BDX Options History — August 2017

In August 2017, BDX traded between $150.94 and $154.78. ATM implied volatility averaged 14.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.0% (HV 20d: 10.3%). Max pain ranged from $149.56 to $153.40. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.23.

Notable Days

2017-08-03: Highest Volume — 3,936 contracts
2017-08-03: Largest IV drop — 39.5% change
2017-08-02: Highest IV Rank — 48.0%
2017-08-02: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.71	$150.94	$154.78	$154.62	$153.01
Max Pain	$149.90	$149.56	$153.40	$153.40	$149.56
ATM IV	14.3%	12.4%	21.0%	20.8%	12.4%
Expected Move	4.1%	3.6%	6.0%	6.0%	3.6%
HV 20d	10.3%	9.7%	11.3%	11.3%	10.7%
HV 60d	11.0%	10.4%	12.4%	12.4%	10.5%
IV Rank	11.3%	0.0%	48.0%	46.8%	0.0%
IV Percentile	16.4%	0.0%	87.7%	86.5%	0.0%
Term Structure	0.9%	-4.0%	2.5%	-3.9%	1.4%
VWIV	16.2%	14.5%	21.7%	20.9%	16.5%
Skew 25d	3.0%	2.2%	4.4%	2.7%	4.4%
Skew 10d	7.9%	4.6%	13.4%	9.4%	9.5%
Call IV 25d	13.7%	10.2%	20.3%	19.7%	10.2%
Put IV 25d	16.7%	14.6%	22.5%	22.4%	14.6%
Bid-Ask Spread %	39.46	11.62	80.02	60.82	29.32
Gamma HHI	0.26	0.19	0.35	0.19	0.28
Net GEX	-1.5M	-4.4M	962.9K	-718.1K	201.4K
Net DEX	-14.7M	-43.2M	9.5M	-21.2M	-20.1M
Net VEX	-274.0K	-308.1K	-240.2K	-276.8K	-253.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.85	4.66	4.28	1.94
Total Volume	1,852.261	1,091	3,936	1,551	1,113
Total OI	24,692.696	21,179	30,105	21,179	23,328

