BDX Options History — February 2020

In February 2020, BDX traded between $179.87 and $219.39. ATM implied volatility averaged 22.9%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 19.4% (HV 20d: 42.3%). Max pain ranged from $191.75 to $212.84. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2020-02-06: Highest Volume — 14,622 contracts
  • 2020-02-28: Largest IV spike — 27.1% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.65$179.87$219.39$213.97$179.87
Max Pain$197.20$191.75$212.84$212.84$193.66
ATM IV22.9%18.6%39.2%21.2%39.2%
Expected Move6.7%5.2%12.1%6.4%12.1%
HV 20d42.3%11.9%50.1%11.9%50.1%
HV 60d27.4%14.4%31.1%14.8%31.1%
IV Rank45.6%22.5%100.0%38.1%100.0%
IV Percentile66.0%29.0%100.0%71.0%100.0%
Term Structure-0.2%-1.7%0.4%0.0%-1.7%
VWIV23.3%19.1%41.1%24.2%41.1%
Skew 25d4.1%2.6%7.3%5.0%4.8%
Skew 10d7.9%3.3%15.8%10.1%15.8%
Call IV 25d21.1%17.9%36.8%19.2%36.8%
Put IV 25d25.3%21.0%41.6%24.2%41.6%
Bid-Ask Spread %66.0436.9082.1458.7147.84
Gamma HHI0.110.070.420.110.11
Net GEX1.5M-6.7M25.3M2.1M-6.7M
Net DEX55.7M-134.4M175.4M-57.7M175.4M
Net VEX-993.8K-1.2M-726.0K-936.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.222.250.981.77
Total Volume4,242.26341414,6224141,585
Total OI44,01334,63649,19935,39548,779

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$213.97$212.8421.2%6.4%11.9%38.1%24.2%5.0%0.0%2.1M-57.7M-936.7K0.9858.71N/AN/A20920515,50219,893
2020-02-04$218.61$212.8420.4%6.3%13.4%33.4%24.0%4.5%-0.6%5.2M-116.0M-904.4K1.1261.06N/AN/A1,5241,70215,58620,010
2020-02-05$219.39$207.0920.8%6.1%13.4%35.9%22.2%4.2%0.4%7.9M-134.4M-855.3K1.0766.17N/AN/A1,3581,45815,75618,880
2020-02-06$194.86$199.4222.5%6.5%44.8%45.9%22.5%7.3%0.3%-5.1M145.8M-726.0K1.1779.87N/AN/A6,7477,87516,67319,766
2020-02-07$189.66$199.4221.6%6.1%45.6%40.4%21.4%2.9%-0.0%-6.7M173.2M-812.7K1.0473.22N/AN/A4,3734,56819,70123,541
2020-02-10$193.33$191.7520.5%5.8%46.3%33.9%19.2%3.2%-0.5%-3.1M108.1M-923.5K0.2674.85N/AN/A3,9501,02719,97822,790
2020-02-11$196.86$191.7520.4%5.7%46.8%33.5%20.2%3.4%-0.6%1.2M52.6M-991.9K0.4279.71N/AN/A6,0202,50521,64323,130
2020-02-12$193.30$191.7520.1%5.8%47.0%31.5%19.7%3.5%0.3%-316.6K99.8M-990.8K0.7277.05N/AN/A1,9411,40023,14823,930
2020-02-13$194.83$191.7519.8%5.7%47.2%29.8%19.8%3.1%0.2%2.3M67.8M-1.0M0.6976.48N/AN/A1,5061,04623,87323,931
2020-02-14$199.21$191.7518.6%5.2%48.1%22.5%19.1%3.1%-0.4%6.3M8.8M-1.0M0.2273.37N/AN/A2,48355223,95924,378
2020-02-18$196.61$199.4219.5%5.6%48.3%27.9%19.7%3.3%0.2%4.5M41.6M-1.0M0.4067.92N/AN/A1,40756024,33723,022
2020-02-19$196.30$199.4218.9%5.4%48.1%24.0%19.9%2.6%0.3%5.3M42.9M-1.0M2.2568.81N/AN/A6531,46424,86923,200
2020-02-20$194.78$199.4220.2%5.8%48.1%32.2%19.8%3.5%-0.6%1.9M73.1M-994.3K0.5276.13N/AN/A1,28966525,06323,612
2020-02-21$197.47$191.7521.1%6.1%48.5%37.7%20.6%3.6%-0.0%25.3M24.5M-1.0M0.2382.14N/AN/A2,96668425,37423,825
2020-02-24$192.54$191.7524.5%7.1%49.0%57.8%23.8%5.1%-0.2%-974.2K57.4M-1.1M0.8550.76N/AN/A90176720,13120,494
2020-02-25$188.70$193.6627.9%8.1%49.2%78.1%27.2%5.1%-0.5%-3.1M93.5M-1.1M1.0153.24N/AN/A4,2004,24320,50020,772
2020-02-26$189.16$193.6626.3%7.8%49.0%68.5%26.7%4.5%-0.3%-2.3M84.8M-1.2M1.3950.52N/AN/A1,2081,67924,22123,682
2020-02-27$186.93$193.6630.8%9.2%48.9%95.7%31.8%6.1%0.1%-4.3M116.5M-1.2M0.8536.90N/AN/A2,0961,78723,99924,299
2020-02-28$179.87$193.6639.2%12.1%50.1%100.0%41.1%4.8%-1.7%-6.7M175.4M-1.1M1.7747.84N/AN/A5721,01324,04124,738