BDX Options History — July 2018

In July 2018, BDX traded between $182.77 and $192.90. ATM implied volatility averaged 20.0%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.9% (HV 20d: 14.2%). Max pain ranged from $176.41 to $191.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-07-26: Highest Volume — 4,415 contracts
  • 2018-07-31: Largest IV drop — 5.9% change
  • 2018-07-30: Highest IV Rank — 65.8%
  • 2018-07-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.85$182.77$192.90$182.77$191.72
Max Pain$184.90$176.41$191.75$176.41$191.75
ATM IV20.0%19.4%21.3%19.8%20.1%
Expected Move5.8%5.1%7.0%5.1%6.6%
HV 20d14.2%10.0%16.3%16.3%11.0%
HV 60d15.9%14.9%17.4%17.4%14.9%
IV Rank57.7%53.6%65.8%56.1%57.9%
IV Percentile76.4%69.0%83.7%77.4%75.8%
Term Structure-0.5%-1.1%0.3%0.3%-0.6%
VWIV20.8%17.9%24.2%17.9%23.6%
Skew 25d2.5%1.6%4.4%2.9%2.6%
Skew 10d5.4%3.5%10.3%5.4%4.9%
Call IV 25d19.4%18.3%20.2%19.8%19.1%
Put IV 25d21.8%20.2%23.8%22.7%21.7%
Bid-Ask Spread %25.5916.0241.7329.7132.17
Gamma HHI0.160.140.200.140.14
Net GEX4.7M3.4M5.9M3.4M4.5M
Net DEX-85.4M-108.2M-55.5M-55.5M-74.7M
Net VEX-282.5K-403.7K-242.5K-293.8K-403.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.511.381.120.81
Total Volume3,042.2862,3294,4152,3664,107
Total OI20,673.76218,10723,10419,50121,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$182.77$176.4119.8%5.1%16.3%56.1%17.9%2.9%0.3%3.4M-55.5M-293.8K1.1229.71N/AN/A1,1161,2508,70310,798
2018-07-03$184.45$176.4119.9%5.1%16.3%57.0%17.9%4.4%0.2%3.6M-68.8M-279.8K1.1732.81N/AN/A1,0761,2578,81810,979
2018-07-05$185.57$184.0820.7%5.8%15.7%61.8%22.0%3.6%-1.0%4.1M-77.8M-262.0K1.2434.48N/AN/A1,0941,3578,93611,031
2018-07-06$186.34$184.0820.3%5.8%15.4%59.4%22.2%2.6%-0.5%5.0M-85.2M-256.0K1.2731.56N/AN/A1,2781,6189,03511,091
2018-07-09$187.54$184.0819.9%5.7%15.3%57.0%19.8%3.2%0.3%4.2M-85.9M-242.5K0.8527.03N/AN/A1,5231,2998,95110,816
2018-07-10$187.38$184.0819.7%5.7%15.3%55.3%19.9%3.4%0.3%4.6M-86.2M-256.6K0.7724.39N/AN/A1,6121,2479,40510,923
2018-07-11$187.65$184.0819.8%5.8%15.3%56.5%20.2%2.9%0.3%5.1M-93.0M-253.3K0.8826.60N/AN/A1,3571,1999,67210,988
2018-07-12$189.25$184.0819.8%5.4%15.1%55.9%19.5%2.1%-1.1%5.4M-104.4M-250.2K0.5641.64N/AN/A1,9051,0579,86611,103
2018-07-13$189.59$184.0820.0%5.7%15.1%57.6%19.8%2.3%-0.6%4.6M-107.4M-274.8K0.5141.73N/AN/A1,9751,01810,70611,234
2018-07-16$187.98$184.0820.3%5.7%15.6%59.7%22.1%2.3%-0.9%4.6M-87.4M-266.0K1.3522.76N/AN/A1,0071,35810,22410,901
2018-07-17$190.51$184.0819.9%5.7%15.7%56.8%22.0%2.0%-0.6%5.5M-105.0M-268.4K0.9716.48N/AN/A1,3141,28010,48511,205
2018-07-18$188.76$184.0820.2%5.8%16.0%59.0%20.5%2.4%-0.5%5.3M-97.6M-269.4K0.9016.02N/AN/A1,6321,46310,75611,093
2018-07-19$189.53$184.0819.9%5.7%16.0%56.9%20.3%1.9%-0.7%5.7M-108.2M-259.4K1.3118.91N/AN/A1,3601,78211,33211,503
2018-07-20$189.68$184.0819.6%5.7%15.7%54.8%20.0%2.1%-1.0%5.0M-106.2M-252.5K1.3819.70N/AN/A1,3381,85211,27811,826
2018-07-23$190.35$184.0819.8%5.9%13.7%56.2%20.2%1.9%-0.8%4.1M-67.8M-248.1K1.2522.66N/AN/A1,2991,6268,4319,676
2018-07-24$190.07$184.0819.4%5.9%12.2%53.6%20.2%1.6%-0.5%3.7M-64.1M-270.2K1.3216.28N/AN/A1,0051,3248,77410,184
2018-07-25$192.18$187.9120.1%6.2%10.7%58.2%21.2%1.7%-0.8%4.4M-76.6M-277.6K0.9922.60N/AN/A1,4361,4149,01710,363
2018-07-26$192.90$189.8319.9%6.1%10.0%56.9%21.7%1.8%-0.8%5.3M-87.2M-277.6K0.6318.46N/AN/A2,7091,7069,57210,563
2018-07-27$191.88$191.7520.3%6.3%10.2%59.1%21.9%1.9%-0.6%5.9M-88.7M-386.2K0.6721.91N/AN/A2,6281,75410,81810,715
2018-07-30$189.75$191.7521.3%7.0%11.2%65.8%24.2%2.4%-0.8%4.5M-66.5M-383.9K0.7219.55N/AN/A2,4741,78210,41510,316
2018-07-31$191.72$191.7520.1%6.6%11.0%57.9%23.6%2.6%-0.6%4.5M-74.7M-403.7K0.8132.17N/AN/A2,2641,84310,67110,976