BDX Options History — June 2020

In June 2020, BDX traded between $175.84 and $188.39. ATM implied volatility averaged 31.5%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 0.2% (HV 20d: 31.8%). Max pain ranged from $184.08 to $191.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2020-06-12: Highest Volume — 10,533 contracts
  • 2020-06-11: Largest IV spike — 20.5% change
  • 2020-06-11: Highest IV Rank — 40.5%
  • 2020-06-11: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.79$175.84$188.39$188.39$183.36
Max Pain$185.12$184.08$191.75$191.75$184.08
ATM IV31.5%27.9%37.0%29.2%31.8%
Expected Move9.1%7.8%10.8%9.0%8.9%
HV 20d31.8%20.7%39.9%39.9%24.9%
HV 60d39.3%33.0%45.8%45.8%33.5%
IV Rank30.3%23.4%40.5%25.8%30.7%
IV Percentile79.6%73.8%89.3%76.6%78.2%
Term Structure0.3%-1.6%2.0%0.1%1.3%
VWIV32.1%27.0%37.3%32.1%30.8%
Skew 25d5.7%4.4%7.3%5.5%5.7%
Skew 10d11.6%9.2%15.2%10.7%13.3%
Call IV 25d29.6%26.5%34.7%27.8%29.5%
Put IV 25d35.4%31.6%40.8%33.3%35.2%
Bid-Ask Spread %51.0132.2472.8932.2435.27
Gamma HHI0.120.090.180.090.09
Net GEX-5.9M-10.0M-1.1M-1.1M-2.3M
Net DEX97.4M37.9M195.3M37.9M39.8M
Net VEX-979.7K-1.1M-904.6K-1.1M-940.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.162.220.620.81
Total Volume3,859.4091,06910,5331,0691,165
Total OI48,481.36434,77360,91547,48437,662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$188.39$191.7529.2%9.0%39.9%25.8%32.1%5.5%0.1%-1.1M37.9M-1.1M0.6232.24N/AN/A66140822,31525,169
2020-06-02$186.32$191.7529.5%8.5%39.5%26.4%30.8%6.4%-0.6%-1.8M64.9M-1.0M1.0334.15N/AN/A64566422,62925,481
2020-06-03$185.76$191.7528.7%8.8%38.4%25.0%32.6%4.9%-0.3%-2.6M74.5M-1.0M2.2238.52N/AN/A1,1102,46822,94925,990
2020-06-04$186.36$184.0828.5%8.1%38.4%24.6%29.2%4.4%-1.6%-2.5M74.2M-1.0M1.5952.12N/AN/A2,3213,68623,16827,462
2020-06-05$185.96$184.0827.9%7.8%38.2%23.4%27.0%5.0%-0.0%-6.6M87.4M-1.0M1.0454.69N/AN/A1,1281,16823,46728,733
2020-06-08$188.26$184.0828.7%7.8%38.6%25.0%30.1%5.3%-1.1%-5.6M51.0M-1.0M0.7251.53N/AN/A1,31794521,60927,681
2020-06-09$183.46$184.0829.3%8.4%37.1%26.1%30.0%6.7%-0.0%-8.9M110.3M-1.0M0.8552.18N/AN/A1,6571,40221,96528,273
2020-06-10$182.50$184.0830.7%8.7%37.1%28.7%30.1%6.4%-0.5%-9.1M115.1M-1.0M0.1662.93N/AN/A7,8391,24322,88528,556
2020-06-11$177.65$184.0837.0%10.8%37.9%40.5%37.3%6.1%0.8%-7.5M162.5M-1.0M0.3267.06N/AN/A6,3872,06728,79029,222
2020-06-12$176.52$184.0836.5%10.3%37.9%39.7%35.8%5.4%-0.6%-10.0M195.3M-983.2K0.6472.89N/AN/A6,4264,10731,51929,396
2020-06-15$179.17$184.0835.4%10.2%38.6%37.6%33.7%5.2%0.0%-8.5M144.6M-989.1K0.2271.51N/AN/A3,06368627,68528,919
2020-06-16$181.12$184.0831.9%9.1%35.8%31.0%33.2%5.7%1.9%-6.0M110.4M-995.4K0.4466.33N/AN/A2,6481,17228,13328,885
2020-06-17$181.29$184.0831.9%9.2%35.8%31.1%33.8%4.8%0.6%-6.9M116.6M-977.2K0.2861.85N/AN/A2,81478427,79229,253
2020-06-18$180.34$184.0831.3%8.9%25.0%29.9%31.4%4.8%2.0%-9.9M130.4M-951.9K0.3460.76N/AN/A1,76659428,90429,667
2020-06-19$181.88$184.0831.2%8.8%24.0%29.7%31.9%6.6%1.7%-6.7M102.6M-945.1K0.6855.57N/AN/A2,3811,62928,88629,615
2020-06-22$179.75$184.0831.5%8.8%24.3%30.2%31.0%5.8%0.5%-4.5M75.8M-909.8K1.2541.95N/AN/A1,5391,92215,39819,375
2020-06-23$182.34$184.0830.7%8.5%21.9%28.8%29.9%5.4%0.2%-2.9M54.8M-939.9K1.3638.56N/AN/A2,2073,00316,17720,526
2020-06-24$178.39$184.0830.9%9.1%23.3%29.1%33.4%5.8%0.5%-5.9M91.1M-907.6K0.9344.51N/AN/A1,1411,06616,39220,899
2020-06-25$175.84$184.0832.7%9.5%20.8%32.5%34.3%6.1%-0.4%-7.5M112.2M-907.7K0.9738.42N/AN/A2,0982,04016,72421,619
2020-06-26$178.09$184.0833.7%10.0%20.9%34.3%35.3%7.3%1.2%-6.5M91.3M-928.3K1.3143.95N/AN/A8901,16617,25022,429
2020-06-29$176.74$184.0835.0%9.9%20.7%36.8%33.4%6.8%1.2%-5.9M100.7M-904.6K0.9145.17N/AN/A77870615,83621,305
2020-06-30$183.36$184.0831.8%8.9%24.9%30.7%30.8%5.7%1.3%-2.3M39.8M-940.2K0.8135.27N/AN/A64552016,06021,602