BDX Options History — November 2020

In November 2020, BDX traded between $174.26 and $186.56. ATM implied volatility averaged 26.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.9% (HV 20d: 23.3%). Max pain ranged from $180.24 to $191.75. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2020-11-04: Highest Volume — 3,416 contracts
  • 2020-11-06: Largest IV drop — 13.9% change
  • 2020-11-02: Highest IV Rank — 40.5%
  • 2020-11-02: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.01$174.26$186.56$179.54$179.61
Max Pain$188.68$180.24$191.75$182.16$184.08
ATM IV26.1%22.2%36.9%36.9%25.0%
Expected Move7.7%6.4%12.3%12.3%7.5%
HV 20d23.3%20.0%26.4%20.0%23.4%
HV 60d24.7%23.1%25.6%24.4%23.1%
IV Rank20.1%12.6%40.5%40.5%18.0%
IV Percentile39.6%25.4%88.1%88.1%31.7%
Term Structure0.1%-2.9%4.2%1.8%0.8%
VWIV27.2%21.9%44.3%43.5%25.8%
Skew 25d3.8%-0.7%8.9%8.3%5.5%
Skew 10d5.5%-1.9%16.8%-0.3%5.2%
Call IV 25d23.6%15.8%33.3%33.3%20.5%
Put IV 25d27.4%19.5%41.6%41.6%26.0%
Bid-Ask Spread %77.7364.7888.4965.0774.65
Gamma HHI0.110.090.160.100.10
Net GEX-1.3M-3.9M2.3M-1.7M-1.2M
Net DEX36.7M-6.5M82.6M47.8M38.1M
Net VEX-718.8K-836.3K-613.4K-817.5K-735.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.352.221.170.49
Total Volume1,513.355093,4161,1602,007
Total OI37,803.235,02740,27635,02739,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$179.54$182.1636.9%12.3%20.0%40.5%43.5%8.3%1.8%-1.7M47.8M-817.5K1.1765.07N/AN/A53462616,27418,753
2020-11-03$182.63$182.1634.1%11.8%20.8%35.2%44.3%8.9%0.1%-1.3M28.6M-796.6K0.6571.22N/AN/A58638316,27418,753
2020-11-04$181.85$180.2431.5%10.3%20.8%30.2%41.2%6.2%-0.8%-1.0M21.1M-836.3K2.2277.13N/AN/A1,0622,35416,82719,142
2020-11-05$179.18$191.7530.7%8.0%21.5%28.8%25.9%5.0%0.2%-2.8M55.1M-734.3K0.4184.76N/AN/A77631517,29920,137
2020-11-06$181.72$191.7526.5%7.4%22.0%20.8%28.6%2.6%-1.3%-1.8M40.3M-757.1K0.3585.18N/AN/A62822117,56520,210
2020-11-09$185.63$191.7524.2%6.8%23.2%16.5%21.9%7.7%0.7%-466.8K5.1M-706.7K0.5188.49N/AN/A2,0061,02816,64319,558
2020-11-10$184.39$191.7525.1%7.4%23.1%18.1%26.8%-0.7%0.5%438.1K14.5M-742.4K1.2783.46N/AN/A53468117,66619,528
2020-11-11$186.42$191.7524.4%7.0%22.9%16.8%24.4%3.7%-0.1%1.4M-2.8M-740.7K1.6183.84N/AN/A41065817,93619,900
2020-11-12$184.02$191.7525.0%7.4%23.5%17.9%26.8%6.5%0.2%201.0K17.5M-732.8K1.6684.52N/AN/A45274818,17120,170
2020-11-13$186.56$191.7523.1%7.0%23.4%14.4%22.3%1.4%1.7%2.3M-6.5M-731.1K0.4985.55N/AN/A1,14556018,39320,115
2020-11-16$185.59$191.7525.1%7.2%23.4%18.1%23.9%4.3%0.0%1.2M80.1K-712.8K0.4180.97N/AN/A68127918,35419,823
2020-11-17$185.67$191.7523.7%6.9%23.4%15.5%23.9%4.3%-2.8%1.7M1.9M-724.7K1.1181.20N/AN/A24226718,55619,876
2020-11-18$179.58$191.7524.2%6.9%26.4%16.5%23.8%1.4%-2.9%-2.3M50.1M-672.5K0.3579.36N/AN/A1,24343118,62519,984
2020-11-19$178.72$191.7525.1%7.2%25.4%18.2%24.8%1.0%-0.3%-2.9M56.4M-682.3K0.6178.07N/AN/A63038519,53320,257
2020-11-20$178.28$191.7522.2%6.6%25.4%12.6%24.2%2.0%-2.7%-3.7M60.4M-668.1K1.5782.21N/AN/A7311,14719,77620,385
2020-11-23$175.50$191.7523.5%6.6%25.9%15.2%23.1%3.5%-0.2%-3.6M77.7M-613.4K0.5266.06N/AN/A86845318,09518,461
2020-11-24$175.67$184.0822.6%6.4%25.0%13.5%22.7%0.9%0.9%-3.6M74.3M-643.0K0.4967.22N/AN/A76437818,63218,625
2020-11-25$174.26$184.0824.4%6.7%22.9%16.8%23.7%2.6%2.2%-3.9M82.6M-621.8K0.4064.78N/AN/A2,27990418,87818,740
2020-11-27$175.36$184.0825.4%6.6%22.5%18.7%22.9%1.9%4.2%-3.2M71.4M-706.1K0.3570.83N/AN/A64722420,83319,443
2020-11-30$179.61$184.0825.0%7.5%23.4%18.0%25.8%5.5%0.8%-1.2M38.1M-735.5K0.4974.65N/AN/A1,35165620,81819,056