BDX Options History — December 2020

In December 2020, BDX traded between $181.22 and $192.49. ATM implied volatility averaged 24.3%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.4% (HV 20d: 20.8%). Max pain ranged from $184.08 to $191.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2020-12-18: Highest Volume — 4,239 contracts
  • 2020-12-21: Largest IV spike — 6.7% change
  • 2020-12-21: Highest IV Rank — 19.5%
  • 2020-12-21: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.32$181.22$192.49$182.24$191.59
Max Pain$191.05$184.08$191.75$184.08$191.75
ATM IV24.3%23.1%25.8%25.0%23.9%
Expected Move6.9%6.5%7.4%6.6%6.5%
HV 20d20.8%17.5%23.7%23.0%17.5%
HV 60d21.9%20.0%24.0%23.3%20.1%
IV Rank15.5%9.2%19.5%17.9%10.8%
IV Percentile26.9%18.3%34.1%31.3%22.2%
Term Structure0.6%-2.2%3.8%-2.2%2.5%
VWIV24.6%22.8%25.8%23.2%22.8%
Skew 25d2.5%0.9%4.0%4.0%3.5%
Skew 10d1.8%-11.2%8.0%8.0%6.6%
Call IV 25d23.9%21.7%26.2%22.1%23.5%
Put IV 25d26.4%24.5%28.8%26.1%27.0%
Bid-Ask Spread %74.1162.5983.8670.5569.22
Gamma HHI0.120.080.240.090.22
Net GEX2.5M202.6K5.8M439.6K4.6M
Net DEX-29.2M-97.7M23.4M9.5M-51.6M
Net VEX-764.0K-799.1K-721.0K-759.7K-721.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.222.450.530.40
Total Volume1,888.5915524,2392,521552
Total OI41,268.13637,55744,69040,01639,275

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$182.24$184.0825.0%6.6%23.0%17.9%23.2%4.0%-2.2%439.6K9.5M-759.7K0.5370.55N/AN/A1,65087121,03018,986
2020-12-02$184.39$184.0823.7%6.5%22.6%15.6%23.6%3.3%0.5%1.8M-9.2M-798.6K0.3170.59N/AN/A1,34742121,82819,427
2020-12-03$183.59$191.7523.3%6.9%22.6%14.7%25.0%2.7%0.6%1.3M-500.8K-776.8K0.9177.48N/AN/A65459122,11419,616
2020-12-04$185.88$191.7523.2%7.0%22.2%14.6%24.6%3.2%0.8%2.0M-24.1M-772.9K0.6878.12N/AN/A94564422,25919,799
2020-12-07$181.22$191.7524.7%7.0%23.7%17.5%25.4%2.3%-0.8%246.6K23.4M-747.2K0.4776.34N/AN/A1,65478222,01519,355
2020-12-08$183.82$191.7524.4%7.1%23.0%16.8%25.4%0.9%0.6%1.9M-3.8M-764.2K0.5881.98N/AN/A1,8271,06022,72419,313
2020-12-09$183.95$191.7524.5%7.1%22.9%17.0%25.6%3.2%-0.1%2.3M-4.8M-782.0K0.5079.69N/AN/A52526323,27620,072
2020-12-10$186.10$191.7524.6%7.3%22.9%17.2%25.7%2.5%1.5%3.4M-33.2M-777.7K0.6681.02N/AN/A1,00666823,24220,140
2020-12-11$185.93$191.7524.3%7.2%22.4%16.6%25.1%1.7%1.6%5.8M-34.9M-757.4K1.3480.99N/AN/A8551,14623,18220,266
2020-12-14$184.68$191.7524.9%7.2%22.0%17.9%25.6%3.1%0.5%1.6M-1.5M-741.8K1.1183.14N/AN/A1,2241,36122,28219,963
2020-12-15$187.43$191.7524.3%6.9%22.5%16.6%24.7%2.7%-0.6%3.0M-33.5M-760.7K1.6380.72N/AN/A1,1691,90422,46420,318
2020-12-16$188.63$191.7524.2%6.9%22.6%16.5%24.7%2.6%0.3%3.7M-48.1M-739.7K0.3783.86N/AN/A1,99773922,58820,623
2020-12-17$191.08$191.7524.1%6.9%19.1%16.4%24.6%1.9%-0.6%4.8M-78.4M-783.0K0.2282.48N/AN/A1,30329123,40221,157
2020-12-18$192.49$191.7524.2%6.9%18.9%16.4%24.7%1.2%0.4%5.0M-97.7M-764.4K0.4582.59N/AN/A2,9211,31823,46221,228
2020-12-21$190.02$191.7525.8%7.4%19.7%19.5%25.8%1.2%0.2%2.4M-41.0M-794.3K0.6762.59N/AN/A1,6311,08619,02518,532
2020-12-22$188.50$191.7525.2%7.1%18.9%18.4%24.9%1.3%0.5%1.2M-25.8M-799.1K0.6863.03N/AN/A79253919,85319,188
2020-12-23$187.73$191.7524.3%6.7%19.1%15.8%23.8%1.7%-1.1%202.6K-17.0M-777.5K0.7765.59N/AN/A74257420,10019,353
2020-12-24$190.63$191.7524.0%6.5%19.0%13.2%23.0%1.5%-0.2%2.1M-47.1M-776.4K0.6866.05N/AN/A71548520,43219,231
2020-12-28$190.50$191.7524.2%6.6%19.1%12.6%23.5%3.4%3.0%2.6M-42.2M-745.2K0.7864.33N/AN/A60947220,13118,551
2020-12-29$191.12$191.7523.9%6.8%17.6%10.7%25.0%3.4%3.8%3.1M-47.6M-739.9K0.7563.13N/AN/A79659420,27118,805
2020-12-30$189.43$191.7523.1%6.6%17.5%9.2%23.6%3.3%2.0%2.5M-33.3M-728.8K2.4566.89N/AN/A24058620,38918,632
2020-12-31$191.59$191.7523.9%6.5%17.5%10.8%22.8%3.5%2.5%4.6M-51.6M-721.0K0.4069.22N/AN/A39615620,41818,857