BDX Options History — November 2019

In November 2019, BDX traded between $185.76 and $200.17. ATM implied volatility averaged 18.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 8.3% (HV 20d: 27.0%). Max pain ranged from $191.75 to $191.75. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-11-05: Highest Volume — 5,013 contracts
  • 2019-11-07: Largest IV spike — 18.7% change
  • 2019-11-04: Highest IV Rank — 38.5%
  • 2019-11-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$191.58$185.76$200.17$198.04$197.70
Max Pain$191.75$191.75$191.75$191.75$191.75
ATM IV18.7%16.3%23.0%22.6%17.7%
Expected Move5.5%4.7%7.6%7.6%5.2%
HV 20d27.0%21.2%29.0%21.4%27.0%
HV 60d22.9%21.8%23.9%21.8%22.2%
IV Rank18.3%6.7%38.5%36.7%13.6%
IV Percentile23.7%4.8%70.6%69.0%15.5%
Term Structure-0.0%-1.3%1.9%-0.7%0.2%
VWIV19.2%16.1%27.3%27.3%19.2%
Skew 25d3.8%2.9%7.7%4.0%3.1%
Skew 10d7.4%5.4%13.3%9.0%6.5%
Call IV 25d17.3%15.1%20.9%20.9%16.5%
Put IV 25d21.1%17.9%28.5%25.0%19.7%
Bid-Ask Spread %19.8110.0832.1917.1215.08
Gamma HHI0.150.100.460.150.18
Net GEX2.8M-9.4M31.6M6.2M15.6M
Net DEX-1.0M-112.6M70.9M-54.5M-84.6M
Net VEX-449.0K-506.1K-406.2K-448.6K-498.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.192.970.781.06
Total Volume1,900.96675,0131,151839
Total OI27,370.8522,82930,58823,83830,588

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$198.04$191.7522.6%7.6%21.4%36.7%27.3%4.0%-0.7%6.2M-54.5M-448.6K0.7817.12N/AN/A64650511,93111,907
2019-11-04$200.17$191.7523.0%6.1%21.2%38.5%24.6%7.7%-1.3%7.1M-60.9M-440.0K1.4130.93N/AN/A1,7072,40911,30611,523
2019-11-05$189.89$191.7520.1%5.7%27.9%24.8%21.7%4.1%0.1%-5.4M44.6M-406.2K1.4924.93N/AN/A2,0172,99612,90114,193
2019-11-06$191.74$191.7517.3%5.5%27.9%11.5%18.5%4.5%1.9%-5.7M32.4M-438.8K1.6018.41N/AN/A8151,30413,30915,861
2019-11-07$187.56$191.7520.5%6.2%29.0%26.9%20.5%4.2%-0.3%-7.9M70.9M-438.5K1.6132.19N/AN/A7571,21613,72615,974
2019-11-08$187.61$191.7519.3%6.0%28.0%21.3%21.1%3.3%0.3%-9.4M64.4M-443.0K2.9722.75N/AN/A4131,23014,11016,126
2019-11-11$185.76$191.7518.8%5.5%28.0%18.8%19.2%3.8%0.5%-5.8M55.0M-406.6K0.9224.50N/AN/A57152411,53814,201
2019-11-12$186.06$191.7519.0%5.6%27.7%19.7%19.5%3.5%0.6%-5.7M45.9M-413.1K0.3026.50N/AN/A84625611,93814,432
2019-11-13$188.99$191.7518.4%5.2%28.4%16.7%19.4%3.7%-0.4%-3.1M23.4M-427.0K0.5717.83N/AN/A42424312,41614,538
2019-11-14$190.77$191.7518.6%5.3%27.9%17.5%17.6%3.3%-0.3%-1.3M5.4M-434.0K0.3218.84N/AN/A1,38844812,53714,645
2019-11-15$190.44$191.7517.1%4.8%27.7%10.9%16.1%3.3%-0.3%72.7K7.6M-432.7K0.2410.08N/AN/A1,02825113,51614,903
2019-11-18$186.42$191.7518.5%5.3%28.0%17.3%19.0%3.4%-0.1%-1.9M29.6M-410.6K1.2817.32N/AN/A73994610,50213,196
2019-11-19$188.18$191.7518.2%5.2%28.0%15.8%16.8%3.4%-0.3%-1.2M20.8M-427.8K0.5717.86N/AN/A1,08961610,87114,051
2019-11-20$189.26$191.7518.4%5.3%28.1%17.0%17.7%3.8%-0.3%587.6K12.0M-447.3K0.2221.35N/AN/A86819111,58414,297
2019-11-21$191.09$191.7518.3%5.3%27.1%16.3%17.7%3.5%-0.2%4.5M-8.5M-466.8K0.5420.83N/AN/A3,2131,73512,39414,362
2019-11-22$191.67$191.7518.0%5.2%27.1%15.1%18.1%3.5%0.1%31.6M-15.2M-505.3K1.4116.11N/AN/A30543114,19015,686
2019-11-25$194.59$191.7517.0%4.9%27.5%10.0%16.1%3.1%0.2%10.1M-39.9M-495.0K0.1914.05N/AN/A1,94436413,42014,992
2019-11-26$195.65$191.7516.3%4.7%25.6%6.7%16.8%2.9%0.2%14.6M-56.2M-494.6K1.8415.67N/AN/A40374314,55815,050
2019-11-27$199.91$191.7517.0%5.1%26.7%10.2%17.8%3.1%0.1%14.0M-112.6M-506.1K0.6513.87N/AN/A96763114,92215,223
2019-11-29$197.70$191.7517.7%5.2%27.0%13.6%19.2%3.1%0.2%15.6M-84.6M-498.1K1.0615.08N/AN/A40743215,26415,324