BDX Options History — September 2020

In September 2020, BDX traded between $169.55 and $188.53. ATM implied volatility averaged 28.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.1% (HV 20d: 28.6%). Max pain ranged from $176.41 to $191.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2020-09-15: Highest Volume — 2,988 contracts
  • 2020-09-09: Largest IV drop — 7.6% change
  • 2020-09-08: Highest IV Rank — 29.6%
  • 2020-09-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$177.30$169.55$188.53$183.93$178.33
Max Pain$183.53$176.41$191.75$191.75$176.41
ATM IV28.5%26.2%31.2%28.8%28.8%
Expected Move8.2%7.5%9.2%7.8%7.7%
HV 20d28.6%24.3%37.2%35.5%31.8%
HV 60d29.8%28.4%30.7%28.5%30.2%
IV Rank24.5%20.3%29.6%25.2%25.1%
IV Percentile58.3%49.6%72.6%61.5%57.9%
Term Structure0.8%-1.6%8.5%-0.6%3.8%
VWIV28.8%26.7%31.6%28.4%27.2%
Skew 25d2.9%-1.1%6.3%0.0%6.3%
Skew 10d6.3%-6.3%15.0%15.0%-6.3%
Call IV 25d26.8%21.0%29.7%29.2%21.0%
Put IV 25d29.8%25.1%33.9%29.2%27.3%
Bid-Ask Spread %75.8860.8486.5076.5280.38
Gamma HHI0.110.070.210.100.07
Net GEX-4.6M-6.4M-1.9M-4.9M-1.9M
Net DEX106.9M52.6M149.2M102.5M52.6M
Net VEX-795.8K-906.9K-701.2K-853.5K-812.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.452.181.650.45
Total Volume1,804.4769322,9882,0291,901
Total OI38,434.76230,66842,94439,98934,192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$183.93$191.7528.8%7.8%35.5%25.2%28.4%0.0%-0.6%-4.9M102.5M-853.5K1.6576.52N/AN/A7661,26318,65421,335
2020-09-02$188.53$191.7529.7%8.0%37.2%26.9%27.8%5.6%0.9%-4.5M61.8M-906.9K0.7680.85N/AN/A1,3191,00718,96022,269
2020-09-03$180.18$191.7530.4%9.2%25.9%28.1%31.2%5.1%-0.0%-6.3M132.1M-857.1K1.3578.19N/AN/A57577619,50222,810
2020-09-04$179.81$184.0829.8%8.8%25.8%27.1%31.0%5.3%1.3%-5.1M148.6M-818.0K1.7780.75N/AN/A8151,44119,70123,243
2020-09-08$180.49$184.0831.2%8.8%25.8%29.6%31.4%5.4%-0.6%-4.4M121.2M-818.7K0.9174.58N/AN/A81474018,84122,091
2020-09-09$181.95$184.0828.8%8.1%26.1%25.1%28.6%3.1%-1.3%-4.4M108.3M-806.8K0.8176.96N/AN/A71057719,13322,321
2020-09-10$179.54$184.0827.9%8.2%25.6%23.5%28.0%5.1%0.8%-5.4M134.0M-774.8K1.4182.13N/AN/A67394919,41322,617
2020-09-11$180.96$184.0827.5%7.8%24.8%22.8%27.4%2.8%-0.3%-5.4M120.3M-787.2K0.6281.70N/AN/A71644019,64122,849
2020-09-14$181.60$184.0826.2%7.5%24.3%20.3%26.7%4.0%1.8%-4.3M93.8M-780.3K0.6276.42N/AN/A88855219,14221,381
2020-09-15$173.65$184.0827.6%8.0%27.8%22.9%28.3%-1.1%-0.6%-5.5M149.2M-701.2K1.6185.48N/AN/A1,1451,84319,46521,498
2020-09-16$174.27$184.0826.6%7.6%26.9%21.0%27.0%0.9%0.9%-6.2M133.8M-747.5K1.2786.50N/AN/A1,1981,51920,04921,527
2020-09-17$174.34$184.0828.2%8.1%27.1%23.9%28.9%1.3%-0.8%-6.4M126.0M-770.9K1.7582.23N/AN/A52592020,66421,531
2020-09-18$177.66$184.0827.2%7.9%28.6%22.1%26.8%1.9%-1.3%-4.2M94.7M-793.5K0.8484.47N/AN/A1,2271,03220,93321,953
2020-09-21$175.06$184.0829.0%8.3%28.7%25.6%29.6%0.9%0.0%-3.1M79.9M-781.3K0.9763.02N/AN/A1,3471,30814,36916,299
2020-09-22$172.14$184.0826.9%8.1%29.0%21.5%28.8%6.3%-0.6%-4.5M100.1M-760.3K1.0760.84N/AN/A84590314,90917,269
2020-09-23$173.85$184.0828.7%8.5%29.5%25.0%29.7%1.5%2.6%-3.8M86.3M-807.6K0.8064.92N/AN/A72958515,40017,868
2020-09-24$169.55$180.2429.5%9.0%30.3%26.4%31.6%4.2%0.1%-5.8M118.2M-747.3K1.2366.44N/AN/A79598115,54618,106
2020-09-25$171.83$176.4128.9%7.9%30.0%25.4%28.7%1.7%-1.6%-4.4M99.5M-799.1K2.1868.61N/AN/A5391,17716,00718,655
2020-09-28$172.51$176.4127.8%8.0%29.8%23.3%28.8%1.3%3.2%-3.5M91.4M-799.1K2.1872.51N/AN/A44897415,11418,158
2020-09-29$173.20$176.4128.1%8.0%29.9%23.8%28.3%0.4%8.5%-3.5M90.3M-787.0K1.4969.98N/AN/A37455815,37518,340
2020-09-30$178.33$176.4128.8%7.7%31.8%25.1%27.2%6.3%3.8%-1.9M52.6M-812.8K0.4580.38N/AN/A1,31059115,50618,686