BDX Options History — August 2020

In August 2020, BDX traded between $186.48 and $218.14. ATM implied volatility averaged 24.8%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.3% (HV 20d: 34.1%). Max pain ranged from $197.50 to $199.42. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-08-06: Highest Volume — 6,134 contracts
  • 2020-08-27: Largest IV spike — 22.9% change
  • 2020-08-04: Highest IV Rank — 25.3%
  • 2020-08-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$199.28$186.48$218.14$218.14$186.64
Max Pain$199.33$197.50$199.42$199.42$197.50
ATM IV24.8%21.1%28.9%28.7%26.3%
Expected Move7.1%6.0%9.0%8.7%7.8%
HV 20d34.1%16.9%37.4%16.9%35.4%
HV 60d29.7%27.6%33.5%28.7%28.4%
IV Rank17.5%10.5%25.3%25.0%20.4%
IV Percentile48.6%33.7%61.5%60.3%53.6%
Term Structure-0.1%-1.1%1.6%-0.8%0.4%
VWIV25.3%21.0%32.8%31.5%27.2%
Skew 25d3.3%1.5%5.2%5.2%4.6%
Skew 10d7.5%3.3%13.9%10.3%13.1%
Call IV 25d23.8%20.3%27.2%26.7%25.9%
Put IV 25d27.1%22.8%32.3%31.9%30.5%
Bid-Ask Spread %62.2636.5978.8258.2476.44
Gamma HHI0.110.080.160.100.12
Net GEX-1.5M-7.3M7.1M5.6M-4.2M
Net DEX-1.2M-157.8M105.0M-157.8M77.1M
Net VEX-889.9K-933.7K-823.5K-907.9K-865.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.181.950.180.69
Total Volume2,252.6677396,1343,4371,860
Total OI39,204.95234,28042,57234,28039,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$218.14$199.4228.7%8.7%16.9%25.0%31.5%5.2%-0.8%5.6M-157.8M-907.9K0.1858.24N/AN/A2,90952816,22418,056
2020-08-04$216.58$199.4228.9%9.0%17.6%25.3%31.9%5.1%-1.0%6.4M-147.1M-933.7K0.4658.81N/AN/A67030917,24718,336
2020-08-05$217.07$199.4228.4%8.8%17.6%24.4%32.8%3.9%-1.1%7.1M-154.5M-922.3K1.4348.92N/AN/A1,4372,05017,53218,524
2020-08-06$198.54$199.4226.5%7.6%37.1%20.8%26.7%4.0%-0.7%-2.0M18.8M-879.9K1.4870.69N/AN/A2,4733,66118,41019,764
2020-08-07$196.53$199.4226.7%7.4%37.2%21.2%27.1%3.1%-0.9%-2.8M44.6M-923.0K1.0978.82N/AN/A2,0262,20819,40221,914
2020-08-10$197.54$199.4226.6%7.3%37.2%20.9%26.0%4.5%-1.0%-2.9M22.1M-913.1K0.7578.72N/AN/A71253217,61021,281
2020-08-11$195.85$199.4225.9%7.3%36.6%19.8%26.1%3.2%-0.3%-4.2M39.6M-911.2K0.3571.61N/AN/A87030417,91521,858
2020-08-12$198.20$199.4225.0%6.9%36.2%17.9%25.0%3.2%-1.0%-2.3M15.0M-907.5K0.9168.67N/AN/A58853418,40821,995
2020-08-13$201.50$199.4223.7%6.8%36.7%15.5%23.4%3.5%0.3%2.1M-21.9M-902.2K0.5250.33N/AN/A2,4591,28518,66422,210
2020-08-14$197.37$199.4223.5%6.7%37.0%15.1%23.3%3.9%-0.4%-3.2M18.3M-930.6K1.4077.83N/AN/A7771,09019,83022,742
2020-08-17$198.96$199.4223.3%6.7%37.2%14.7%24.0%2.5%0.5%-1.2M-3.8M-924.2K0.2756.27N/AN/A1,03728119,34521,619
2020-08-18$201.91$199.4222.8%6.6%37.2%13.9%23.5%3.0%0.4%2.7M-35.9M-914.9K0.8436.59N/AN/A66756119,88321,697
2020-08-19$200.29$199.4222.8%6.5%37.1%13.9%21.1%3.0%-0.7%567.6K-14.7M-896.0K0.4447.67N/AN/A72631919,94421,665
2020-08-20$198.65$199.4221.4%6.1%37.2%11.2%21.6%2.5%1.2%-1.9M4.5M-881.3K0.7460.14N/AN/A42431520,18921,803
2020-08-21$197.70$199.4221.8%6.1%37.2%12.0%21.8%1.5%0.7%-7.3M15.2M-869.4K1.2963.87N/AN/A44857520,27621,840
2020-08-24$196.10$199.4222.3%6.0%36.9%12.8%22.3%1.6%-0.3%-4.2M20.1M-839.0K1.7340.95N/AN/A33257416,85319,010
2020-08-25$196.15$199.4222.1%6.1%37.0%12.5%21.0%3.5%0.1%-4.4M19.6M-823.5K0.6855.33N/AN/A88560716,98219,238
2020-08-26$195.05$199.4221.1%6.2%36.4%10.5%22.3%2.8%1.6%-5.7M33.0M-846.1K0.4963.55N/AN/A1,34866117,34219,748
2020-08-27$189.64$199.4225.9%7.5%37.4%19.6%26.7%2.1%-0.1%-5.9M78.5M-844.6K1.9571.51N/AN/A2,0153,91817,81920,002
2020-08-28$186.48$199.4226.5%7.6%36.2%20.7%26.9%3.3%0.8%-4.2M105.0M-852.9K0.8672.54N/AN/A1,2551,07618,69822,344
2020-08-31$186.64$197.5026.3%7.8%35.4%20.4%27.2%4.6%0.4%-4.2M77.1M-865.4K0.6976.44N/AN/A1,09876218,23420,851