BDX Options History — December 2018

In December 2018, BDX traded between $161.57 and $188.37. ATM implied volatility averaged 26.6%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.8% (HV 20d: 24.8%). Max pain ranged from $176.41 to $184.08. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.13.

Notable Days

  • 2018-12-28: Highest Volume — 2,707 contracts
  • 2018-12-17: Largest IV spike — 16.5% change
  • 2018-12-21: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.31$161.57$188.37$188.37$172.36
Max Pain$182.06$176.41$184.08$184.08$176.41
ATM IV26.6%20.1%35.9%20.1%27.2%
Expected Move7.8%6.3%10.6%6.4%8.3%
HV 20d24.8%21.9%27.6%26.3%26.0%
HV 60d22.4%21.3%24.2%21.3%24.2%
IV Rank72.2%45.3%100.0%45.3%65.1%
IV Percentile88.3%65.1%100.0%65.1%93.3%
Term Structure-0.2%-2.8%1.6%0.2%1.6%
VWIV28.3%21.7%37.0%21.7%31.4%
Skew 25d4.6%2.7%9.2%2.7%4.2%
Skew 10d9.9%7.4%18.7%7.4%9.6%
Call IV 25d24.8%19.3%32.7%19.3%25.8%
Put IV 25d29.4%22.0%38.6%22.0%30.0%
Bid-Ask Spread %52.4644.5871.6169.4344.58
Gamma HHI0.190.110.290.110.24
Net GEX-3.8M-6.0M506.8K506.8K-5.1M
Net DEX44.5M-18.2M103.1M-18.2M35.5M
Net VEX-406.6K-457.5K-348.3K-436.7K-375.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.744.991.710.77
Total Volume1,225.4743182,707770318
Total OI21,617.78917,81623,01122,34419,661

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-04$188.37$184.0820.1%6.4%26.3%45.3%21.7%2.7%0.2%506.8K-18.2M-436.7K1.7169.43N/AN/A2844868,89513,449
2018-12-05$187.99$184.0820.4%6.5%26.2%46.7%22.5%3.0%0.1%72.1K-11.5M-451.4K1.6771.61N/AN/A2844768,89513,449
2018-12-06$184.65$184.0822.2%6.3%26.9%55.8%23.3%3.7%0.6%-1.5M8.3M-451.4K0.7450.97N/AN/A5343988,91713,607
2018-12-07$181.01$184.0823.2%6.7%27.6%60.6%25.1%4.3%0.8%-3.2M27.4M-457.5K1.1755.69N/AN/A6417498,96113,837
2018-12-10$181.72$184.0824.0%6.7%25.5%64.4%29.4%4.0%-0.7%-2.7M21.7M-455.7K4.9954.14N/AN/A1839098,82313,557
2018-12-11$181.85$184.0823.2%6.7%25.5%60.5%28.2%3.8%0.3%-2.3M17.0M-442.5K3.8153.32N/AN/A1917258,90113,766
2018-12-12$181.55$184.0822.3%6.6%23.3%56.3%27.1%3.9%1.0%-2.8M20.4M-429.8K2.9751.84N/AN/A2296818,92413,816
2018-12-13$181.55$184.0821.9%6.3%22.8%54.4%22.9%3.3%-0.3%-3.0M18.1M-408.6K3.1347.88N/AN/A2537918,94013,823
2018-12-14$176.97$184.0823.8%6.9%24.3%63.6%25.2%3.8%0.3%-4.5M45.9M-410.4K2.2551.00N/AN/A3748438,93713,736
2018-12-17$172.35$184.0827.7%8.1%25.3%83.1%25.6%4.8%-2.8%-5.4M66.9M-396.7K0.9550.34N/AN/A1631558,70613,484
2018-12-18$172.02$184.0828.5%8.2%22.2%86.8%26.9%4.7%-2.7%-5.7M69.5M-392.3K0.8747.89N/AN/A4503928,76413,454
2018-12-19$170.45$184.0828.1%8.0%21.9%84.7%27.5%4.2%-1.2%-6.0M79.1M-382.5K1.1648.09N/AN/A4415138,89413,579
2018-12-20$166.05$184.0829.3%8.4%23.0%91.0%28.8%4.8%-0.2%-5.9M96.2M-382.4K1.8753.73N/AN/A5279878,99413,628
2018-12-21$165.13$184.0831.2%8.9%22.3%100.0%31.2%6.8%0.9%-5.3M103.1M-365.8K1.8754.68N/AN/A5711,0709,18613,825
2018-12-24$161.57$176.4135.9%10.6%22.9%100.0%34.3%5.9%0.4%-4.8M89.5M-348.3K2.2945.11N/AN/A4501,0306,49011,377
2018-12-26$166.07$176.4133.6%10.3%25.9%90.7%36.7%4.5%-1.9%-5.1M70.5M-365.3K2.2145.92N/AN/A7301,6146,54211,274
2018-12-27$169.25$176.4132.8%10.1%27.1%87.4%37.0%9.2%-0.4%-4.8M54.7M-389.9K3.1252.21N/AN/A5181,6177,12412,524
2018-12-28$169.88$176.4129.6%8.8%25.4%74.8%32.5%5.8%-0.4%-5.3M51.1M-382.7K2.8648.26N/AN/A7012,0067,32412,675
2018-12-31$172.36$176.4127.2%8.3%26.0%65.1%31.4%4.2%1.6%-5.1M35.5M-375.7K0.7744.58N/AN/A1791397,15212,509