BDX Options History — September 2018

In September 2018, BDX traded between $195.14 and $201.31. ATM implied volatility averaged 15.0%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.7% (HV 20d: 11.3%). Max pain ranged from $184.08 to $199.42. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-09-05: Highest Volume — 6,495 contracts
  • 2018-09-06: Largest IV spike — 11.4% change
  • 2018-09-06: Highest IV Rank — 35.6%
  • 2018-09-07: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$199.05$195.14$201.31$201.08$200.23
Max Pain$194.17$184.08$199.42$184.08$199.42
ATM IV15.0%14.1%16.6%14.3%15.1%
Expected Move4.3%4.0%4.8%4.1%4.0%
HV 20d11.3%8.3%12.7%8.3%12.6%
HV 60d12.7%11.6%13.7%12.7%11.7%
IV Rank25.6%19.8%35.6%21.4%26.5%
IV Percentile22.5%6.7%47.6%10.7%25.8%
Term Structure0.6%-0.9%2.4%0.2%2.1%
VWIV15.2%13.2%18.6%15.5%13.2%
Skew 25d1.8%1.4%2.6%2.0%1.6%
Skew 10d3.9%2.7%5.6%4.4%2.7%
Call IV 25d14.4%13.5%15.9%13.7%13.5%
Put IV 25d16.2%15.1%17.9%15.8%15.1%
Bid-Ask Spread %21.048.5976.3518.8118.14
Gamma HHI0.310.160.530.320.18
Net GEX7.7M3.0M13.5M9.6M4.2M
Net DEX-88.6M-143.3M-54.2M-143.3M-66.5M
Net VEX-445.3K-473.0K-417.2K-458.7K-430.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.561.121.120.80
Total Volume4,122.8952,7606,4953,7603,834
Total OI22,686.52613,73526,50225,50515,158

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$201.08$184.0814.3%4.1%8.3%21.4%15.5%2.0%0.2%9.6M-143.3M-458.7K1.1218.81N/AN/A1,7711,98913,06012,445
2018-09-05$197.66$184.0814.9%4.5%10.9%24.9%18.6%1.4%1.3%7.9M-110.9M-470.1K0.6631.65N/AN/A3,9152,58013,20812,838
2018-09-06$196.43$191.7516.6%4.5%10.3%35.6%16.2%2.6%-0.9%5.3M-68.9M-473.0K0.7013.41N/AN/A3,3722,35611,80813,497
2018-09-07$195.14$191.7516.0%4.8%10.6%31.8%16.4%2.1%0.2%3.0M-54.2M-471.7K0.8015.15N/AN/A3,1052,47311,88613,720
2018-09-10$195.55$191.7515.9%4.8%9.8%31.3%16.4%2.0%0.7%4.9M-59.7M-458.7K0.639.22N/AN/A2,8171,77411,67413,628
2018-09-11$196.14$191.7516.0%4.5%9.7%31.9%15.3%1.9%-0.4%5.4M-64.1M-459.0K0.569.93N/AN/A3,1601,75511,71613,738
2018-09-12$198.49$191.7515.0%4.4%10.2%25.6%15.0%1.6%0.1%8.8M-93.6M-470.2K0.6525.38N/AN/A2,6811,74912,16713,771
2018-09-13$200.11$191.7514.9%4.3%10.4%24.7%15.1%1.7%0.2%11.5M-113.3M-453.9K0.6730.43N/AN/A2,4971,67612,30313,894
2018-09-14$199.86$191.7514.6%4.3%10.3%23.2%15.9%1.8%0.7%12.8M-112.0M-452.1K0.6830.98N/AN/A2,3891,63512,53313,969
2018-09-17$196.79$191.7515.5%4.5%11.9%28.9%16.3%1.7%-0.1%7.7M-71.0M-444.5K0.6114.70N/AN/A2,1881,32711,90712,902
2018-09-18$199.26$191.7515.2%4.4%12.7%26.6%15.2%1.8%-0.3%12.1M-100.4M-439.8K0.6819.44N/AN/A2,1001,42611,98513,016
2018-09-19$199.75$199.4214.8%4.3%12.4%24.6%14.7%2.1%0.1%13.3M-103.8M-437.5K0.848.59N/AN/A2,0821,74912,00913,225
2018-09-20$200.97$199.4214.4%4.1%12.5%21.6%14.1%1.9%-0.2%13.5M-117.8M-424.0K0.7610.06N/AN/A2,1971,67812,05013,464
2018-09-21$201.29$199.4214.1%4.1%12.5%19.8%14.5%1.7%-0.3%7.2M-124.3M-417.2K0.709.44N/AN/A2,4731,73112,08813,753
2018-09-24$201.16$199.4214.7%4.2%12.3%23.5%14.7%1.6%1.9%4.8M-71.1M-417.4K0.7720.24N/AN/A1,7711,3678,7534,982
2018-09-25$201.26$199.4214.2%4.1%12.3%20.5%14.3%1.5%2.4%5.3M-73.5M-426.7K0.7421.42N/AN/A1,7311,2839,1585,280
2018-09-26$201.31$199.4214.2%4.1%12.2%20.8%15.1%1.5%1.8%5.3M-74.8M-428.7K0.7576.35N/AN/A1,5771,1839,2305,393
2018-09-27$199.43$199.4214.7%4.0%12.5%23.6%13.2%1.4%2.4%4.3M-60.6M-426.1K0.8616.39N/AN/A1,5821,3629,3545,482
2018-09-28$200.23$199.4215.1%4.0%12.6%26.5%13.2%1.6%2.1%4.2M-66.5M-430.5K0.8018.14N/AN/A2,1281,7069,4815,677