BDX Options History — December 2017

In December 2017, BDX traded between $164.40 and $173.52. ATM implied volatility averaged 16.3%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.3% (HV 20d: 16.6%). Max pain ranged from $161.07 to $168.74. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-12-12: Highest Volume — 3,464 contracts
  • 2017-12-04: Largest IV spike — 31.7% change
  • 2017-12-04: Highest IV Rank — 61.7%
  • 2017-12-05: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.91$164.40$173.52$173.52$164.40
Max Pain$165.67$161.07$168.74$161.07$168.74
ATM IV16.3%14.4%19.7%15.0%17.7%
Expected Move4.6%4.1%5.1%4.3%5.1%
HV 20d16.6%13.9%19.6%15.9%13.9%
HV 60d21.8%21.4%22.8%22.0%21.4%
IV Rank39.3%25.4%61.7%25.7%55.5%
IV Percentile56.2%25.8%87.3%38.1%78.6%
Term Structure2.5%0.2%4.0%0.2%2.1%
VWIV16.9%15.1%20.1%15.7%15.3%
Skew 25d3.5%2.0%5.8%2.8%3.7%
Skew 10d8.2%4.7%13.8%5.6%6.1%
Call IV 25d15.1%14.2%16.4%15.2%14.9%
Put IV 25d18.6%17.0%22.1%18.0%18.6%
Bid-Ask Spread %65.1244.4693.5777.5371.48
Gamma HHI0.270.170.410.320.17
Net GEX162.7K-1.2M1.8M1.8M-122.7K
Net DEX-20.9M-70.1M10.4M-70.1M10.4M
Net VEX-207.0K-228.5K-182.8K-226.8K-182.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.452.960.831.04
Total Volume2,515.351,5463,4642,0653,381
Total OI19,298.716,55722,50119,82317,887

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$173.52$161.0715.0%4.3%15.9%25.7%15.7%2.8%0.2%1.8M-70.1M-226.8K0.8377.53N/AN/A1,1289377,73012,093
2017-12-04$168.05$161.0719.7%5.0%19.6%61.7%20.0%5.8%2.0%304.2K-39.4M-228.5K1.2070.96N/AN/A1,0211,2208,15012,149
2017-12-05$168.02$161.0718.8%5.1%19.4%54.4%18.6%4.6%1.3%182.2K-38.5M-216.4K0.8768.86N/AN/A8267208,18512,393
2017-12-06$168.02$161.0718.4%5.0%19.3%52.1%20.1%5.0%1.5%-31.1K-36.9M-223.8K0.6248.20N/AN/A1,6901,0408,19312,399
2017-12-07$166.95$161.0717.9%4.9%19.4%48.3%18.6%4.5%1.5%-174.8K-21.6M-220.2K0.5163.51N/AN/A1,2866507,47712,650
2017-12-08$168.37$161.0716.3%4.7%19.0%35.6%17.6%3.8%2.2%-246.4K-31.4M-213.9K0.4550.28N/AN/A1,4556567,48812,590
2017-12-11$167.39$161.0718.0%4.6%17.1%48.4%17.2%4.2%2.2%-732.3K-21.7M-203.4K1.0945.92N/AN/A1,6011,7537,58912,590
2017-12-12$167.97$161.0717.8%4.6%17.1%47.2%16.1%3.9%2.2%-326.1K-31.3M-205.5K1.2656.29N/AN/A1,5311,9337,95913,546
2017-12-13$167.96$168.7415.1%4.3%17.1%26.7%17.6%3.6%3.3%-666.7K-31.0M-212.1K0.8370.27N/AN/A1,1559638,12213,880
2017-12-14$167.78$168.7415.4%4.4%17.0%35.1%17.2%3.1%2.6%-1.2M-27.0M-208.1K1.1644.46N/AN/A1,2731,4838,12713,883
2017-12-15$169.68$168.7415.3%4.4%17.2%34.0%15.4%3.3%2.9%813.4K-45.8M-214.7K1.0449.60N/AN/A1,5481,6098,09614,405
2017-12-18$170.01$168.7415.1%4.3%17.1%32.4%15.3%3.2%3.2%1.1M-17.0M-200.5K2.0673.04N/AN/A7981,6435,46511,092
2017-12-19$169.87$168.7415.5%4.4%17.0%35.7%15.9%3.0%3.3%930.0K-14.8M-201.8K2.0568.53N/AN/A7421,5215,61711,264
2017-12-20$168.14$168.7415.4%4.4%15.0%34.5%18.2%3.2%3.1%591.6K-6.5M-204.8K2.5468.94N/AN/A6641,6875,65911,311
2017-12-21$166.94$168.7415.1%4.3%14.8%31.7%15.6%2.2%3.2%428.5K-2.1M-193.2K2.7558.83N/AN/A7762,1325,70411,486
2017-12-22$166.67$168.7414.8%4.2%14.2%29.3%15.1%2.0%2.6%278.8K-2.1M-200.4K2.9693.57N/AN/A6211,8395,72811,883
2017-12-26$166.42$168.7415.3%4.4%14.2%34.3%16.0%2.2%3.4%177.0K1.3M-200.5K2.2971.04N/AN/A7101,6225,75211,892
2017-12-27$166.71$168.7414.4%4.1%14.0%25.4%15.2%3.2%4.0%203.5K-40.4K-191.1K1.9583.36N/AN/A8061,5775,74911,977
2017-12-28$165.25$168.7415.7%4.5%14.1%37.7%16.9%2.8%3.6%-327.9M-192.1K1.8667.78N/AN/A8061,5045,82711,987
2017-12-29$164.40$168.7417.7%5.1%13.9%55.5%15.3%3.7%2.1%-122.7K10.4M-182.8K1.0471.48N/AN/A1,6571,7245,84112,046