BDX Options History — September 2017

In September 2017, BDX traded between $146.96 and $156.67. ATM implied volatility averaged 14.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.0% (HV 20d: 14.3%). Max pain ranged from $149.56 to $153.40. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.73.

Notable Days

  • 2017-09-06: Highest Volume — 4,126 contracts
  • 2017-09-12: Largest IV spike — 17.7% change
  • 2017-09-12: Highest IV Rank — 24.7%
  • 2017-09-21: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.90$146.96$156.67$152.64$150.17
Max Pain$151.67$149.56$153.40$149.56$149.56
ATM IV14.3%11.9%16.5%11.9%13.5%
Expected Move4.1%3.4%4.6%3.4%3.9%
HV 20d14.3%9.9%16.9%9.9%16.9%
HV 60d12.1%10.4%13.3%10.4%12.8%
IV Rank12.7%0.0%24.7%0.0%8.5%
IV Percentile20.6%0.0%56.3%0.0%4.0%
Term Structure1.5%0.8%2.4%1.5%2.2%
VWIV16.0%14.5%18.3%16.2%15.1%
Skew 25d2.9%-1.6%3.6%-1.6%2.0%
Skew 10d6.7%-6.5%9.7%-6.5%6.8%
Call IV 25d13.5%12.3%16.4%16.4%12.4%
Put IV 25d16.4%14.4%18.1%14.8%14.4%
Bid-Ask Spread %39.7223.2573.2625.5770.69
Gamma HHI0.260.120.900.320.14
Net GEX-2.3M-42.1M3.6M802.7K-448.9K
Net DEX-5.4M-46.8M14.6M-13.6M-3.6M
Net VEX-229.8K-250.3K-201.0K-250.3K-236.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.342.931.730.89
Total Volume1,970.551,2654,1261,5931,594
Total OI19,773.112,60027,66423,39315,188

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$152.64$149.5611.9%3.4%9.9%0.0%16.2%-1.6%1.5%802.7K-13.6M-250.3K1.7325.57N/AN/A5841,0096,86116,532
2017-09-05$153.57$149.5613.6%4.0%10.0%8.9%15.5%3.4%1.4%1.2M-28.8M-219.7K2.6368.36N/AN/A7331,9267,06216,754
2017-09-06$152.76$153.4012.9%4.1%10.1%5.6%16.3%3.1%1.2%1.3M-21.2M-245.4K0.3443.33N/AN/A3,0741,0527,54617,952
2017-09-07$153.10$153.4012.9%4.0%10.0%5.6%15.6%3.2%1.6%526.9K-13.5M-218.1K1.2339.46N/AN/A1,1091,3666,10218,199
2017-09-08$156.18$153.4014.4%4.2%12.2%13.4%14.7%2.9%1.3%2.4M-40.6M-220.4K0.9538.65N/AN/A1,3561,2836,47818,108
2017-09-11$156.67$153.4014.0%4.2%11.5%11.4%15.1%3.5%1.2%2.6M-46.8M-225.0K1.8235.25N/AN/A7201,3137,01018,459
2017-09-12$154.92$153.4016.5%4.1%12.2%24.7%15.2%3.4%1.1%3.6M-42.0M-201.0K1.4535.45N/AN/A6499437,06518,692
2017-09-13$150.75$153.4015.4%4.4%15.6%18.6%15.1%2.7%1.4%-3.2M6.6M-229.5K2.9330.70N/AN/A8852,5977,15118,768
2017-09-14$151.40$153.4014.9%4.3%15.7%15.9%14.5%3.3%1.6%-3.1M2.4M-220.2K0.8929.43N/AN/A1,1109927,39420,039
2017-09-15$149.75$153.4014.4%4.1%15.9%13.2%15.1%2.7%1.5%-42.1M14.4M-226.9K1.8832.80N/AN/A5421,0187,68719,977
2017-09-18$150.01$153.4014.5%4.1%15.7%13.7%14.5%2.9%1.7%-472.0K561.5K-211.0K2.4447.35N/AN/A5721,3984,2708,330
2017-09-19$147.94$153.4014.7%4.2%16.3%15.1%16.7%3.2%1.1%-1.1M11.6M-243.0K2.8624.70N/AN/A4551,3014,5049,163
2017-09-20$148.83$153.4014.1%4.0%16.2%11.6%17.5%3.6%1.9%-826.6K6.1M-232.9K2.2773.26N/AN/A4349864,6869,428
2017-09-21$146.96$149.5616.0%4.6%16.1%22.1%16.5%3.3%0.8%-1.3M14.6M-245.7K1.8531.74N/AN/A4588484,7749,469
2017-09-22$148.05$149.5613.8%4.0%16.4%10.2%18.3%3.3%2.4%-1.2M11.6M-246.9K1.8426.54N/AN/A4468194,7379,526
2017-09-25$148.24$149.5615.2%4.3%16.3%17.6%17.8%3.4%0.9%-1.2M12.0M-236.3K1.8826.45N/AN/A4448334,7629,541
2017-09-26$149.05$149.5614.7%4.2%16.4%14.9%17.8%3.1%1.8%-916.9K6.8M-239.6K2.0967.31N/AN/A4118564,7519,574
2017-09-27$148.80$149.5614.4%4.1%16.4%13.6%16.5%3.4%1.9%-934.8K6.8M-226.3K1.6324.15N/AN/A5518984,7579,593
2017-09-28$148.17$149.5613.7%3.9%16.4%9.8%15.0%2.7%2.4%-1.1M9.2M-221.8K0.9123.25N/AN/A9678794,8799,694
2017-09-29$150.17$149.5613.5%3.9%16.9%8.5%15.1%2.0%2.2%-448.9K-3.6M-236.1K0.8970.69N/AN/A8457495,3339,855