BDX Options History — May 2020

In May 2020, BDX traded between $178.49 and $204.49. ATM implied volatility averaged 30.0%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.6% (HV 20d: 33.6%). Max pain ranged from $191.75 to $191.75. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-05-21: Highest Volume — 9,082 contracts
  • 2020-05-13: Largest IV spike — 19.5% change
  • 2020-05-04: Highest IV Rank — 38.2%
  • 2020-05-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$193.61$178.49$204.49$193.16$187.38
Max Pain$191.75$191.75$191.75$191.75$191.75
ATM IV30.0%23.2%35.7%34.7%28.4%
Expected Move8.6%7.3%11.3%11.3%8.4%
HV 20d33.6%28.4%40.1%35.8%40.1%
HV 60d44.7%43.1%49.8%49.8%45.9%
IV Rank27.4%14.6%38.2%36.2%24.4%
IV Percentile79.7%67.5%87.7%86.1%76.6%
Term Structure-0.3%-4.1%2.4%-2.1%-0.6%
VWIV30.8%24.5%46.6%46.6%30.2%
Skew 25d7.0%4.3%11.2%9.0%4.4%
Skew 10d11.3%-1.8%18.7%15.6%9.3%
Call IV 25d27.4%22.8%30.5%29.1%27.5%
Put IV 25d34.4%28.0%39.5%38.1%31.8%
Bid-Ask Spread %44.1335.0252.2946.3038.17
Gamma HHI0.090.070.120.070.09
Net GEX2.4M-5.9M10.4M4.5M-3.8M
Net DEX-4.5M-95.6M148.0M-22.0M55.1M
Net VEX-1.0M-1.1M-917.7K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.075.690.371.28
Total Volume2,692.87759,0824,2442,299
Total OI43,315.536,74749,73343,55349,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$193.16$191.7534.7%11.3%35.8%36.2%46.6%9.0%-2.1%4.5M-22.0M-1.1M0.3746.30N/AN/A3,0941,15023,37320,180
2020-05-04$196.26$191.7535.7%9.4%34.4%38.2%34.4%8.2%-1.2%2.9M-33.0M-1.1M0.0738.75N/AN/A2,51918721,32119,678
2020-05-05$200.67$191.7533.5%9.1%32.0%34.0%29.9%11.2%-0.6%6.1M-88.7M-1.1M0.3241.40N/AN/A58519022,54719,710
2020-05-06$199.29$191.7532.5%9.2%31.9%32.2%29.3%9.0%-0.6%5.3M-73.9M-1.1M0.3547.08N/AN/A1,57155222,57219,833
2020-05-07$196.53$191.7530.3%8.2%28.7%27.9%28.9%7.3%-0.4%5.0M-38.8M-1.1M1.0146.21N/AN/A95495923,51920,253
2020-05-08$195.44$191.7527.5%8.3%28.4%22.7%28.0%7.1%0.5%6.1M-22.8M-1.0M0.9152.29N/AN/A46642423,63620,694
2020-05-11$202.02$191.7523.2%7.5%30.5%14.6%25.8%5.2%2.4%9.5M-91.6M-1.0M0.2543.68N/AN/A1,06726222,56319,170
2020-05-12$201.69$191.7525.3%7.4%30.6%18.4%24.5%8.6%0.8%10.4M-95.6M-1.0M0.3542.04N/AN/A1,45950923,11419,202
2020-05-13$199.66$191.7530.2%8.7%30.5%27.7%29.5%8.6%-0.3%8.0M-71.4M-1.0M0.9344.11N/AN/A91384623,22319,248
2020-05-14$198.03$191.7534.0%9.0%28.9%35.0%32.3%10.5%-4.1%7.4M-50.6M-1.0M0.4151.94N/AN/A1,25051823,71419,638
2020-05-15$196.97$191.7529.7%8.3%28.9%26.9%28.8%4.4%-1.2%2.5M-34.9M-1.0M0.2452.14N/AN/A1,28131224,25319,950
2020-05-18$204.49$191.7525.6%7.3%31.0%19.2%25.5%8.0%0.4%5.1M-81.7M-994.2K0.3235.02N/AN/A96730718,98017,767
2020-05-19$202.02$191.7526.7%7.6%29.6%21.2%36.6%7.6%0.9%4.2M-62.6M-980.2K5.6935.19N/AN/A2371,34219,26617,882
2020-05-20$187.64$191.7531.1%8.9%37.7%29.5%31.4%4.8%-0.5%-1.9M53.4M-921.8K1.5043.51N/AN/A1,8062,70819,71018,274
2020-05-21$183.42$191.7530.6%8.7%38.2%28.5%30.8%4.3%0.6%-4.1M97.1M-917.7K2.2751.48N/AN/A2,7746,30821,43820,620
2020-05-22$184.30$191.7530.1%8.7%38.1%27.7%31.6%6.3%0.0%-4.5M105.1M-1.0M0.6640.67N/AN/A1,8881,24723,62024,737
2020-05-26$178.49$191.7530.8%8.8%38.7%28.9%30.9%5.3%0.5%-5.8M148.0M-925.0K1.0145.45N/AN/A2,2172,24422,28223,882
2020-05-27$179.64$191.7530.4%8.4%38.0%28.1%30.5%5.9%-0.0%-5.9M140.7M-994.6K0.9741.34N/AN/A1,3481,30322,32225,586
2020-05-28$185.11$191.7530.1%8.6%40.0%27.6%30.8%5.2%-0.7%-2.5M77.7M-1.1M0.3745.77N/AN/A2,7731,02022,94825,872
2020-05-29$187.38$191.7528.4%8.4%40.1%24.4%30.2%4.4%-0.6%-3.8M55.1M-1.1M1.2838.17N/AN/A1,0071,29223,30626,427