BDX Options History — January 2021

In January 2021, BDX traded between $192.29 and $202.18. ATM implied volatility averaged 27.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.3% (HV 20d: 16.1%). Max pain ranged from $184.08 to $199.42. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-01-12: Highest Volume — 4,282 contracts
  • 2021-01-11: Largest IV spike — 16.2% change
  • 2021-01-27: Highest IV Rank — 28.8%
  • 2021-01-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.84$192.29$202.18$192.31$201.10
Max Pain$192.05$184.08$199.42$184.08$197.50
ATM IV27.4%24.7%33.0%27.3%30.5%
Expected Move7.8%7.1%9.3%8.0%9.1%
HV 20d16.1%12.8%22.0%17.4%22.0%
HV 60d20.3%19.5%20.8%20.1%20.7%
IV Rank17.6%12.2%28.8%17.5%23.8%
IV Percentile40.2%24.2%71.8%39.7%57.9%
Term Structure0.0%-5.2%2.9%2.6%1.3%
VWIV27.5%24.7%33.5%28.6%31.7%
Skew 25d2.0%0.1%3.6%3.3%1.5%
Skew 10d3.6%-14.0%20.9%0.8%20.9%
Call IV 25d27.1%24.3%31.1%26.0%28.7%
Put IV 25d29.1%26.1%32.6%29.3%30.2%
Bid-Ask Spread %68.4355.7883.6274.7160.48
Gamma HHI0.140.080.310.150.10
Net GEX5.4M1.0M12.3M3.3M4.6M
Net DEX-79.8M-151.0M-21.3M-55.0M-72.0M
Net VEX-680.4K-747.1K-628.6K-702.1K-747.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.151.400.940.69
Total Volume1,826.7377864,2821,3512,019
Total OI32,953.05322,56742,16438,57226,929

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$192.31$184.0827.3%8.0%17.4%17.5%28.6%3.3%2.6%3.3M-55.0M-702.1K0.9474.71N/AN/A69665519,97418,598
2021-01-05$192.84$184.0827.7%7.8%16.9%18.3%27.5%2.6%1.9%3.7M-63.5M-699.2K0.4976.61N/AN/A63330820,23018,822
2021-01-06$194.10$184.0826.3%7.8%13.6%15.5%25.9%2.7%0.2%4.6M-75.1M-688.5K0.6278.51N/AN/A1,05665420,45818,926
2021-01-07$194.16$191.7525.4%7.5%13.0%13.7%26.1%0.9%1.2%4.6M-74.8M-676.0K1.3380.97N/AN/A7641,02020,56619,221
2021-01-08$195.57$191.7525.8%7.5%13.1%14.5%24.7%2.2%2.9%6.4M-90.4M-651.8K0.2777.09N/AN/A82622320,41819,131
2021-01-11$197.11$191.7530.0%7.5%12.8%22.9%26.7%0.7%-5.2%4.6M-91.8M-637.9K0.6677.53N/AN/A1,6431,08119,58018,611
2021-01-12$201.79$191.7527.8%7.5%14.7%18.5%26.5%1.0%-1.8%10.6M-137.8M-635.3K0.3177.80N/AN/A3,2781,00420,59219,378
2021-01-13$202.18$191.7526.2%7.3%14.1%15.3%25.5%3.6%-1.3%12.3M-151.0M-628.6K0.1573.76N/AN/A3,18846921,57219,540
2021-01-14$198.01$191.7526.3%7.5%16.2%15.5%26.1%1.6%-0.4%8.1M-100.6M-638.7K0.8375.28N/AN/A90375221,70019,733
2021-01-15$200.63$191.7527.8%7.2%16.6%18.4%24.7%2.6%-3.8%11.1M-132.8M-639.1K0.3483.62N/AN/A1,83061721,98020,184
2021-01-19$200.33$191.7525.3%7.2%16.2%13.5%26.5%0.9%-0.1%3.7M-70.2M-639.0K1.4059.32N/AN/A1,4982,09211,64110,926
2021-01-20$202.07$191.7524.7%7.1%16.3%12.2%26.7%1.8%-0.1%4.7M-80.9M-675.8K0.3857.78N/AN/A66725212,70311,686
2021-01-21$201.04$191.7525.3%7.2%15.5%13.5%26.5%2.0%0.9%4.9M-75.2M-693.0K1.1855.78N/AN/A41148512,92511,990
2021-01-22$198.67$191.7525.4%7.3%15.9%13.6%25.9%2.3%0.1%4.0M-58.4M-703.4K0.5356.65N/AN/A73438813,07912,377
2021-01-25$199.11$195.5826.8%7.9%15.7%16.4%27.4%3.5%1.2%3.3M-59.8M-701.8K0.5258.55N/AN/A88046012,61612,184
2021-01-26$198.76$195.5828.7%7.9%15.1%20.1%29.5%2.3%0.2%3.6M-58.3M-714.5K1.0259.45N/AN/A38939713,13112,482
2021-01-27$192.29$199.4233.0%9.3%19.6%28.8%33.5%2.0%-0.9%1.0M-21.3M-721.9K0.8957.33N/AN/A60754113,17812,681
2021-01-28$196.91$199.4230.2%8.6%21.3%23.2%31.7%0.1%1.3%2.8M-46.7M-733.0K0.8159.04N/AN/A71157713,38012,986
2021-01-29$201.10$197.5030.5%9.1%22.0%23.8%31.7%1.5%1.3%4.6M-72.0M-747.1K0.6960.48N/AN/A1,19782213,58613,343