BDX Options History — October 2017

In October 2017, BDX traded between $148.41 and $162.36. ATM implied volatility averaged 16.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.8% (HV 20d: 14.4%). Max pain ranged from $145.73 to $153.40. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-10-20: Highest Volume — 3,615 contracts
  • 2017-10-11: Largest IV spike — 23.8% change
  • 2017-10-30: Highest IV Rank — 50.2%
  • 2017-10-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.91$148.41$162.36$150.43$159.99
Max Pain$150.96$145.73$153.40$145.73$153.40
ATM IV16.1%11.6%21.1%14.8%21.1%
Expected Move4.8%3.7%6.1%4.2%6.0%
HV 20d14.4%12.0%18.0%16.9%12.0%
HV 60d13.4%12.6%14.0%12.6%13.7%
IV Rank23.7%0.0%50.2%15.6%50.0%
IV Percentile45.8%0.0%92.1%30.6%92.1%
Term Structure-1.0%-4.7%2.9%1.5%-4.3%
VWIV18.0%13.4%25.9%15.4%25.9%
Skew 25d3.1%1.3%5.6%1.6%3.4%
Skew 10d7.1%0.4%11.4%6.3%8.0%
Call IV 25d15.5%12.6%20.1%13.3%20.1%
Put IV 25d18.5%14.5%23.9%14.9%23.5%
Bid-Ask Spread %59.8616.0789.0831.3676.84
Gamma HHI0.230.120.480.130.26
Net GEX1.6M-369.5K4.3M-36.7K2.1M
Net DEX-45.0M-105.7M-5.6M-11.2M-34.6M
Net VEX-206.6K-237.9K-158.3K-228.3K-206.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.443.320.821.09
Total Volume1,844.3181,3413,6151,4131,673
Total OI18,162.18214,92621,47015,70716,192

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$150.43$145.7314.8%4.2%16.9%15.6%15.4%1.6%1.5%-36.7K-11.2M-228.3K0.8231.36N/AN/A7766375,8089,899
2017-10-03$148.41$145.7313.9%4.0%17.3%10.5%13.4%1.3%2.0%324.2K-5.6M-227.0K3.1957.57N/AN/A6442,0526,1519,927
2017-10-04$149.45$145.7312.9%3.7%17.5%5.2%15.0%1.9%2.9%-369.5K-10.9M-233.2K3.3220.74N/AN/A6422,1336,33111,388
2017-10-05$151.21$149.5614.0%4.5%18.0%11.2%16.1%1.9%0.6%12.3K-21.7M-237.9K0.9532.18N/AN/A9999536,55211,671
2017-10-06$151.87$149.5611.6%4.3%16.5%0.0%16.7%2.7%-0.2%490.0K-32.2M-233.9K1.1819.51N/AN/A7588946,98811,887
2017-10-09$151.09$149.5614.0%4.7%16.4%12.5%17.1%3.0%0.1%866.6K-29.4M-228.2K1.0926.12N/AN/A7107767,25711,926
2017-10-10$150.48$149.5613.4%4.9%16.1%9.5%17.7%3.2%-0.5%1.0M-28.1M-229.9K1.5846.70N/AN/A5198227,51211,984
2017-10-11$151.43$149.5616.6%4.7%13.1%26.3%18.2%3.0%-0.4%1.1M-34.3M-230.9K1.3316.07N/AN/A7259687,57612,075
2017-10-12$152.41$149.5615.7%4.5%13.2%21.6%17.0%2.3%-0.7%1.4M-44.6M-224.9K1.2669.23N/AN/A7769787,84412,268
2017-10-13$154.50$149.5615.3%4.4%13.3%19.5%16.4%2.8%-0.2%1.8M-64.4M-204.0K1.2168.64N/AN/A8471,0258,06312,436
2017-10-16$154.07$149.5616.3%4.7%13.4%24.8%16.8%3.0%-1.3%2.3M-62.2M-204.3K1.5371.75N/AN/A6479928,17112,242
2017-10-17$155.74$153.4016.1%4.6%12.5%23.7%16.7%2.8%-0.9%1.9M-74.2M-187.6K1.0769.95N/AN/A7337848,30712,190
2017-10-18$159.10$153.4015.7%4.5%14.1%21.6%16.0%2.7%-1.5%2.5M-91.0M-172.0K0.8177.47N/AN/A1,2351,0048,49612,192
2017-10-19$160.54$153.4016.1%4.6%12.9%23.7%18.2%3.4%-1.2%4.3M-101.3M-158.3K1.0277.19N/AN/A1,0061,0259,09912,371
2017-10-20$162.36$153.4016.7%4.8%13.1%26.7%16.7%3.3%-0.9%1.8M-105.7M-173.3K0.4487.24N/AN/A2,5161,0998,92212,319
2017-10-23$161.82$153.4017.8%5.1%13.3%32.7%18.3%3.9%-2.2%2.4M-42.6M-176.4K1.8974.91N/AN/A5069575,4809,446
2017-10-24$161.76$153.4018.1%5.2%13.4%34.3%19.6%4.2%-2.4%2.2M-41.2M-182.2K2.1167.21N/AN/A4509505,5069,592
2017-10-25$161.21$153.4017.6%5.1%13.5%31.9%18.3%5.6%-2.2%2.1M-38.6M-192.4K0.9289.08N/AN/A9328555,5719,759
2017-10-26$160.95$153.4018.2%5.2%13.4%34.9%20.3%3.8%-2.5%2.3M-38.2M-215.6K1.0079.53N/AN/A7117146,0659,919
2017-10-27$161.07$153.4018.4%5.3%13.0%35.8%22.3%3.6%-2.6%2.4M-39.3M-204.3K1.0579.55N/AN/A7367766,0939,918
2017-10-30$160.04$153.4021.1%6.1%13.4%50.2%24.3%3.8%-4.7%2.2M-37.6M-195.5K1.1678.00N/AN/A7618796,17310,002
2017-10-31$159.99$153.4021.1%6.0%12.0%50.0%25.9%3.4%-4.3%2.1M-34.6M-206.0K1.0976.84N/AN/A8008736,19210,000