BDX Options History — October 2020

In October 2020, BDX traded between $176.29 and $187.84. ATM implied volatility averaged 34.0%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 11.4% (HV 20d: 22.6%). Max pain ranged from $176.41 to $184.08. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-10-16: Highest Volume — 2,701 contracts
  • 2020-10-28: Largest IV spike — 17.6% change
  • 2020-10-30: Highest IV Rank — 49.8%
  • 2020-10-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.53$176.29$187.84$176.45$176.29
Max Pain$177.54$176.41$184.08$176.41$184.08
ATM IV34.0%29.5%41.9%30.6%41.9%
Expected Move9.9%7.8%13.0%8.3%13.0%
HV 20d22.6%17.4%30.3%30.3%20.1%
HV 60d29.5%24.2%30.3%30.3%24.2%
IV Rank34.9%26.4%49.8%28.5%49.8%
IV Percentile79.0%62.7%92.5%68.7%92.5%
Term Structure-0.9%-5.6%3.6%3.1%-2.8%
VWIV35.0%27.4%46.7%28.5%46.7%
Skew 25d5.2%2.6%8.8%6.3%5.4%
Skew 10d7.0%-7.5%13.9%1.0%8.9%
Call IV 25d31.8%27.1%36.5%27.1%36.4%
Put IV 25d37.0%32.1%41.8%33.4%41.8%
Bid-Ask Spread %70.5657.7080.1474.8263.78
Gamma HHI0.080.070.100.070.10
Net GEX-493.0K-2.5M1.9M-2.5M-485.3K
Net DEX29.0M-7.6M67.6M63.9M67.6M
Net VEX-822.2K-879.8K-755.1K-831.5K-828.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.102.250.911.17
Total Volume1,223.1824582,7011,3411,083
Total OI35,586.59133,90137,35534,96736,274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$176.45$176.4130.6%8.3%30.3%28.5%28.5%6.3%3.1%-2.5M63.9M-831.5K0.9174.82N/AN/A70164015,93919,028
2020-10-02$179.00$176.4129.5%7.8%26.5%26.4%27.4%7.0%3.6%-818.5K41.5M-837.0K0.9979.41N/AN/A77877516,21719,105
2020-10-05$182.41$176.4130.9%9.4%27.4%29.2%33.9%4.6%0.6%-455.7K16.2M-833.0K1.3775.98N/AN/A8381,14515,61818,672
2020-10-06$180.96$176.4132.1%9.6%27.5%31.4%33.1%6.4%0.7%-1.2M28.4M-825.6K0.4376.45N/AN/A86837115,85519,677
2020-10-07$180.73$176.4135.0%9.2%27.4%36.7%31.8%8.2%-5.6%-1.4M25.9M-865.2K0.5175.34N/AN/A30415416,05019,979
2020-10-08$180.95$176.4131.7%9.1%26.9%30.6%33.3%3.5%-1.5%-1.5M34.8M-796.1K0.9376.02N/AN/A63358916,11220,068
2020-10-09$182.08$176.4132.0%9.1%26.9%31.2%32.0%4.0%-3.6%519.4K18.7M-785.9K0.6780.14N/AN/A66344616,42720,140
2020-10-12$183.14$176.4132.7%9.2%26.9%32.4%33.5%5.1%-0.7%591.4K8.2M-787.5K1.8778.03N/AN/A6311,17816,19819,521
2020-10-13$181.54$176.4134.3%9.2%21.4%35.4%32.5%4.1%-3.0%-197.5K24.2M-768.4K0.9577.99N/AN/A33632116,41619,771
2020-10-14$179.43$176.4134.3%9.5%21.9%35.5%32.6%8.8%-0.1%-1.8M42.7M-755.4K1.3677.29N/AN/A35448016,46719,867
2020-10-15$180.04$176.4133.6%9.6%21.9%34.2%32.4%2.6%-0.5%-1.5M36.5M-758.9K0.8378.43N/AN/A68757116,54920,204
2020-10-16$182.65$176.4131.2%8.8%21.5%29.7%33.6%4.2%-1.3%1.9M19.6M-755.1K1.1378.35N/AN/A1,2711,43016,86420,491
2020-10-19$181.75$176.4136.1%10.4%20.8%39.0%35.9%5.1%-2.2%-841.3K37.9M-816.4K0.5464.76N/AN/A1,46378415,44718,454
2020-10-20$181.77$176.4134.2%9.9%19.6%35.4%36.1%6.0%-2.8%-301.7K30.5M-834.8K0.9263.03N/AN/A72667216,00718,519
2020-10-21$181.20$176.4135.5%10.2%19.6%37.7%36.8%5.2%-0.3%-454.6K34.0M-848.1K0.7766.66N/AN/A27120916,39018,859
2020-10-22$184.66$176.4134.0%9.9%17.6%34.9%34.5%5.7%-3.1%941.3K11.2M-852.7K0.1067.03N/AN/A4464616,47618,940
2020-10-23$184.45$176.4133.5%9.8%17.4%34.0%34.6%4.5%-2.5%1.4M13.0M-861.8K0.7257.70N/AN/A40729316,47918,946
2020-10-26$184.81$176.4134.5%10.7%17.4%35.9%37.2%3.3%-0.1%-477.3K14.2M-849.8K0.3558.96N/AN/A99334315,80518,472
2020-10-27$187.84$180.2434.3%10.7%17.9%35.4%37.4%4.7%-0.0%663.4K-7.6M-878.9K0.3559.01N/AN/A57720016,48618,659
2020-10-28$182.22$182.1640.3%12.4%19.3%46.7%43.8%5.3%0.8%-603.0K26.8M-879.8K2.2561.32N/AN/A33375216,62518,759
2020-10-29$179.22$184.0835.9%12.2%19.9%38.6%41.5%4.0%1.6%-2.3M50.7M-838.1K0.8261.80N/AN/A63051816,78719,286
2020-10-30$176.29$184.0841.9%13.0%20.1%49.8%46.7%5.4%-2.8%-485.3K67.6M-828.6K1.1763.78N/AN/A49958417,05919,215