BDX Options History — July 2017

In July 2017, BDX traded between $149.28 and $157.78. ATM implied volatility averaged 16.5%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.0% (HV 20d: 11.4%). Max pain ranged from $145.73 to $153.40. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.53.

Notable Days

  • 2017-07-25: Highest Volume — 4,110 contracts
  • 2017-07-25: Largest IV spike — 16.2% change
  • 2017-07-31: Highest IV Rank — 43.0%
  • 2017-07-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.56$149.28$157.78$149.28$154.68
Max Pain$152.63$145.73$153.40$145.73$153.40
ATM IV16.5%14.1%20.1%14.3%20.1%
Expected Move4.8%4.1%5.8%4.1%5.8%
HV 20d11.4%9.9%12.6%9.9%11.5%
HV 60d14.6%12.4%16.3%15.6%12.4%
IV Rank23.0%10.0%43.0%11.3%43.0%
IV Percentile47.5%15.5%81.0%19.0%81.0%
Term Structure-0.6%-3.3%2.3%2.3%-3.3%
VWIV17.2%15.6%20.6%15.8%20.6%
Skew 25d2.4%1.8%2.8%2.4%2.8%
Skew 10d6.3%1.8%10.6%8.3%9.6%
Call IV 25d15.9%14.0%18.9%14.0%18.9%
Put IV 25d18.4%16.4%21.6%16.4%21.6%
Bid-Ask Spread %34.3016.2482.4864.4032.83
Gamma HHI0.270.180.400.200.19
Net GEX2.7M-1.1M6.9M1.3M-673.7K
Net DEX-48.2M-95.6M-16.4M-22.3M-21.0M
Net VEX-252.5K-296.3K-215.6K-267.6K-280.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.6414.581.352.07
Total Volume1,803.851,0274,1101,0271,042
Total OI19,805.417,09522,10317,41121,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$149.28$145.7314.3%4.1%9.9%11.3%15.8%2.4%2.3%1.3M-22.3M-267.6K1.3564.40N/AN/A4385895,77511,636
2017-07-05$151.23$145.7316.3%4.7%10.3%22.0%16.2%2.5%1.1%1.7M-26.8M-277.2K1.1482.48N/AN/A5426175,76311,671
2017-07-06$149.68$153.4015.3%4.9%11.0%16.7%15.6%2.6%-0.2%1.3M-23.2M-270.5K1.2126.83N/AN/A4946005,91011,691
2017-07-07$151.45$153.4014.2%4.8%11.4%10.7%17.7%2.4%-0.3%2.6M-33.0M-251.2K0.6416.24N/AN/A1,1057095,91611,738
2017-07-10$151.50$153.4014.1%4.5%11.3%10.0%16.4%2.3%-0.1%3.9M-41.7M-244.6K0.9333.71N/AN/A1,3171,2246,59911,716
2017-07-11$150.73$153.4014.6%4.7%11.3%12.7%16.4%2.4%-0.2%4.5M-40.6M-257.9K1.4825.69N/AN/A9411,3947,33212,225
2017-07-12$151.93$153.4015.6%4.5%11.4%18.1%15.8%2.7%-0.2%4.9M-50.0M-270.1K0.6744.67N/AN/A1,2958717,73612,496
2017-07-13$151.90$153.4015.6%4.5%11.4%18.3%16.1%2.3%-0.0%6.3M-55.8M-270.6K0.8724.31N/AN/A8137118,39812,546
2017-07-14$153.79$153.4015.8%4.5%11.8%19.3%16.9%2.5%-0.3%5.9M-72.6M-241.5K1.0238.86N/AN/A6376508,37512,599
2017-07-17$153.22$153.4016.0%4.6%11.9%20.1%16.5%2.5%-0.4%6.9M-72.7M-230.7K1.2721.83N/AN/A6097768,60912,634
2017-07-18$154.32$153.4016.2%4.7%11.5%21.6%17.0%2.4%-0.3%5.5M-80.4M-233.2K1.2717.39N/AN/A5757308,76412,758
2017-07-19$155.02$153.4016.3%4.7%11.5%22.1%16.5%1.8%-0.2%3.8M-86.6M-224.7K0.9322.65N/AN/A7617068,82612,786
2017-07-20$156.11$153.4016.8%4.8%11.4%24.6%17.0%2.2%-1.1%3.1M-92.7M-215.6K0.9637.92N/AN/A7006749,01712,890
2017-07-21$157.01$153.4016.8%4.8%11.3%24.6%17.7%1.9%0.0%1.7M-95.6M-221.0K1.1327.40N/AN/A9961,1309,16912,934
2017-07-24$157.78$153.4015.8%4.5%11.3%19.5%16.6%2.7%-1.1%1.6M-43.2M-234.4K1.3821.97N/AN/A6498935,72811,367
2017-07-25$156.67$153.4018.4%5.3%11.7%33.6%17.7%2.7%-1.4%1.6M-40.3M-220.3K12.3020.17N/AN/A3093,8015,85511,631
2017-07-26$155.28$153.4018.5%5.3%12.4%34.1%18.5%2.4%-1.7%-310.7K-26.6M-271.5K14.5876.94N/AN/A2623,8205,91514,550
2017-07-27$154.50$153.4019.0%5.4%12.6%36.8%19.0%2.8%-2.0%-1.1M-16.4M-296.3K2.7123.42N/AN/A3469375,92114,790
2017-07-28$155.08$153.4019.7%5.6%11.9%40.4%19.7%2.7%-3.0%-585.9K-23.4M-270.7K2.7226.29N/AN/A3801,0345,96314,821
2017-07-31$154.68$153.4020.1%5.8%11.5%43.0%20.6%2.8%-3.3%-673.7K-21.0M-280.2K2.0732.83N/AN/A3407026,09314,965