BDX Options History — November 2017

In November 2017, BDX traded between $159.49 and $174.86. ATM implied volatility averaged 15.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 14.3% (HV 20d: 29.8%). Max pain ranged from $145.73 to $161.07. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2017-11-02: Highest Volume — 3,051 contracts
  • 2017-11-02: Largest IV drop — 28.8% change
  • 2017-11-01: Highest IV Rank — 57.2%
  • 2017-11-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.65$159.49$174.86$159.49$174.86
Max Pain$155.22$145.73$161.07$153.40$161.07
ATM IV15.5%13.7%22.4%22.4%15.3%
Expected Move4.4%3.9%6.4%6.4%4.4%
HV 20d29.8%12.2%31.8%12.2%31.4%
HV 60d21.1%13.7%22.0%13.7%21.9%
IV Rank28.2%16.1%57.2%57.2%28.1%
IV Percentile41.3%9.1%97.6%97.6%42.1%
Term Structure-0.2%-4.7%2.0%-4.7%-0.8%
VWIV18.8%15.3%24.1%23.2%20.9%
Skew 25d3.7%1.3%5.3%1.3%2.9%
Skew 10d9.1%7.3%12.3%7.3%8.1%
Call IV 25d14.3%11.8%22.9%22.9%14.9%
Put IV 25d18.0%16.2%24.2%24.2%17.7%
Bid-Ask Spread %63.4936.8189.2184.8571.96
Gamma HHI0.250.170.370.240.37
Net GEX1.8M1.1M2.8M2.0M2.3M
Net DEX-68.6M-86.2M-33.9M-33.9M-76.5M
Net VEX-202.6K-224.9K-138.4K-215.8K-209.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.712.400.991.15
Total Volume1,874.4761,3403,0512,7771,637
Total OI18,977.04816,30020,76216,30019,553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$159.49$153.4022.4%6.4%12.2%57.2%23.2%1.3%-4.7%2.0M-33.9M-215.8K0.9984.85N/AN/A1,3981,3796,25410,046
2017-11-02$172.36$145.7316.0%4.4%29.0%23.1%15.3%4.6%-0.6%2.8M-86.2M-138.4K1.7980.36N/AN/A1,0951,9566,56110,549
2017-11-03$171.96$153.4014.6%4.1%29.2%22.8%17.2%3.8%-0.3%1.5M-79.9M-168.0K0.7279.13N/AN/A1,4421,0426,66111,569
2017-11-06$170.46$153.4015.6%4.2%29.4%30.3%22.4%3.4%0.2%1.8M-75.8M-195.3K1.9255.00N/AN/A5651,0827,30011,509
2017-11-07$169.46$153.4015.3%4.2%29.5%28.4%22.0%3.7%0.0%1.7M-70.2M-200.4K1.7936.81N/AN/A6111,0957,35111,611
2017-11-08$169.81$153.4014.9%4.3%29.5%25.2%16.1%3.1%-0.1%1.6M-72.0M-195.7K2.4059.99N/AN/A5391,2967,34111,756
2017-11-09$172.14$153.4014.9%4.3%29.7%24.8%18.8%3.6%0.2%1.7M-82.0M-182.4K1.6873.23N/AN/A6441,0847,34111,859
2017-11-10$168.09$153.4015.7%4.5%31.3%31.1%17.1%4.1%-0.1%1.6M-63.8M-207.0K1.6260.51N/AN/A8841,4367,55311,926
2017-11-13$168.75$153.4015.6%4.5%31.2%30.4%24.1%3.9%0.4%1.3M-64.5M-221.4K1.4240.55N/AN/A7261,0327,60512,192
2017-11-14$169.07$153.4015.9%4.5%31.1%32.5%19.7%3.8%-0.2%1.7M-69.1M-210.1K1.5665.30N/AN/A7021,0967,71812,346
2017-11-15$168.22$153.4015.9%4.5%30.6%32.4%17.8%4.2%-0.2%1.7M-65.2M-205.6K0.8960.95N/AN/A1,0939717,72012,497
2017-11-16$169.75$153.4015.2%4.4%30.6%27.7%17.2%4.3%-0.1%1.7M-71.3M-224.9K1.0343.02N/AN/A9509777,81812,586
2017-11-17$169.07$153.4015.0%4.3%30.5%26.0%16.5%3.7%0.5%2.7M-68.9M-220.0K1.2142.50N/AN/A7168708,00912,753
2017-11-20$169.88$153.4015.8%4.5%30.5%32.1%16.6%4.2%-0.4%1.1M-51.7M-216.7K1.2272.66N/AN/A7449046,79111,129
2017-11-21$173.85$153.4014.4%4.1%31.3%21.8%15.6%3.8%0.2%1.8M-70.8M-199.4K0.7169.39N/AN/A1,0377316,86011,195
2017-11-22$171.91$161.0716.1%4.6%31.7%34.0%18.0%5.3%-0.0%1.8M-61.0M-213.1K1.4880.21N/AN/A6659857,11911,280
2017-11-24$173.55$161.0713.7%3.9%31.7%16.1%19.2%4.8%2.0%1.8M-70.5M-200.5K1.2689.21N/AN/A6057637,25511,585
2017-11-27$172.99$161.0714.6%4.2%31.8%23.0%19.3%3.5%-0.2%1.9M-65.1M-209.2K1.2279.21N/AN/A6047367,26311,589
2017-11-28$173.93$161.0714.1%4.0%31.6%19.2%17.5%3.6%0.3%2.1M-72.0M-203.2K0.8950.21N/AN/A9188177,34511,692
2017-11-29$174.00$161.0715.0%4.3%31.6%25.8%20.0%2.7%-0.1%2.1M-69.6M-217.3K0.7738.27N/AN/A8706677,54711,884
2017-11-30$174.86$161.0715.3%4.4%31.4%28.1%20.9%2.9%-0.8%2.3M-76.5M-209.1K1.1571.96N/AN/A7618767,63811,915