BDX Options History — November 2018

In November 2018, BDX traded between $179.14 and $194.12. ATM implied volatility averaged 21.9%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.6% (HV 20d: 22.5%). Max pain ranged from $180.24 to $187.91. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2018-11-01: Highest Volume — 6,669 contracts
  • 2018-11-06: Largest IV drop — 19.4% change
  • 2018-11-01: Highest IV Rank — 83.7%
  • 2018-11-02: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.18$179.14$194.12$179.14$194.12
Max Pain$184.08$180.24$187.91$187.91$184.08
ATM IV21.9%18.1%27.8%27.8%18.1%
Expected Move6.5%5.5%9.8%9.6%5.5%
HV 20d22.5%18.9%24.6%20.3%23.4%
HV 60d18.6%16.0%20.6%16.0%20.4%
IV Rank54.2%35.5%83.7%83.7%35.5%
IV Percentile74.1%47.2%98.0%98.0%47.2%
Term Structure-0.4%-1.4%0.8%-0.9%0.1%
VWIV22.9%19.0%34.4%34.3%19.3%
Skew 25d3.0%1.5%4.0%3.1%2.9%
Skew 10d6.9%2.2%11.0%7.2%6.1%
Call IV 25d20.9%16.9%27.1%27.1%16.9%
Put IV 25d23.9%19.8%30.2%30.2%19.8%
Bid-Ask Spread %30.0913.8162.4836.8762.48
Gamma HHI0.130.100.220.150.11
Net GEX1.3M-2.8M7.6M-2.8M3.1M
Net DEX-10.1M-59.8M43.4M43.4M-59.8M
Net VEX-515.6K-587.8K-428.7K-553.5K-428.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.741.511.281.19
Total Volume3,630.0482,4296,6696,6693,191
Total OI25,631.90521,83530,53924,52623,011

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$179.14$187.9127.8%9.6%20.3%83.7%34.3%3.1%-0.9%-2.8M43.4M-553.5K1.2836.87N/AN/A2,9263,7439,60214,924
2018-11-02$180.72$180.2427.5%9.8%20.6%82.2%34.4%3.7%-0.4%-728.8K24.1M-587.8K1.2022.79N/AN/A2,3102,77211,18116,539
2018-11-05$182.10$184.0826.6%7.1%20.9%77.4%24.4%3.9%-1.1%-1.2M9.3M-577.0K1.0123.15N/AN/A3,0953,11910,48816,233
2018-11-06$183.89$184.0821.4%6.1%21.3%51.8%22.2%3.7%0.8%1.6M-7.3M-546.1K1.1028.57N/AN/A2,5752,83111,62417,589
2018-11-07$181.83$184.0819.8%5.5%18.9%43.8%19.6%1.5%-0.4%1.7M3.5M-535.1K0.9637.42N/AN/A2,4032,29912,02417,680
2018-11-08$186.99$184.0819.4%5.7%21.2%41.8%19.0%2.2%-0.6%6.8M-47.6M-510.1K1.0016.38N/AN/A2,1262,12812,42917,886
2018-11-09$187.11$184.0819.8%5.8%20.9%43.7%20.0%2.8%-0.3%7.6M-44.0M-542.5K0.9522.55N/AN/A1,8061,71812,64117,898
2018-11-12$181.62$184.0821.8%6.2%23.1%53.7%24.0%3.3%-0.2%446.5K8.3M-539.6K1.0726.53N/AN/A1,2471,33710,94416,147
2018-11-13$179.49$184.0822.3%6.6%22.1%56.0%22.7%3.0%0.8%-440.2K23.2M-534.7K1.2635.63N/AN/A1,4761,85711,01816,046
2018-11-14$181.23$184.0822.4%6.3%22.5%56.7%22.0%2.9%-0.5%1.1M14.2M-546.2K0.9125.48N/AN/A1,8041,64711,09316,419
2018-11-15$183.68$184.0821.9%6.2%22.1%54.3%21.7%2.4%-0.6%994.8K-9.3M-512.0K1.2421.88N/AN/A1,1591,43210,95816,531
2018-11-16$189.18$184.0820.8%5.9%24.3%48.5%21.0%2.5%-0.1%2.7M-56.2M-499.1K0.7443.47N/AN/A2,0211,50411,01916,525
2018-11-19$186.42$184.0822.2%6.4%24.6%55.9%22.7%4.0%-1.1%78.8K-13.9M-500.9K1.2820.15N/AN/A1,0631,3668,55513,280
2018-11-20$183.99$184.0823.5%6.8%24.3%62.4%23.7%3.6%-1.4%-963.6K1.3M-508.5K1.1024.07N/AN/A1,3691,5008,63213,322
2018-11-21$185.86$184.0822.6%6.5%24.3%57.4%22.7%3.5%-1.1%-56.0K-1.9M-524.5K1.0422.30N/AN/A1,4901,5518,86213,440
2018-11-23$185.63$184.0822.4%6.5%24.2%56.9%23.0%3.5%-0.8%746.7K-6.5M-503.2K0.9520.23N/AN/A1,4081,3339,00313,889
2018-11-26$185.90$184.0820.8%6.3%23.4%48.9%22.4%3.0%-0.1%-66.3K-7.0M-476.7K0.9913.81N/AN/A1,2631,2528,70913,656
2018-11-27$186.66$184.0820.8%6.2%22.8%48.7%21.8%2.9%-0.3%223.2K-9.9M-472.8K1.5124.30N/AN/A1,0071,5178,77613,787
2018-11-28$190.86$184.0818.9%5.8%23.4%39.5%20.3%2.8%-0.2%2.2M-29.4M-485.3K1.4641.71N/AN/A1,0821,5828,81214,096
2018-11-29$192.32$184.0818.9%5.8%23.5%39.1%20.1%2.3%-0.1%3.7M-46.1M-444.0K1.4662.19N/AN/A1,1881,7348,93214,070
2018-11-30$194.12$184.0818.1%5.5%23.4%35.5%19.3%2.9%0.1%3.1M-59.8M-428.7K1.1962.48N/AN/A1,4551,7369,10913,902