BDX Options History — September 2019

In September 2019, BDX traded between $190.04 and $202.02. ATM implied volatility averaged 20.0%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.4% (HV 20d: 23.4%). Max pain ranged from $191.75 to $199.42. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.08.

Notable Days

  • 2019-09-06: Highest Volume — 3,765 contracts
  • 2019-09-04: Largest IV drop — 9.7% change
  • 2019-09-03: Highest IV Rank — 35.8%
  • 2019-09-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.36$190.04$202.02$190.04$194.24
Max Pain$196.35$191.75$199.42$191.75$199.42
ATM IV20.0%18.6%21.7%21.7%20.2%
Expected Move5.7%5.3%6.3%6.3%5.5%
HV 20d23.4%19.6%27.5%26.2%22.4%
HV 60d22.0%21.0%22.5%21.0%22.5%
IV Rank26.9%20.7%35.8%35.8%25.9%
IV Percentile40.3%27.4%60.7%60.7%40.5%
Term Structure0.4%-1.5%3.3%-0.3%3.3%
VWIV20.7%17.8%24.4%22.9%22.9%
Skew 25d3.8%3.2%4.8%4.6%4.8%
Skew 10d7.5%6.6%9.2%9.2%6.7%
Call IV 25d18.5%17.0%19.9%19.4%19.9%
Put IV 25d22.2%20.4%24.7%24.0%24.7%
Bid-Ask Spread %29.7521.1642.7423.1321.29
Gamma HHI0.160.100.240.130.10
Net GEX3.5M-5.1M8.7M1.2M-2.1M
Net DEX-31.2M-99.6M32.4M-3.1M3.7M
Net VEX-395.1K-469.2K-349.8K-356.6K-469.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.156.662.534.64
Total Volume1,1883313,7658011,852
Total OI23,592.7517,56926,49720,65122,992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$190.04$191.7521.7%6.3%26.2%35.8%22.9%4.6%-0.3%1.2M-3.1M-356.6K2.5323.13N/AN/A22657510,08210,569
2019-09-04$195.44$191.7519.6%5.6%27.5%26.2%18.7%3.4%-0.0%5.7M-42.5M-372.9K0.2525.30N/AN/A2666510,21711,107
2019-09-05$198.14$191.7518.6%5.4%27.5%20.7%21.1%3.4%-0.0%8.7M-69.1M-371.5K1.8438.68N/AN/A52897210,78311,173
2019-09-06$202.02$191.7518.8%5.6%26.5%21.7%22.8%3.4%-1.5%8.7M-99.6M-368.8K6.6640.32N/AN/A4913,27410,70011,929
2019-09-09$197.75$191.7520.6%5.9%27.5%30.1%21.6%3.9%-0.2%6.5M-49.7M-411.5K4.2142.74N/AN/A17473510,56113,967
2019-09-10$198.37$191.7520.8%5.8%26.1%30.5%24.2%3.7%-0.6%7.1M-51.3M-413.7K4.4140.38N/AN/A20489710,66614,421
2019-09-11$200.05$191.7520.3%5.7%25.6%28.6%21.6%3.6%-0.3%8.1M-71.6M-403.3K0.8740.06N/AN/A39634310,83114,907
2019-09-12$201.23$191.7519.4%5.7%22.5%24.3%20.1%3.4%0.5%8.5M-86.5M-390.4K2.3436.98N/AN/A15536411,05015,175
2019-09-13$199.88$199.4219.1%5.5%22.7%23.1%19.5%3.4%0.2%8.3M-74.6M-377.5K0.8128.46N/AN/A44636311,05215,445
2019-09-16$198.50$199.4220.1%5.8%23.0%27.6%24.4%3.8%0.4%6.9M-45.3M-378.8K1.3130.67N/AN/A17823310,17015,357
2019-09-17$198.45$199.4219.8%5.7%22.3%26.1%18.2%3.7%1.6%7.7M-46.2M-362.1K0.1525.38N/AN/A1,23818310,23815,474
2019-09-18$197.38$199.4219.3%5.5%22.1%24.0%19.3%4.1%0.4%6.7M-31.3M-371.2K2.4928.35N/AN/A13633710,26915,597
2019-09-19$196.78$199.4218.9%5.4%21.8%22.1%19.7%3.5%1.3%4.7M-21.7M-371.2K1.7126.52N/AN/A27947610,12015,696
2019-09-20$194.92$199.4220.7%6.0%21.9%30.4%20.2%3.9%-0.4%763.3K-5.2M-384.3K0.8826.72N/AN/A74465410,32216,026
2019-09-23$194.62$199.4220.0%5.6%19.6%27.2%17.8%3.9%1.0%-1.7M239.8K-349.8K1.1622.95N/AN/A9451,0936,58410,985
2019-09-24$191.99$199.4220.9%5.8%20.3%31.1%18.0%4.1%1.6%-4.2M20.1M-399.2K1.2126.42N/AN/A9251,1227,70712,529
2019-09-25$194.85$199.4219.2%5.3%20.6%23.2%18.3%3.2%1.2%-1.3M-705.8K-439.5K0.7721.16N/AN/A3642818,49613,454
2019-09-26$192.29$199.4220.3%5.6%21.0%27.9%21.6%3.9%-0.3%-4.2M18.0M-449.5K2.0125.12N/AN/A3196418,73713,683
2019-09-27$190.21$199.4221.3%5.9%21.1%32.3%20.2%3.3%-0.3%-5.1M32.4M-461.0K1.3924.40N/AN/A5387488,84213,942
2019-09-30$194.24$199.4220.2%5.5%22.4%25.9%22.9%4.8%3.3%-2.1M3.7M-469.2K4.6421.29N/AN/A3281,5248,84714,145