BDX Options History — March 2020 In March 2020, BDX traded between $153.81 and $188.66. ATM implied volatility averaged 49.3%, placing in the 80.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 3.4% (HV 20d: 45.9%). Max pain ranged from $176.41 to $191.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.41.
Notable Days 2020-03-13 : Highest Volume — 4,622 contracts2020-03-12 : Largest IV spike — 31.3% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $174.37 $153.81 $188.66 $185.63 $176.35 Max Pain $182.68 $176.41 $191.75 $191.75 $176.41 ATM IV 49.3% 28.4% 68.5% 31.2% 36.6% Expected Move 14.2% 8.2% 19.6% 9.2% 11.4% HV 20d 45.9% 28.8% 59.4% 51.9% 59.0% HV 60d 37.3% 31.7% 45.3% 31.7% 45.3% IV Rank 80.7% 39.9% 100.0% 67.1% 39.9% IV Percentile 98.3% 92.9% 100.0% 99.2% 92.9% Term Structure -1.1% -4.0% 3.3% -1.0% 3.3% VWIV 50.0% 31.8% 71.1% 33.5% 39.7% Skew 25d 14.6% 6.3% 25.0% 7.3% 10.2% Skew 10d 27.6% 7.0% 50.2% 17.0% 7.0% Call IV 25d 41.5% 24.6% 55.5% 27.4% 30.5% Put IV 25d 56.2% 30.9% 78.6% 34.7% 40.7% Bid-Ask Spread % 62.70 30.67 81.45 52.45 81.40 Gamma HHI 0.12 0.10 0.17 0.11 0.16 Net GEX -4.5M -7.9M -1.1M -5.2M -4.1M Net DEX 148.8M 58.8M 229.7M 126.9M 93.4M Net VEX -1.0M -1.3M -694.5K -1.1M -954.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.41 0.25 3.60 1.77 0.95 Total Volume 2,333.136 1,083 4,622 2,011 2,552 Total OI 46,491.682 37,384 51,836 46,713 40,624
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $185.63 $191.75 31.2% 9.2% 51.9% 67.1% 33.5% 7.3% -1.0% -5.2M 126.9M -1.1M 1.77 52.45 N/A N/A 725 1,286 22,656 24,057 2020-03-03 $184.64 $191.75 32.3% 10.1% 51.3% 71.4% 35.1% 8.3% 0.2% -5.3M 140.3M -1.1M 1.95 58.47 N/A N/A 776 1,511 23,476 24,907 2020-03-04 $188.66 $191.75 28.4% 8.2% 51.3% 54.9% 31.8% 6.3% -2.3% -3.5M 94.0M -1.1M 1.42 53.33 N/A N/A 667 948 23,596 24,934 2020-03-05 $185.77 $184.08 35.3% 10.3% 51.2% 84.0% 33.2% 10.0% 1.6% -4.0M 119.0M -1.2M 3.60 58.79 N/A N/A 705 2,535 23,837 25,409 2020-03-06 $182.47 $184.08 42.2% 11.7% 31.0% 100.0% 45.1% 15.4% -2.5% -5.4M 157.0M -1.2M 1.29 61.26 N/A N/A 897 1,154 23,958 27,282 2020-03-09 $178.82 $184.08 47.0% 13.4% 30.4% 100.0% 48.2% 12.2% -1.4% -5.4M 155.2M -1.2M 3.53 56.17 N/A N/A 359 1,264 22,517 26,071 2020-03-10 $180.97 $184.08 43.2% 11.5% 29.8% 88.3% 34.6% 12.3% -3.5% -5.6M 148.0M -1.1M 0.86 30.67 N/A N/A 1,659 1,418 22,572 25,930 2020-03-11 $178.75 $184.08 45.3% 12.2% 28.8% 94.7% 37.2% 13.3% -2.8% -5.0M 153.3M -1.1M 1.17 41.63 N/A N/A 1,025 1,196 23,353 26,047 2020-03-12 $170.37 $184.08 59.4% 17.0% 32.4% 100.0% 58.7% 19.2% -0.5% -4.1M 189.8M -1.1M 2.01 54.09 N/A N/A 773 1,554 24,017 26,131 2020-03-13 $176.18 $184.08 56.1% 15.8% 35.0% 92.6% 66.7% 20.1% -2.2% -5.4M 171.4M -1.1M 0.88 58.87 N/A N/A 2,452 2,170 24,014 26,276 2020-03-16 $173.26 $184.08 61.9% 17.4% 33.7% 100.0% 56.1% 25.0% 0.0% -4.0M 163.2M -1.1M 0.89 58.79 N/A N/A 1,033 923 23,013 25,605 2020-03-17 $185.67 $184.08 63.5% 18.2% 43.1% 100.0% 67.5% 23.6% -2.6% -1.1M 58.8M -1.3M 0.36 63.54 N/A N/A 3,146 1,117 23,251 25,829 2020-03-18 $178.70 $184.08 68.5% 19.6% 44.9% 100.0% 64.5% 19.8% -1.8% -3.2M 108.7M -1.2M 0.77 68.88 N/A N/A 1,435 1,099 24,017 26,455 2020-03-19 $170.54 $184.08 67.5% 19.6% 47.3% 98.0% 50.4% 23.4% -4.0% -6.1M 178.7M -1.1M 0.39 63.91 N/A N/A 1,376 534 24,267 26,997 2020-03-20 $168.18 $184.08 51.5% 14.9% 46.7% 67.9% 49.5% 11.1% -1.0% -7.9M 229.7M -924.3K 1.40 81.45 N/A N/A 738 1,032 24,800 27,036 2020-03-23 $153.81 $176.41 57.2% 16.6% 54.7% 78.7% 70.0% 14.8% -1.2% -3.6M 195.6M -694.5K 1.24 75.36 N/A N/A 1,675 2,085 16,891 20,493 2020-03-24 $154.00 $176.41 55.4% 15.9% 54.8% 75.2% 71.1% 9.9% -2.2% -3.8M 197.0M -705.6K 2.91 69.80 N/A N/A 611 1,778 17,416 21,541 2020-03-25 $159.30 $176.41 57.4% 17.0% 56.8% 79.1% 62.5% 19.5% -0.6% -3.9M 181.2M -815.4K 0.48 70.07 N/A N/A 1,033 500 17,812 22,778 2020-03-26 $165.86 $176.41 50.5% 15.3% 59.4% 66.0% 52.0% 14.1% -2.4% -3.8M 151.7M -894.0K 0.97 70.88 N/A N/A 551 532 18,510 22,789 2020-03-27 $167.48 $176.41 49.8% 14.7% 58.3% 64.8% 49.2% 12.2% -0.2% -3.8M 140.4M -944.4K 0.25 73.59 N/A N/A 1,084 272 18,706 22,878 2020-03-30 $170.65 $176.41 43.7% 11.6% 57.5% 53.3% 43.7% 14.0% 3.1% -4.4M 120.6M -921.1K 1.87 75.93 N/A N/A 401 748 17,687 22,382 2020-03-31 $176.35 $176.41 36.6% 11.4% 59.0% 39.9% 39.7% 10.2% 3.3% -4.1M 93.4M -954.6K 0.95 81.40 N/A N/A 1,309 1,243 17,784 22,840
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