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
2017-08-01	$154.62	$153.40	20.8%	6.0%	11.3%	46.8%	20.9%	2.7%	-3.9%	-718.1K	-21.2M	-276.8K	4.28	60.82	N/A	N/A	294	1,257	6,111	15,068
2017-08-02	$153.59	$153.40	21.0%	6.0%	10.8%	48.0%	21.7%	2.2%	-4.0%	-1.6M	-12.5M	-286.9K	2.97	80.02	N/A	N/A	448	1,331	6,221	15,648
2017-08-03	$152.56	$149.56	12.7%	4.0%	10.4%	2.5%	16.0%	2.7%	1.5%	-2.3M	-4.8M	-286.7K	4.49	70.72	N/A	N/A	717	3,219	6,412	15,894
2017-08-04	$150.94	$149.56	13.8%	4.1%	10.4%	8.4%	15.4%	2.5%	1.5%	-3.5M	5.1M	-290.1K	3.58	56.03	N/A	N/A	506	1,811	6,490	16,139
2017-08-07	$151.63	$149.56	13.6%	3.9%	10.5%	7.2%	15.1%	2.6%	1.6%	-3.4M	1.1M	-273.9K	3.57	16.50	N/A	N/A	378	1,351	6,590	16,451
2017-08-08	$150.94	$149.56	14.0%	4.3%	10.5%	9.3%	14.5%	3.2%	0.9%	-4.1M	9.5M	-299.8K	1.33	60.88	N/A	N/A	1,379	1,841	6,635	16,816
2017-08-09	$151.63	$149.56	14.0%	4.0%	10.2%	9.4%	15.8%	2.8%	1.5%	-3.5M	-1.1M	-308.1K	1.68	16.39	N/A	N/A	697	1,175	7,392	17,678
2017-08-10	$151.89	$149.56	14.4%	4.1%	10.2%	11.6%	15.7%	2.9%	1.6%	-3.1M	-6.0M	-306.9K	4.66	41.41	N/A	N/A	655	3,048	7,608	17,911
2017-08-11	$153.75	$149.56	14.7%	4.2%	10.2%	13.1%	15.8%	3.5%	1.7%	-4.4M	-21.3M	-301.3K	1.44	36.04	N/A	N/A	661	953	7,869	21,038
2017-08-14	$154.37	$149.56	14.3%	4.1%	10.2%	11.2%	14.9%	3.0%	2.0%	-2.7M	-34.3M	-268.9K	1.09	20.55	N/A	N/A	1,007	1,103	8,026	21,242
2017-08-15	$154.78	$149.56	14.3%	4.1%	9.9%	11.2%	15.3%	2.8%	2.0%	-883.9K	-43.2M	-268.7K	1.17	23.39	N/A	N/A	686	804	8,333	21,543
2017-08-16	$154.39	$149.56	14.0%	4.0%	9.8%	9.2%	16.2%	2.7%	2.0%	-486.0K	-42.0M	-259.3K	1.44	38.70	N/A	N/A	603	866	8,348	21,543
2017-08-17	$153.21	$149.56	14.5%	4.1%	9.8%	11.9%	16.9%	3.5%	2.0%	962.9K	-25.3M	-284.7K	1.17	40.14	N/A	N/A	675	791	8,305	21,633
2017-08-18	$151.96	$149.56	13.6%	3.9%	9.7%	7.1%	14.5%	3.4%	2.5%	-1.2M	-8.1M	-279.2K	0.85	28.71	N/A	N/A	1,371	1,168	8,314	21,791
2017-08-21	$152.64	$149.56	13.9%	4.0%	9.7%	8.6%	15.2%	3.1%	1.0%	-625.0K	-11.5M	-279.8K	1.99	67.76	N/A	N/A	524	1,044	6,246	15,779
2017-08-22	$153.79	$149.56	13.9%	4.0%	10.0%	8.6%	14.6%	2.9%	0.4%	346.8K	-26.2M	-245.3K	2.38	31.12	N/A	N/A	462	1,096	6,392	15,824
2017-08-23	$151.71	$149.56	13.6%	3.9%	10.6%	7.1%	14.9%	3.3%	0.7%	-1.0M	-7.7M	-265.3K	1.25	44.58	N/A	N/A	696	871	6,425	16,042
2017-08-24	$151.79	$149.56	13.4%	3.8%	10.5%	5.9%	16.8%	2.7%	0.8%	-594.3K	-11.6M	-271.5K	2.17	67.08	N/A	N/A	397	862	6,639	16,184
2017-08-25	$152.22	$149.56	12.9%	3.7%	10.5%	3.3%	15.8%	2.6%	1.1%	-512.9K	-12.4M	-268.6K	2.18	19.05	N/A	N/A	375	818	6,645	16,201
2017-08-28	$152.75	$149.56	13.6%	3.9%	10.6%	7.1%	17.4%	3.0%	0.5%	-112.1K	-17.5M	-246.8K	1.41	15.46	N/A	N/A	542	764	6,659	16,221
2017-08-29	$152.49	$149.56	13.4%	3.8%	10.6%	6.3%	15.7%	2.4%	0.7%	-169.4K	-17.8M	-240.2K	2.42	31.23	N/A	N/A	319	772	6,737	16,330
2017-08-30	$151.75	$149.56	13.2%	3.8%	10.5%	4.9%	17.0%	3.9%	1.3%	-503.6K	-9.3M	-241.2K	1.70	11.62	N/A	N/A	426	726	6,843	16,388
2017-08-31	$153.01	$149.56	12.4%	3.6%	10.7%	0.0%	16.5%	4.4%	1.4%	201.4K	-20.1M	-253.2K	1.94	29.32	N/A	N/A	378	735	6,847	16,481