BDX Options History — June 2017

In June 2017, BDX traded between $146.15 and $150.00. ATM implied volatility averaged 14.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.8% (HV 20d: 11.9%). Max pain ranged from $141.89 to $145.73. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-06-06: Highest Volume — 4,080 contracts
  • 2017-06-12: Largest IV spike — 23.0% change
  • 2017-06-12: Highest IV Rank — 36.5%
  • 2017-06-12: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.18$146.15$150.00$147.98$150.00
Max Pain$145.38$141.89$145.73$141.89$145.73
ATM IV14.6%13.4%18.9%14.4%14.3%
Expected Move4.0%3.8%4.3%4.1%4.1%
HV 20d11.9%8.9%15.7%15.7%9.7%
HV 60d15.5%15.0%16.1%16.0%15.5%
IV Rank12.9%6.1%36.5%11.4%11.2%
IV Percentile19.6%3.6%71.4%16.7%18.7%
Term Structure1.6%0.1%2.2%0.1%1.9%
VWIV15.3%14.0%17.7%15.6%14.2%
Skew 25d2.3%1.9%2.8%1.9%2.1%
Skew 10d5.6%3.3%8.6%3.3%8.6%
Call IV 25d13.5%12.9%14.1%14.1%13.7%
Put IV 25d15.8%15.0%17.0%16.0%15.7%
Bid-Ask Spread %25.8713.8762.7417.9315.79
Gamma HHI0.190.160.270.210.19
Net GEX2.0M270.3K4.0M3.9M826.1K
Net DEX-27.6M-56.0M-13.7M-54.9M-22.3M
Net VEX-267.6K-290.9K-250.0K-250.0K-263.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.272.340.770.75
Total Volume1,702.0911,0464,0802,2801,496
Total OI18,62214,94121,78920,36616,879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$147.98$141.8914.4%4.1%15.7%11.4%15.6%1.9%0.1%3.9M-54.9M-250.0K0.7717.93N/AN/A1,2909907,45412,912
2017-06-02$147.91$141.8913.9%4.0%15.7%8.6%17.7%2.3%0.1%3.9M-52.6M-266.9K1.1224.95N/AN/A8619687,76713,034
2017-06-05$148.21$145.7314.8%4.1%15.7%13.6%14.8%2.4%1.5%4.0M-56.0M-253.0K0.9059.48N/AN/A1,4211,2787,87113,180
2017-06-06$147.03$145.7316.0%4.3%14.8%20.2%16.6%2.3%1.6%3.8M-44.5M-290.9K0.2721.41N/AN/A3,2168648,03113,758
2017-06-07$147.85$145.7314.8%4.0%13.9%13.6%14.8%2.0%1.6%2.6M-29.2M-276.6K1.2621.24N/AN/A7399326,22913,902
2017-06-08$146.96$145.7315.2%4.1%14.2%15.8%14.9%2.1%1.8%2.5M-23.5M-282.4K1.2520.97N/AN/A7949936,28113,904
2017-06-09$146.90$145.7315.4%4.1%11.3%17.2%14.8%1.9%1.7%2.3M-23.3M-280.6K1.2234.25N/AN/A5947266,28614,006
2017-06-12$146.15$145.7318.9%4.3%11.6%36.5%15.4%2.6%1.4%2.1M-17.8M-277.9K1.2462.74N/AN/A8411,0426,31014,028
2017-06-13$147.27$145.7318.0%4.2%11.8%31.1%14.7%2.4%1.5%3.3M-29.3M-264.0K2.3426.04N/AN/A6231,4606,48513,993
2017-06-14$147.50$145.7314.5%4.2%10.6%12.2%15.3%2.4%1.7%3.1M-27.4M-269.7K1.2657.17N/AN/A6878686,51414,673
2017-06-15$146.89$145.7314.2%4.1%10.3%10.6%14.0%2.4%1.8%3.1M-24.5M-270.0K1.2116.95N/AN/A7709306,53014,727
2017-06-16$146.63$145.7313.9%4.0%10.3%8.9%14.2%2.2%1.7%2.6M-25.9M-268.1K1.4416.41N/AN/A7221,0386,58014,801
2017-06-19$148.40$145.7313.4%3.8%10.8%6.1%14.7%2.4%1.9%395.6K-16.8M-261.8K1.0214.61N/AN/A8268454,61610,325
2017-06-20$149.14$145.7313.6%3.9%10.8%7.1%14.4%2.1%1.8%708.8K-21.3M-253.4K1.1316.77N/AN/A6076844,88610,589
2017-06-21$148.54$145.7313.5%3.9%10.9%6.8%16.8%2.5%2.0%432.9K-16.4M-270.7K1.7814.52N/AN/A4397815,01710,705
2017-06-22$149.58$145.7313.7%3.9%11.1%7.9%15.6%2.4%1.8%725.3K-21.2M-265.2K1.6022.54N/AN/A4206705,03810,888
2017-06-23$149.61$145.7313.8%4.0%11.1%8.2%14.8%2.1%1.7%686.3K-20.6M-273.8K1.7632.64N/AN/A4387705,10810,909
2017-06-26$149.36$145.7313.7%3.9%11.0%7.9%14.9%2.2%1.8%698.4K-20.9M-259.4K1.5013.87N/AN/A4186285,16111,019
2017-06-27$149.82$145.7313.7%3.9%10.7%7.7%14.6%2.2%2.1%816.6K-23.2M-254.7K1.6023.54N/AN/A5338555,10510,984
2017-06-28$149.83$145.7313.8%4.0%10.6%8.4%15.8%2.2%2.2%871.1K-22.4M-261.0K2.0015.44N/AN/A3897785,26611,266
2017-06-29$148.33$145.7314.6%4.2%8.9%12.7%17.3%2.8%2.0%270.3K-13.7M-275.1K1.8119.91N/AN/A4357875,32311,344
2017-06-30$150.00$145.7314.3%4.1%9.7%11.2%14.2%2.1%1.9%826.1K-22.3M-263.0K0.7515.79N/AN/A8546425,35611,523