BDX Options History — March 2018

In March 2018, BDX traded between $161.73 and $173.40. ATM implied volatility averaged 19.3%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.9% (HV 20d: 21.2%). Max pain ranged from $168.74 to $176.41. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2018-03-23: Highest Volume — 3,899 contracts
  • 2018-03-19: Largest IV spike — 29.9% change
  • 2018-03-28: Highest IV Rank — 71.7%
  • 2018-03-28: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$168.08$161.73$173.40$167.57$166.53
Max Pain$170.93$168.74$176.41$176.41$168.74
ATM IV19.3%15.9%22.2%21.5%21.3%
Expected Move5.7%4.9%6.6%6.6%6.0%
HV 20d21.2%16.8%29.0%29.0%19.5%
HV 60d21.2%20.4%22.3%21.4%22.3%
IV Rank53.2%31.6%71.7%66.8%65.6%
IV Percentile82.4%56.7%95.6%94.4%92.9%
Term Structure0.9%-0.7%4.1%-0.6%4.0%
VWIV19.8%17.3%23.8%23.8%21.1%
Skew 25d2.7%1.6%3.3%2.4%3.1%
Skew 10d5.4%3.4%7.9%6.2%5.9%
Call IV 25d18.4%14.6%21.0%21.0%19.5%
Put IV 25d21.1%17.2%24.3%23.4%22.6%
Bid-Ask Spread %63.8820.9190.4470.8644.42
Gamma HHI0.120.090.150.120.14
Net GEX-1.7M-3.3M378.1K-1.8M-2.0M
Net DEX41.3M16.0M64.2M51.9M31.1M
Net VEX-395.5K-413.5K-380.7K-413.5K-408.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.982.682.681.96
Total Volume3,314.3812,4413,8993,3623,536
Total OI20,681.57116,28623,98522,53618,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$167.57$176.4121.5%6.6%29.0%66.8%23.8%2.4%-0.6%-1.8M51.9M-413.5K2.6870.86N/AN/A9152,4477,19815,338
2018-03-02$167.08$176.4121.1%6.5%29.0%64.4%22.9%2.8%0.6%-2.3M57.4M-412.7K2.5060.19N/AN/A9692,4187,23015,680
2018-03-05$166.77$168.7420.4%5.6%28.6%60.2%20.1%1.6%-0.2%-2.6M60.4M-405.4K2.4180.19N/AN/A9182,2156,61915,764
2018-03-06$166.18$168.7419.3%5.4%26.8%53.1%18.5%2.8%-0.0%-2.9M64.2M-392.5K1.5368.89N/AN/A1,2131,8536,70615,863
2018-03-07$168.31$168.7418.6%5.5%27.3%48.8%19.2%3.0%0.1%-2.0M52.5M-404.2K1.2470.27N/AN/A1,5681,9507,12615,946
2018-03-08$170.98$168.7418.3%5.3%26.9%46.8%18.2%3.0%-0.0%-499.8K36.1M-398.8K0.9881.53N/AN/A1,9311,8976,82616,007
2018-03-09$173.19$168.7417.0%4.9%20.7%38.3%18.0%2.1%-0.1%-56.2K16.0M-389.6K1.5184.13N/AN/A1,5422,3297,32216,026
2018-03-12$173.40$168.7417.5%4.9%19.4%41.4%17.3%3.0%-0.4%-18.4K23.1M-387.7K1.2581.71N/AN/A1,5591,9447,07615,815
2018-03-13$171.69$168.7416.8%5.4%19.7%37.2%18.1%2.6%1.9%14.9K33.7M-390.3K1.3782.92N/AN/A1,3991,9147,26715,881
2018-03-14$171.51$176.4117.1%5.1%18.5%39.2%17.3%2.3%0.7%145.1K37.2M-380.7K1.2290.44N/AN/A1,6632,0247,42116,013
2018-03-15$171.95$176.4116.8%5.2%17.1%37.0%19.5%2.0%1.8%378.1K32.8M-386.3K1.5172.41N/AN/A1,3091,9827,65216,079
2018-03-16$171.65$176.4115.9%4.9%16.8%31.6%17.6%2.5%2.2%-1.0M33.7M-386.5K1.3562.27N/AN/A1,2991,7537,72416,261
2018-03-19$168.62$176.4120.7%6.0%17.8%61.9%21.0%2.3%0.2%-1.8M28.4M-387.4K1.5772.34N/AN/A9721,5204,95211,334
2018-03-20$168.68$168.7418.2%5.3%16.8%46.2%18.4%2.6%-0.4%-2.0M27.5M-385.4K1.4745.91N/AN/A9881,4535,22711,576
2018-03-21$167.95$168.7417.9%5.1%16.8%44.4%17.8%2.6%-0.1%-2.1M30.5M-386.6K1.5171.01N/AN/A1,1351,7085,33111,660
2018-03-22$163.92$168.7420.8%6.0%18.9%62.7%20.5%2.8%-0.7%-3.3M47.8M-392.3K1.9377.66N/AN/A1,0762,0765,53111,808
2018-03-23$161.73$168.7421.9%6.3%19.1%69.3%21.2%3.2%-0.4%-2.9M58.9M-389.2K2.5446.81N/AN/A1,1022,7975,67912,242
2018-03-26$165.35$168.7420.3%5.9%19.1%59.7%21.0%3.2%4.1%-2.7M43.0M-399.1K2.5220.91N/AN/A1,0472,6395,55711,856
2018-03-27$163.40$168.7422.1%6.5%19.3%71.1%22.4%3.0%3.2%-3.0M50.5M-402.8K2.4433.11N/AN/A8892,1745,77612,045
2018-03-28$163.17$168.7422.2%6.6%18.9%71.7%22.2%3.3%3.9%-3.0M50.0M-404.6K1.6823.40N/AN/A1,2992,1805,98212,160
2018-03-29$166.53$168.7421.3%6.0%19.5%65.6%21.1%3.1%4.0%-2.0M31.1M-408.9K1.9644.42N/AN/A1,1942,3426,37712,380