BDX Options History — January 2020

In January 2020, BDX traded between $206.65 and $216.51. ATM implied volatility averaged 20.4%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 9.6% (HV 20d: 10.8%). Max pain ranged from $203.25 to $212.84. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2020-01-28: Highest Volume — 4,276 contracts
  • 2020-01-06: Largest IV drop — 8.5% change
  • 2020-01-31: Highest IV Rank — 48.1%
  • 2020-01-31: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.95$206.65$216.51$208.31$211.06
Max Pain$207.27$203.25$212.84$203.25$212.84
ATM IV20.4%18.5%22.9%21.1%22.9%
Expected Move5.6%4.8%6.9%4.8%6.9%
HV 20d10.8%7.6%13.8%13.1%11.5%
HV 60d19.4%17.9%21.0%21.0%18.4%
IV Rank33.3%22.1%48.1%37.4%48.1%
IV Percentile54.4%30.6%81.7%64.3%81.7%
Term Structure-0.7%-2.1%0.6%-0.4%-0.2%
VWIV20.1%17.2%23.9%17.9%22.0%
Skew 25d4.3%3.0%5.5%4.1%5.5%
Skew 10d8.2%6.5%9.9%7.8%9.9%
Call IV 25d18.6%17.4%20.5%19.4%20.5%
Put IV 25d22.8%21.0%26.1%23.5%26.1%
Bid-Ask Spread %36.8612.9278.2221.2858.60
Gamma HHI0.150.100.230.130.11
Net GEX9.9M1.3M20.0M5.7M1.3M
Net DEX-99.0M-138.1M-29.0M-68.1M-29.0M
Net VEX-838.2K-959.6K-744.2K-763.4K-959.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.143.523.520.90
Total Volume2,194.7628074,2761,1313,852
Total OI35,509.95230,49440,67231,00037,843

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$208.31$203.2521.1%4.8%13.1%37.4%17.9%4.1%-0.4%5.7M-68.1M-763.4K3.5221.28N/AN/A25188013,40817,592
2020-01-03$206.65$203.2521.9%5.1%13.5%41.9%20.9%4.5%-0.5%4.3M-45.0M-779.2K2.0312.92N/AN/A26654113,55218,289
2020-01-06$209.10$207.0920.0%5.7%13.8%30.9%20.0%4.2%-0.4%5.4M-73.4M-744.2K1.9124.72N/AN/A1,3092,50213,11317,381
2020-01-07$209.42$207.0920.2%5.7%13.7%32.1%18.4%4.5%-0.4%5.8M-72.4M-797.7K0.2423.09N/AN/A1,64940113,76819,337
2020-01-08$210.77$207.0921.1%5.7%12.8%37.4%19.2%4.6%-1.7%7.8M-96.9M-804.8K0.5818.37N/AN/A1,15066514,45619,547
2020-01-09$209.53$207.0920.6%5.6%13.0%34.7%19.6%4.2%-0.8%8.2M-83.0M-817.3K1.2416.07N/AN/A1,2391,53315,29720,016
2020-01-10$210.06$207.0920.2%5.6%12.5%31.8%18.2%4.2%-0.8%9.0M-94.5M-863.0K0.2717.18N/AN/A1,43939316,42921,470
2020-01-13$211.94$207.0920.6%5.4%11.1%34.7%18.9%4.9%-1.6%11.6M-124.9M-851.6K0.7917.74N/AN/A68654317,22220,872
2020-01-14$211.90$207.0920.6%5.3%10.7%34.5%21.3%4.4%-2.1%12.0M-127.0M-849.2K3.2415.47N/AN/A25783217,58321,022
2020-01-15$212.13$207.0920.2%5.3%10.6%32.2%19.4%4.1%-1.8%13.5M-133.5M-838.7K0.5121.17N/AN/A1,71086917,70221,501
2020-01-16$211.91$207.0918.8%5.0%10.6%23.9%18.0%3.8%-1.7%20.0M-138.1M-833.0K0.4227.30N/AN/A1,68570018,35622,224
2020-01-17$211.67$207.0918.5%4.9%10.2%22.1%17.2%3.7%-2.1%14.9M-131.9M-817.0K0.1478.22N/AN/A1,45020118,13522,537
2020-01-21$213.08$207.0919.5%5.5%10.4%27.8%20.6%4.0%-0.2%11.6M-101.9M-811.0K1.9448.12N/AN/A8461,64315,20418,225
2020-01-22$213.23$207.0919.3%5.5%9.0%26.6%20.6%3.0%0.1%12.3M-104.6M-842.0K0.1746.56N/AN/A1,28021415,89119,551
2020-01-23$213.35$207.0919.8%5.7%8.8%29.6%19.5%3.5%-0.4%14.7M-106.5M-840.2K0.5951.25N/AN/A1,58292916,47519,758
2020-01-24$213.62$207.0920.7%6.0%8.7%34.8%22.1%4.3%-1.0%12.2M-113.7M-868.0K2.4653.48N/AN/A39797417,40620,017
2020-01-27$214.57$207.0921.4%6.2%8.1%39.3%23.9%4.9%0.6%9.0M-100.2M-861.1K2.5651.94N/AN/A4171,06715,45015,833
2020-01-28$216.51$207.0919.9%5.8%8.3%30.2%21.8%3.9%-0.0%11.4M-125.1M-852.2K0.7854.51N/AN/A2,4071,86915,79816,579
2020-01-29$216.45$207.0920.0%5.9%7.6%30.5%20.5%4.2%0.3%9.1M-113.2M-869.5K0.9657.09N/AN/A2,1032,02115,86117,894
2020-01-30$215.68$212.8421.2%6.2%7.9%37.9%21.9%4.9%0.2%8.4M-96.8M-939.1K3.4658.88N/AN/A3001,03817,36319,752
2020-01-31$211.06$212.8422.9%6.9%11.5%48.1%22.0%5.5%-0.2%1.3M-29.0M-959.6K0.9058.60N/AN/A2,0281,82417,40720,436