts
2017-05-08: Largest IV spike — 18.3% change
2017-05-08: Highest IV Rank — 33.8%
2017-05-17: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.57	$138.04	$145.05	$143.02	$145.05
Max Pain	$141.37	$138.06	$141.89	$138.06	$141.89
ATM IV	15.7%	13.9%	18.4%	17.1%	14.3%
Expected Move	4.4%	4.0%	5.1%	4.9%	4.1%
HV 20d	19.9%	14.6%	23.7%	19.7%	14.7%
HV 60d	15.0%	13.8%	15.7%	13.8%	15.6%
IV Rank	18.6%	8.9%	33.8%	26.2%	11.0%
IV Percentile	33.8%	9.1%	68.7%	55.2%	15.5%
Term Structure	0.5%	-1.6%	1.5%	-1.6%	0.3%
VWIV	17.0%	14.9%	19.3%	19.3%	16.2%
Skew 25d	2.4%	1.4%	3.5%	3.5%	2.5%
Skew 10d	5.1%	3.7%	7.1%	5.7%	6.5%
Call IV 25d	14.9%	13.1%	16.7%	16.4%	14.1%
Put IV 25d	17.3%	14.9%	19.9%	19.9%	16.6%
Bid-Ask Spread %	46.93	13.31	86.94	76.16	20.07
Gamma HHI	0.20	0.16	0.30	0.16	0.21
Net GEX	330.5K	-9.1M	3.5M	2.0M	3.3M
Net DEX	-5.6M	-31.6M	56.3M	-27.1M	-31.6M
Net VEX	-316.4K	-408.6K	-264.8K	-285.0K	-268.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.65	2.38	1.92	1.10
Total Volume	4,061.909	1,138	11,070	2,994	1,851
Total OI	25,420.727	18,611	35,783	20,480	19,871

Daily Data (22 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
2017-05-01	$143.02	$138.06	17.1%	4.9%	19.7%	26.2%	19.3%	3.5%	-1.6%	2.0M	-27.1M	-285.0K	1.92	76.16	N/A	N/A	1,024	1,970	7,862	12,618
2017-05-02	$141.87	$138.06	15.3%	4.4%	20.0%	16.5%	16.9%	2.5%	-1.3%	1.7M	-19.1M	-292.7K	1.40	71.40	N/A	N/A	1,091	1,528	8,076	13,586
2017-05-03	$140.73	$138.06	15.2%	4.4%	20.0%	16.1%	15.8%	2.5%	-0.7%	1.0M	-10.5M	-317.4K	1.80	86.94	N/A	N/A	572	1,029	8,641	13,963
2017-05-04	$141.40	$141.89	14.8%	4.1%	20.0%	13.8%	14.9%	2.7%	1.5%	1.7M	-18.0M	-290.2K	1.14	44.90	N/A	N/A	607	688	8,727	14,071
2017-05-05	$142.09	$141.89	15.6%	4.3%	20.1%	18.2%	16.2%	3.0%	0.9%	1.9M	-22.5M	-307.2K	1.01	79.88	N/A	N/A	4,201	4,226	8,821	14,251
2017-05-08	$139.90	$141.89	18.4%	4.6%	20.8%	33.8%	16.5%	1.4%	1.3%	-3.1M	7.1M	-327.4K	0.83	79.79	N/A	N/A	3,268	2,714	11,580	17,784
2017-05-09	$138.40	$141.89	17.2%	4.6%	21.1%	26.7%	16.6%	2.4%	0.9%	-8.3M	51.4M	-342.5K	1.07	77.45	N/A	N/A	2,561	2,728	11,054	19,200
2017-05-10	$138.04	$141.89	15.8%	4.5%	21.1%	19.5%	17.2%	2.2%	1.0%	-9.1M	56.3M	-387.0K	2.38	59.46	N/A	N/A	3,013	7,168	12,434	20,918
2017-05-11	$141.69	$141.89	16.4%	4.7%	23.2%	22.6%	17.3%	2.8%	0.3%	-4.3M	19.5M	-408.6K	2.14	77.64	N/A	N/A	3,523	7,547	12,832	22,951
2017-05-12	$141.59	$141.89	16.0%	4.6%	23.2%	20.2%	17.5%	2.3%	1.1%	1.4M	-10.1M	-365.5K	1.14	22.97	N/A	N/A	3,342	3,820	12,763	18,779
2017-05-15	$141.89	$141.89	16.3%	4.7%	23.2%	22.0%	18.1%	2.3%	0.1%	1.9M	-18.5M	-368.9K	0.65	29.25	N/A	N/A	2,348	1,528	12,876	18,046
2017-05-16	$140.24	$141.89	16.0%	4.6%	23.6%	20.1%	19.0%	1.8%	0.5%	249.7K	-209.9K	-346.3K	0.87	77.43	N/A	N/A	2,526	2,201	12,910	18,088
2017-05-17	$139.27	$141.89	17.7%	5.1%	23.7%	29.6%	18.9%	2.7%	0.3%	-1.8M	18.6M	-324.2K	0.81	38.70	N/A	N/A	2,580	2,081	12,291	17,855
2017-05-18	$140.25	$141.89	16.3%	4.7%	23.4%	22.1%	18.9%	2.9%	1.5%	215.1K	3.9M	-306.3K	0.90	40.81	N/A	N/A	2,258	2,031	12,425	17,807
2017-05-19	$141.18	$141.89	15.6%	4.5%	23.5%	18.0%	16.8%	2.5%	1.3%	3.5M	-9.2M	-307.6K	0.66	18.93	N/A	N/A	2,505	1,649	12,557	17,819
2017-05-22	$141.79	$141.89	15.0%	4.3%	17.2%	14.7%	15.7%	2.0%	0.8%	1.7M	-10.7M	-298.9K	1.10	20.40	N/A	N/A	1,056	1,164	6,985	11,626
2017-05-23	$142.80	$141.89	14.8%	4.2%	17.2%	13.8%	18.3%	2.3%	0.5%	2.2M	-17.5M	-286.6K	1.02	27.40	N/A	N/A	628	642	7,151	11,921
2017-05-24	$143.13	$141.89	14.7%	4.2%	17.1%	13.3%	17.2%	2.0%	0.7%	2.3M	-18.3M	-299.4K	1.10	35.96	N/A	N/A	619	679	7,268	11,959
2017-05-25	$143.36	$141.89	14.5%	4.2%	16.6%	12.3%	15.8%	1.9%	0.3%	2.7M	-21.3M	-286.9K	1.30	18.21	N/A	N/A	660	859	7,318	12,062
2017-05-26	$142.82	$141.89	13.9%	4.0%	14.6%	8.9%	14.9%	1.9%	0.6%	2.8M	-18.1M	-278.5K	1.73	13.31	N/A	N/A	417	721	7,385	12,324
2017-05-30	$144.09	$141.89	14.3%	4.1%	14.9%	10.8%	15.5%	2.1%	0.2%	3.3M	-27.3M	-264.8K	1.34	15.44	N/A	N/A	742	997	7,374	12,427
2017-05-31	$145.05	$141.89	14.3%	4.1%	14.7%	11.0%	16.2%	2.5%	0.3%	3.3M	-31.6M	-268.6K	1.10	20.07	N/A	N/A	880	971	7,328	12,543