BDX Options History — December 2019

In December 2019, BDX traded between $195.82 and $209.80. ATM implied volatility averaged 17.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.3% (HV 20d: 17.3%). Max pain ranged from $191.75 to $203.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2019-12-17: Highest Volume — 4,741 contracts
  • 2019-12-30: Largest IV spike — 12.4% change
  • 2019-12-30: Highest IV Rank — 31.0%
  • 2019-12-03: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.75$195.82$209.80$198.19$208.06
Max Pain$195.95$191.75$203.25$191.75$203.25
ATM IV17.6%15.5%20.0%18.8%20.0%
Expected Move5.0%4.4%6.0%5.7%4.6%
HV 20d17.3%14.1%26.9%26.8%14.1%
HV 60d21.7%21.1%22.2%21.9%21.1%
IV Rank13.8%2.9%31.0%18.6%30.6%
IV Percentile16.8%0.8%46.4%26.2%45.2%
Term Structure0.9%-0.7%4.0%0.5%-0.2%
VWIV18.4%15.7%21.3%18.3%18.9%
Skew 25d3.4%2.9%4.3%3.5%4.2%
Skew 10d6.8%5.9%8.7%7.3%8.7%
Call IV 25d16.1%14.0%18.9%17.3%18.8%
Put IV 25d19.5%17.1%23.2%20.8%23.0%
Bid-Ask Spread %18.8314.0126.9517.4218.49
Gamma HHI0.180.130.300.140.13
Net GEX15.3M4.7M27.0M12.3M5.4M
Net DEX-109.1M-211.6M-50.4M-73.6M-60.7M
Net VEX-566.4K-719.5K-471.0K-489.6K-719.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.152.700.351.02
Total Volume2,162.194774,7412,2251,612
Total OI31,683.1925,04837,59929,07629,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$198.19$191.7518.8%5.7%26.8%18.6%18.3%3.5%0.5%12.3M-73.6M-489.6K0.3517.42N/AN/A1,64957614,27914,797
2019-12-03$195.82$191.7519.7%6.0%26.9%23.0%21.3%3.5%0.6%11.7M-50.4M-490.4K2.3114.01N/AN/A35181015,26715,034
2019-12-04$197.32$191.7518.0%5.4%18.8%15.0%18.6%3.5%0.8%15.9M-67.5M-480.1K0.5115.82N/AN/A31716015,45615,426
2019-12-05$198.81$191.7517.6%5.3%18.7%12.9%20.8%3.3%0.6%20.2M-91.2M-475.9K0.2526.95N/AN/A73918415,64415,983
2019-12-06$200.32$191.7516.9%5.2%16.5%9.9%18.9%2.9%0.8%22.3M-121.4M-471.7K0.1518.11N/AN/A2,85442916,15316,040
2019-12-09$198.11$191.7518.4%5.3%17.3%17.0%21.3%4.0%-0.1%18.7M-74.0M-478.5K0.6621.53N/AN/A1,20179815,72615,772
2019-12-10$197.31$191.7518.4%5.3%16.8%16.8%19.0%3.8%0.2%17.7M-58.9M-471.0K0.4519.25N/AN/A70231516,17316,436
2019-12-11$199.85$191.7518.2%5.4%17.2%15.8%17.3%3.5%0.5%25.3M-103.8M-492.5K1.0916.34N/AN/A1,0211,11716,57416,602
2019-12-12$203.73$191.7518.0%5.0%17.6%14.9%17.7%3.2%-0.7%27.0M-178.9M-504.9K0.4718.96N/AN/A2,3401,11017,39317,555
2019-12-13$205.74$191.7517.0%5.0%17.6%10.3%17.9%3.1%0.7%18.6M-211.6M-520.2K1.2815.53N/AN/A1,7962,30217,83018,366
2019-12-16$206.90$191.7516.7%4.8%17.5%8.5%17.2%3.2%0.0%17.2M-152.5M-555.5K0.4416.58N/AN/A1,61971414,66517,924
2019-12-17$206.57$191.7516.8%4.8%14.9%9.1%17.1%3.0%-0.4%20.3M-150.1M-569.8K0.3220.45N/AN/A3,5971,14415,14418,364
2019-12-18$205.24$199.4216.7%4.8%15.3%8.6%17.4%3.2%0.2%20.4M-133.1M-605.7K0.5516.65N/AN/A1,64990616,18118,884
2019-12-19$205.19$199.4216.4%4.7%15.4%7.2%16.1%3.0%0.6%22.0M-131.9M-633.1K0.5820.69N/AN/A1,07461817,00719,656
2019-12-20$208.44$199.4215.7%4.5%15.8%3.9%15.7%3.1%-0.3%10.4M-202.6M-610.2K0.5217.75N/AN/A2,1921,14017,45620,143
2019-12-23$209.80$199.4215.5%4.4%15.8%2.9%16.9%3.0%4.0%8.5M-105.0M-627.7K2.3518.19N/AN/A1,0022,35711,83713,211
2019-12-24$209.42$203.2515.9%4.6%15.5%5.2%17.6%2.9%3.6%6.8M-97.1M-670.1K0.6620.18N/AN/A47131312,48215,368
2019-12-26$207.69$203.2517.2%4.8%16.0%12.6%19.8%3.2%3.8%5.7M-77.4M-674.0K2.7021.39N/AN/A22661212,67915,634
2019-12-27$208.95$203.2517.8%4.7%14.5%16.5%18.5%3.3%3.7%9.3M-93.2M-679.1K1.6521.95N/AN/A39865512,83416,098
2019-12-30$207.39$203.2520.0%4.9%14.1%31.0%19.7%4.3%-0.3%4.7M-57.0M-674.8K1.2319.25N/AN/A1,0471,28911,82815,878
2019-12-31$208.06$203.2520.0%4.6%14.1%30.6%18.9%4.2%-0.2%5.4M-60.7M-719.5K1.0218.49N/AN/A79981312,74216,826