BDX Options History — August 2019

In August 2019, BDX traded between $182.50 and $195.89. ATM implied volatility averaged 21.7%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.3% (HV 20d: 26.0%). Max pain ranged from $191.75 to $193.66. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2019-08-06: Highest Volume — 3,840 contracts
  • 2019-08-06: Largest IV drop — 23.7% change
  • 2019-08-05: Highest IV Rank — 70.6%
  • 2019-08-02: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$191.58$182.50$195.89$193.99$194.35
Max Pain$191.83$191.75$193.66$191.75$191.75
ATM IV21.7%19.2%29.3%22.7%19.6%
Expected Move6.2%5.4%7.9%7.6%5.5%
HV 20d26.0%12.2%30.6%12.2%29.8%
HV 60d19.7%15.6%21.3%15.6%20.5%
IV Rank37.2%26.1%70.6%41.6%27.9%
IV Percentile59.2%35.7%95.6%73.8%37.3%
Term Structure-0.2%-2.0%0.7%-0.3%0.3%
VWIV22.2%19.5%26.3%26.1%19.6%
Skew 25d4.0%3.2%5.1%4.0%3.7%
Skew 10d7.9%6.5%9.0%7.9%7.4%
Call IV 25d20.1%17.8%26.2%21.1%18.0%
Put IV 25d24.0%21.4%31.3%25.1%21.7%
Bid-Ask Spread %31.9223.2852.8130.5528.13
Gamma HHI0.160.110.310.310.14
Net GEX700.9K-24.8M13.2M-24.8M3.8M
Net DEX-6.3M-47.8M91.7M31.6M-34.9M
Net VEX-391.2K-435.3K-347.6K-435.3K-385.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.205.702.060.55
Total Volume1,130.0912223,8402,431619
Total OI21,693.59117,81227,86827,62621,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$193.99$191.7522.7%7.6%12.2%41.6%26.1%4.0%-0.3%-24.8M31.6M-435.3K2.0630.55N/AN/A7951,63610,90216,724
2019-08-02$190.74$193.6624.0%7.9%13.5%47.0%26.3%4.0%-0.6%278.9K91.7M-409.7K3.4726.01N/AN/A3711,28911,13116,737
2019-08-05$182.50$191.7529.3%7.4%20.3%70.6%26.3%5.0%-2.0%-1.8M54.3M-360.9K2.0552.81N/AN/A1,2022,4599,96710,961
2019-08-06$185.14$191.7522.3%6.3%21.2%39.8%23.0%3.7%-0.4%-4.7M53.3M-347.6K1.9745.66N/AN/A1,2952,54510,47112,416
2019-08-07$187.67$191.7522.5%6.4%21.6%40.6%23.1%3.9%-0.4%-1.1M24.1M-368.4K0.4042.75N/AN/A50620211,13312,123
2019-08-08$193.24$191.7520.0%5.7%24.0%29.7%20.9%3.8%-0.2%3.4M-25.0M-379.9K0.4834.57N/AN/A89242911,25212,263
2019-08-09$195.37$191.7519.4%5.7%24.0%26.9%19.6%3.8%-0.3%13.2M-47.8M-378.9K1.0030.65N/AN/A62762611,14012,373
2019-08-12$191.00$191.7522.6%6.4%25.4%41.0%21.4%5.1%0.0%685.5K-14.5M-389.3K0.3935.73N/AN/A1,24548710,28810,276
2019-08-13$194.27$191.7520.6%6.1%26.1%32.1%20.5%3.2%0.7%3.7M-38.0M-403.2K0.3930.72N/AN/A2489810,84610,502
2019-08-14$188.22$191.7524.2%6.6%28.4%47.9%23.3%4.6%-1.0%-627.6K6.5M-398.3K0.6537.97N/AN/A20613510,97110,535
2019-08-15$189.40$191.7523.5%6.5%28.4%44.8%22.6%4.3%-1.0%-1.2M-830.3K-382.4K0.2032.42N/AN/A3797411,04410,535
2019-08-16$190.32$191.7521.4%6.0%28.4%35.5%21.0%3.9%-0.7%639.4K-6.8M-378.6K4.7535.09N/AN/A2251,07211,26210,511
2019-08-19$193.56$191.7519.8%5.7%29.1%28.4%19.8%3.8%0.4%2.0M-25.8M-378.7K0.8123.28N/AN/A6175008,3349,478
2019-08-20$191.89$191.7520.4%5.8%28.7%31.3%21.9%4.0%0.2%1.6M-16.9M-393.4K1.4227.81N/AN/A4175918,7989,942
2019-08-21$194.17$191.7519.2%5.5%29.1%26.1%19.5%3.6%0.5%2.8M-31.2M-403.6K0.6527.51N/AN/A4683049,21810,452
2019-08-22$195.89$191.7519.7%5.6%29.2%28.0%21.2%3.7%0.5%3.9M-45.6M-403.9K1.2725.00N/AN/A2012569,65810,662
2019-08-23$190.81$191.7522.1%6.3%30.6%38.8%21.5%4.4%0.1%1.0M-8.6M-409.4K0.7527.92N/AN/A2331749,74710,804
2019-08-26$190.37$191.7522.4%6.5%30.6%40.4%21.7%3.6%0.5%1.3M-9.1M-397.2K1.6826.50N/AN/A831399,67710,734
2019-08-27$192.43$191.7522.0%6.3%30.6%38.2%19.9%4.2%0.2%2.5M-21.2M-406.6K0.7228.31N/AN/A1551129,91410,830
2019-08-28$194.06$191.7521.1%6.1%30.3%34.3%26.1%3.9%0.1%3.6M-31.8M-405.4K5.7026.85N/AN/A10057210,03410,871
2019-08-29$195.45$191.7519.5%5.4%30.4%27.3%23.2%3.6%-0.0%5.1M-42.9M-390.4K3.7326.10N/AN/A5921910,08410,653
2019-08-30$194.35$191.7519.6%5.5%29.8%27.9%19.6%3.7%0.3%3.8M-34.9M-385.6K0.5528.13N/AN/A39922010,26410,742