BDX Options History — July 2020 In July 2020, BDX traded between $186.13 and $215.06. ATM implied volatility averaged 31.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.3% (HV 20d: 21.9%). Max pain ranged from $176.41 to $197.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2020-07-02 : Highest Volume — 14,482 contracts2020-07-06 : Largest IV spike — 5.5% change2020-07-09 : Highest IV Rank — 36.7%2020-07-13 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $202.62 $186.13 $215.06 $186.13 $215.06 Max Pain $186.52 $176.41 $197.50 $184.08 $197.50 ATM IV 31.2% 28.4% 34.9% 29.5% 28.7% Expected Move 8.8% 8.2% 9.3% 8.2% 8.5% HV 20d 21.9% 15.3% 26.2% 25.5% 17.0% HV 60d 30.2% 28.5% 32.4% 32.4% 28.7% IV Rank 29.6% 24.4% 36.7% 26.5% 25.0% IV Percentile 72.0% 60.3% 84.5% 71.0% 61.1% Term Structure -0.8% -3.7% 4.9% 4.9% -1.0% VWIV 31.6% 29.6% 33.9% 29.8% 30.9% Skew 25d 4.4% 0.5% 6.5% 5.6% 4.5% Skew 10d 8.4% 0.7% 12.8% 11.7% 8.9% Call IV 25d 29.4% 27.3% 33.0% 27.3% 27.3% Put IV 25d 33.8% 31.4% 36.8% 33.0% 31.8% Bid-Ask Spread % 51.63 34.95 69.94 34.95 54.79 Gamma HHI 0.12 0.07 0.22 0.09 0.22 Net GEX 6.9M -832.2K 12.5M -228.9K 11.1M Net DEX -112.1M -182.9M 9.7M 9.7M -157.5M Net VEX -940.7K -982.1K -908.8K -932.2K -939.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.13 2.57 0.98 1.18 Total Volume 3,424.864 953 14,482 1,216 2,467 Total OI 38,314.409 31,437 45,328 37,739 35,070
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 2020-07-01 $186.13 $184.08 29.5% 8.2% 25.5% 26.5% 29.8% 5.6% 4.9% -228.9K 9.7M -932.2K 0.98 34.95 N/A N/A 614 602 16,278 21,461 2020-07-02 $188.03 $184.08 30.8% 9.1% 25.7% 29.0% 32.4% 3.7% 2.8% -832.2K -10.1M -936.6K 0.18 50.35 N/A N/A 12,237 2,245 16,256 21,900 2020-07-06 $190.90 $176.41 32.6% 9.3% 26.2% 32.2% 33.5% 4.8% -0.8% 4.6M -50.8M -963.0K 0.53 66.30 N/A N/A 7,470 3,964 19,604 21,661 2020-07-07 $192.65 $176.41 33.0% 9.2% 26.0% 33.0% 31.2% 6.5% -1.3% 6.2M -69.9M -982.1K 1.19 61.54 N/A N/A 1,082 1,292 20,847 22,380 2020-07-08 $193.47 $184.08 34.3% 9.2% 24.0% 35.6% 32.5% 2.9% -2.6% 8.1M -86.8M -979.0K 0.76 63.57 N/A N/A 1,754 1,341 21,192 22,977 2020-07-09 $198.27 $184.08 34.9% 9.2% 25.0% 36.7% 33.9% 3.8% -3.6% 8.5M -137.1M -971.9K 0.55 65.71 N/A N/A 2,871 1,593 20,776 23,625 2020-07-10 $196.96 $184.08 33.8% 9.1% 22.6% 34.6% 32.2% 0.5% -3.7% 8.1M -127.9M -976.4K 1.03 63.35 N/A N/A 1,066 1,095 21,033 24,295 2020-07-13 $197.20 $184.08 34.0% 9.3% 22.2% 35.0% 32.3% 5.3% -0.7% 5.6M -94.0M -944.7K 0.58 69.94 N/A N/A 1,422 828 19,328 22,224 2020-07-14 $201.01 $184.08 33.6% 9.3% 22.5% 34.1% 32.3% 4.0% -0.5% 7.7M -139.5M -922.8K 0.13 55.28 N/A N/A 2,212 279 19,554 22,378 2020-07-15 $204.77 $184.08 32.5% 8.9% 22.9% 32.2% 32.0% 4.9% -1.4% 6.4M -171.6M -934.6K 0.48 62.61 N/A N/A 6,875 3,296 19,993 22,551 2020-07-16 $203.26 $184.08 32.0% 8.7% 23.4% 31.1% 31.0% 4.4% -1.8% 12.5M -158.2M -940.9K 0.24 62.99 N/A N/A 1,100 265 20,707 23,200 2020-07-17 $205.97 $184.08 31.1% 8.4% 23.1% 29.4% 30.0% 4.6% -3.1% 8.2M -182.9M -914.0K 0.17 59.81 N/A N/A 2,627 450 20,357 23,267 2020-07-20 $205.38 $184.08 30.5% 8.6% 23.4% 28.4% 30.9% 4.6% -0.1% 6.3M -97.5M -917.6K 0.72 41.30 N/A N/A 659 476 15,699 15,738 2020-07-21 $208.28 $184.08 30.1% 8.6% 22.5% 27.7% 32.0% 4.2% -0.4% 6.9M -120.3M -908.8K 0.26 36.60 N/A N/A 3,069 786 15,906 15,959 2020-07-22 $209.90 $191.75 29.5% 8.5% 22.4% 26.5% 30.2% 4.7% -0.2% 9.2M -133.9M -917.1K 0.56 37.38 N/A N/A 789 440 16,747 16,569 2020-07-23 $209.35 $191.75 29.2% 8.4% 20.0% 25.9% 29.6% 4.7% -0.2% 10.5M -131.4M -921.1K 0.85 35.20 N/A N/A 1,109 941 17,013 16,851 2020-07-24 $208.28 $191.75 28.9% 8.4% 18.9% 25.3% 32.4% 4.9% -0.9% 7.6M -122.4M -935.9K 2.57 37.79 N/A N/A 509 1,309 17,713 16,676 2020-07-27 $210.34 $191.75 29.4% 8.4% 18.8% 26.3% 30.5% 4.5% -0.9% 6.1M -117.5M -929.1K 0.81 35.09 N/A N/A 527 426 16,315 16,596 2020-07-28 $209.50 $191.75 29.3% 8.6% 18.4% 26.1% 32.7% 4.7% -0.7% 6.2M -110.1M -940.1K 1.13 35.87 N/A N/A 590 665 16,540 16,774 2020-07-29 $212.41 $191.75 28.4% 8.4% 15.3% 24.4% 31.8% 4.1% -0.4% 6.9M -137.1M -937.6K 0.69 53.62 N/A N/A 597 410 17,030 17,281 2020-07-30 $210.43 $193.66 29.4% 8.8% 16.1% 26.3% 31.6% 4.8% -0.4% 6.6M -120.4M -951.1K 1.29 51.72 N/A N/A 435 563 17,082 17,514 2020-07-31 $215.06 $197.50 28.7% 8.5% 17.0% 25.0% 30.9% 4.5% -1.0% 11.1M -157.5M -939.6K 1.18 54.79 N/A N/A 1,133 1,334 17,272 17,798
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