BDX Options History — April 2020

In April 2020, BDX traded between $172.03 and $207.74. ATM implied volatility averaged 37.2%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 12.4% (HV 20d: 49.6%). Max pain ranged from $168.74 to $191.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-04-07: Highest Volume — 3,844 contracts
  • 2020-04-02: Largest IV drop — 15.4% change
  • 2020-04-01: Highest IV Rank — 64.2%
  • 2020-04-01: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$193.35$172.03$207.74$172.03$196.14
Max Pain$174.76$168.74$191.75$176.41$191.75
ATM IV37.2%33.8%49.5%49.5%34.4%
Expected Move11.0%9.8%14.9%14.9%11.8%
HV 20d49.6%34.6%63.7%58.8%35.9%
HV 60d48.4%45.4%49.9%45.4%49.7%
IV Rank40.9%34.6%64.2%64.2%35.7%
IV Percentile89.5%85.3%95.2%95.2%85.7%
Term Structure-1.1%-4.7%2.7%-1.5%-2.3%
VWIV39.3%33.3%51.6%51.6%39.7%
Skew 25d11.0%8.3%18.2%18.2%8.3%
Skew 10d19.8%2.7%30.8%30.8%2.7%
Call IV 25d32.0%29.0%40.6%40.6%29.3%
Put IV 25d43.0%37.5%58.8%58.8%37.5%
Bid-Ask Spread %52.9136.3082.0174.1940.36
Gamma HHI0.110.070.210.110.08
Net GEX3.1M-4.7M9.6M-3.4M5.5M
Net DEX-47.3M-161.7M109.1M109.1M-56.8M
Net VEX-1.1M-1.2M-941.7K-954.1K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.101.791.720.35
Total Volume1,894.5248893,8441,7551,371
Total OI42,606.76235,87547,95042,23543,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$172.03$176.4149.5%14.9%58.8%64.2%51.6%18.2%-1.5%-3.4M109.1M-954.1K1.7274.19N/AN/A6461,10918,66223,573
2020-04-02$176.96$168.7441.9%12.4%59.8%49.9%39.5%16.9%2.7%-2.2M79.7M-988.2K1.1767.93N/AN/A42249219,13624,293
2020-04-03$172.79$168.7441.6%11.9%60.0%49.2%44.7%10.3%2.3%-4.7M107.6M-941.7K0.9267.90N/AN/A64058819,48324,410
2020-04-06$180.56$168.7437.7%9.8%61.8%41.9%35.4%13.3%-4.7%-3.6M57.9M-977.7K0.3870.26N/AN/A1,89772118,16222,860
2020-04-07$183.77$168.7435.6%10.8%62.0%38.0%37.0%14.1%1.7%-1.1M25.7M-990.1K0.6482.01N/AN/A2,3421,50219,26423,119
2020-04-08$192.12$168.7439.1%10.7%63.7%44.6%43.3%9.9%-1.7%2.4M-46.8M-1.1M0.2952.66N/AN/A1,63747420,92624,302
2020-04-09$190.01$168.7437.8%10.5%61.0%42.0%41.6%10.7%-2.1%1.6M-28.1M-1.1M0.2961.90N/AN/A1,70349121,05424,614
2020-04-13$189.91$168.7437.5%10.7%60.1%41.6%39.1%12.0%-0.8%1.4M-21.6M-1.0M0.1756.46N/AN/A79213220,58524,001
2020-04-14$191.13$168.7436.1%10.3%59.6%38.9%36.0%9.8%-1.8%2.6M-37.3M-1.0M0.4663.63N/AN/A1,28558921,17524,104
2020-04-15$194.16$168.7437.0%10.6%54.8%40.6%33.3%10.3%-2.2%4.6M-60.9M-1.0M0.2349.63N/AN/A1,52034921,47424,532
2020-04-16$199.75$168.7434.2%9.9%53.3%35.4%36.0%9.8%-1.0%9.6M-117.0M-1.1M0.1950.34N/AN/A1,95636322,36224,696
2020-04-17$198.79$168.7434.0%9.8%49.9%34.9%34.3%8.5%-0.8%8.2M-106.2M-1.1M0.2549.28N/AN/A1,26832123,02124,929
2020-04-20$203.01$168.7435.3%10.2%49.4%37.4%36.5%8.9%-1.2%4.3M-101.9M-1.1M0.6546.11N/AN/A1,6311,05818,00617,869
2020-04-21$197.40$176.4138.2%11.5%36.2%42.8%41.1%10.3%-0.4%3.2M-64.2M-1.1M0.5440.09N/AN/A90748619,31418,767
2020-04-22$203.92$176.4136.8%10.9%36.6%40.3%37.5%10.7%-1.4%4.5M-116.0M-1.2M0.3140.59N/AN/A1,99161119,59319,052
2020-04-23$203.86$184.0836.6%11.0%36.1%39.9%39.4%10.3%-1.4%5.5M-121.6M-1.2M0.6837.88N/AN/A59540320,33519,053
2020-04-24$205.44$184.0834.7%10.5%34.6%36.3%35.4%10.0%-0.7%5.6M-136.9M-1.1M0.1038.42N/AN/A2,49324920,51419,093
2020-04-27$207.74$184.0833.8%10.8%34.6%34.6%37.9%9.3%-0.5%8.0M-161.7M-1.1M0.4536.30N/AN/A1,59872522,14818,260
2020-04-28$201.59$184.0834.7%11.1%37.3%36.2%44.3%8.6%-1.4%7.7M-111.0M-1.1M1.7939.25N/AN/A55298723,07918,698
2020-04-29$199.38$187.9134.0%11.4%36.7%35.0%40.8%10.5%-3.0%6.3M-84.8M-1.1M0.5445.88N/AN/A57631323,17119,646
2020-04-30$196.14$191.7534.4%11.8%35.9%35.7%39.7%8.3%-2.3%5.5M-56.8M-1.1M0.3540.36N/AN/A1,01535623,47619,931