BDX Options History — January 2018

In January 2018, BDX traded between $167.79 and $188.43. ATM implied volatility averaged 19.2%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.8% (HV 20d: 13.5%). Max pain ranged from $168.74 to $184.08. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.06.

Notable Days

  • 2018-01-02: Highest Volume — 3,801 contracts
  • 2018-01-10: Largest IV spike — 74.7% change
  • 2018-01-29: Highest IV Rank — 100.0%
  • 2018-01-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$177.66$167.79$188.43$167.79$186.65
Max Pain$172.02$168.74$184.08$168.74$184.08
ATM IV19.2%11.0%26.6%15.9%26.6%
Expected Move5.7%4.5%7.6%4.6%7.6%
HV 20d13.5%11.5%16.1%16.1%13.0%
HV 60d21.4%15.5%22.0%21.6%15.5%
IV Rank66.5%0.0%100.0%39.7%100.0%
IV Percentile80.2%0.0%100.0%60.3%100.0%
Term Structure-1.7%-5.2%3.1%3.1%-4.2%
VWIV20.4%16.3%27.2%16.3%27.2%
Skew 25d2.7%2.1%3.5%3.2%3.5%
Skew 10d5.5%4.3%7.2%7.2%6.5%
Call IV 25d19.2%15.9%25.4%15.9%25.4%
Put IV 25d21.9%18.5%28.9%19.1%28.9%
Bid-Ask Spread %72.9754.1992.2292.2272.02
Gamma HHI0.370.200.540.200.22
Net GEX1.9M-102.2K4.8M935.3K-49.3K
Net DEX-27.2M-58.5M7.5M7.5M-29.9M
Net VEX-247.2K-331.3K-205.7K-224.9K-326.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.833.282.353.28
Total Volume3,125.7142,1463,8013,8012,764
Total OI19,059.23812,27022,91820,64516,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$167.79$168.7415.9%4.6%16.1%39.7%16.3%3.2%3.1%935.3K7.5M-224.9K2.3592.22N/AN/A1,1352,6667,29913,346
2018-01-03$168.62$168.7415.8%4.5%11.5%38.0%17.5%2.6%3.0%1.4M1.4M-224.7K2.0191.77N/AN/A1,1602,3377,43713,422
2018-01-04$169.63$168.7415.2%5.4%11.7%32.6%20.1%2.8%-1.0%2.0M-5.4M-227.7K2.5778.24N/AN/A9572,4617,70313,441
2018-01-05$170.10$168.7415.6%5.4%11.7%36.5%19.6%2.8%-1.4%2.0M-8.0M-231.4K2.3663.87N/AN/A9482,2347,68513,615
2018-01-08$169.82$168.7416.0%5.5%11.5%39.8%19.9%3.2%-1.3%2.0M-5.3M-215.4K2.1478.91N/AN/A9872,1087,78313,713
2018-01-09$173.62$168.7411.0%5.1%13.5%0.0%18.4%2.5%-1.2%3.4M-29.6M-213.5K1.7977.86N/AN/A1,2492,2357,95913,745
2018-01-10$172.23$168.7419.2%5.5%13.7%70.8%19.7%2.8%-1.0%2.7M-21.1M-213.1K2.0681.17N/AN/A1,1472,3638,03413,801
2018-01-11$173.06$168.7418.1%5.2%13.7%61.0%19.0%2.9%-1.1%2.9M-23.9M-224.2K2.8382.36N/AN/A8382,3708,09014,024
2018-01-12$174.48$168.7418.4%5.3%13.9%63.8%18.5%2.4%-1.4%3.8M-33.1M-215.9K2.3978.79N/AN/A9352,2368,08514,087
2018-01-16$175.53$168.7419.1%5.5%13.9%70.4%19.4%2.1%-1.8%4.5M-38.3M-205.7K2.0265.73N/AN/A1,2472,5158,09814,318
2018-01-17$177.07$168.7419.1%5.5%13.8%70.3%19.3%3.0%-1.7%4.8M-46.7M-221.2K1.8658.02N/AN/A1,1322,1008,23414,572
2018-01-18$177.91$168.7419.5%5.6%13.8%73.6%18.9%2.7%-1.7%4.2M-51.5M-221.4K1.7962.40N/AN/A1,1842,1158,26314,642
2018-01-19$179.78$168.7419.5%5.6%14.0%73.7%18.7%2.5%-2.0%1.0M-58.5M-217.0K1.4861.85N/AN/A1,4622,1668,19214,726
2018-01-22$181.55$168.7418.9%5.4%13.3%68.3%19.5%2.5%-2.0%1.2M-25.2M-226.3K1.9354.19N/AN/A8981,7364,9347,336
2018-01-23$180.12$176.4121.0%6.0%13.4%86.8%19.9%2.5%-2.0%991.1K-19.9M-274.0K1.6885.05N/AN/A1,0271,7225,2908,203
2018-01-24$183.05$176.4120.8%6.0%13.9%85.1%21.6%3.0%-2.2%611.9K-24.3M-286.0K1.4256.78N/AN/A9881,3995,2388,646
2018-01-25$186.11$176.4121.7%6.2%14.4%92.2%21.5%2.3%-2.9%576.3K-35.3M-280.5K0.8357.96N/AN/A1,6011,3315,2768,764
2018-01-26$188.43$176.4121.8%6.2%14.5%93.2%22.8%2.1%-3.2%876.8K-46.9M-307.2K1.6175.54N/AN/A8231,3235,9429,091
2018-01-29$188.06$176.4123.8%6.8%13.7%100.0%24.2%2.8%-4.0%878.0K-45.2M-302.7K2.2783.22N/AN/A8842,0115,9589,129
2018-01-30$187.26$184.0826.6%7.6%13.6%100.0%25.4%3.0%-5.2%-102.2K-31.8M-331.3K2.5074.47N/AN/A8132,0336,01110,054
2018-01-31$186.65$184.0826.6%7.6%13.0%100.0%27.2%3.5%-4.2%-49.3K-29.9M-326.9K3.2872.02N/AN/A6452,1196,0749,984