BDX Options History — February 2021

In February 2021, BDX traded between $185.74 and $201.10. ATM implied volatility averaged 25.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.4% (HV 20d: 22.5%). Max pain ranged from $191.75 to $199.42. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-02-19: Highest Volume — 3,021 contracts
  • 2021-02-04: Largest IV drop — 17.4% change
  • 2021-02-01: Highest IV Rank — 24.0%
  • 2021-02-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.42$185.74$201.10$201.10$185.74
Max Pain$192.96$191.75$199.42$199.42$191.75
ATM IV25.9%23.9%30.6%30.6%27.4%
Expected Move7.3%6.8%9.2%9.2%7.5%
HV 20d22.5%19.7%24.1%21.8%19.7%
HV 60d20.0%18.8%20.8%20.4%19.7%
IV Rank13.3%8.1%24.0%24.0%13.4%
IV Percentile26.9%12.7%58.3%58.3%35.7%
Term Structure0.3%-1.7%3.5%-0.6%3.5%
VWIV26.4%24.1%31.9%31.9%26.3%
Skew 25d2.2%0.7%5.9%1.3%1.5%
Skew 10d0.2%-12.9%11.2%-2.5%0.6%
Call IV 25d25.0%22.6%29.1%28.6%26.4%
Put IV 25d27.2%25.4%30.9%29.9%27.9%
Bid-Ask Spread %75.8963.4384.1569.9169.97
Gamma HHI0.090.080.120.090.10
Net GEX1.6M-1.6M4.5M2.7M-1.6M
Net DEX-26.4M-64.3M19.4M-64.3M19.4M
Net VEX-754.3K-810.9K-705.2K-742.7K-780.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.331.760.420.62
Total Volume1,542.6325233,021523773
Total OI28,501.15825,70331,59425,70329,311

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$201.10$199.4230.6%9.2%21.8%24.0%31.9%1.3%-0.6%2.7M-64.3M-742.7K0.4269.91N/AN/A36915412,77212,931
2021-02-02$199.41$199.4227.2%8.1%22.1%17.3%31.7%1.3%0.7%2.4M-56.0M-730.8K1.7668.51N/AN/A25143912,85413,014
2021-02-03$200.60$199.4229.1%8.3%22.1%21.1%30.1%1.6%-1.0%2.7M-61.9M-714.9K1.4663.43N/AN/A8541,24412,92913,042
2021-02-04$195.54$191.7524.1%7.0%24.1%10.9%24.8%1.9%0.8%38.7K-21.6M-705.2K0.3384.15N/AN/A1,98665913,44814,015
2021-02-05$196.00$191.7524.6%6.9%24.1%12.0%24.1%2.8%0.4%1.1M-29.7M-717.9K0.3682.26N/AN/A2,08975814,49214,279
2021-02-08$196.29$191.7523.9%6.8%24.0%10.7%24.2%2.1%-0.5%2.7M-37.3M-716.2K0.6382.22N/AN/A75347314,80713,263
2021-02-09$194.70$191.7524.4%6.9%24.0%11.6%24.7%0.9%-0.4%2.1M-23.1M-731.7K0.7480.63N/AN/A55540814,92113,594
2021-02-10$194.06$191.7526.0%7.2%22.2%14.8%25.0%1.8%-0.8%2.0M-20.1M-731.8K0.5978.54N/AN/A1,01359815,11013,766
2021-02-11$193.89$191.7525.5%7.1%22.2%13.7%24.8%0.7%-1.3%1.7M-16.0M-744.3K0.5777.74N/AN/A51329415,27314,215
2021-02-12$196.72$191.7524.5%6.9%21.8%11.8%24.5%2.5%-0.7%4.5M-37.5M-742.8K0.6179.73N/AN/A1,15670915,35014,304
2021-02-16$197.63$191.7524.3%6.9%21.3%11.4%25.0%1.8%1.4%2.5M-47.3M-747.7K0.3381.51N/AN/A1,66055315,05914,056
2021-02-17$196.67$191.7524.4%7.0%21.3%11.2%24.9%2.5%0.6%3.8M-45.5M-781.0K0.6880.95N/AN/A92162815,96914,422
2021-02-18$196.72$191.7524.9%7.1%21.0%12.2%25.3%2.2%1.4%2.9M-43.3M-795.9K1.0380.87N/AN/A76178016,33114,858
2021-02-19$190.57$191.7525.1%7.0%23.6%10.2%26.3%1.8%1.6%-1.6M7.7M-793.8K0.5983.30N/AN/A1,9051,11616,47015,124
2021-02-22$189.09$191.7524.9%7.2%23.5%8.1%25.5%5.9%2.2%175.2K-2.1M-768.5K0.7368.23N/AN/A1,17785913,01913,309
2021-02-23$190.16$191.7526.3%6.9%23.6%11.0%25.2%3.7%-0.4%861.5K-8.7M-788.3K0.3966.89N/AN/A65525613,81814,009
2021-02-24$189.43$191.7525.9%7.3%23.6%10.1%27.5%2.9%0.3%937.9K-6.1M-787.8K0.4570.80N/AN/A90641014,16214,133
2021-02-25$189.66$191.7528.8%8.2%20.6%16.4%29.1%1.8%-1.7%1.2M-8.3M-810.9K0.7272.27N/AN/A39428114,59214,501
2021-02-26$185.74$191.7527.4%7.5%19.7%13.4%26.3%1.5%3.5%-1.6M19.4M-780.2K0.6269.97N/AN/A47829514,65014,661