BDX Options History — March 2021

In March 2021, BDX traded between $182.40 and $189.65. ATM implied volatility averaged 23.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.8% (HV 20d: 19.5%). Max pain ranged from $184.08 to $191.75. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.92.

Notable Days

  • 2021-03-19: Highest Volume — 5,555 contracts
  • 2021-03-22: Largest IV drop — 10.0% change
  • 2021-03-03: Highest IV Rank — 12.2%
  • 2021-03-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.65$182.40$189.65$188.35$186.26
Max Pain$185.08$184.08$191.75$191.75$184.08
ATM IV23.3%20.0%26.9%24.3%22.6%
Expected Move6.5%5.5%7.9%6.7%5.5%
HV 20d19.5%17.0%22.0%18.7%17.0%
HV 60d19.7%19.4%20.2%19.7%19.5%
IV Rank5.9%0.0%12.2%6.9%8.8%
IV Percentile11.0%0.0%34.9%13.9%6.7%
Term Structure0.5%-2.5%3.5%-2.5%2.7%
VWIV23.1%19.2%27.9%24.9%19.2%
Skew 25d2.0%-0.7%3.6%3.6%-0.7%
Skew 10d5.0%-2.2%17.8%4.2%12.6%
Call IV 25d23.2%20.2%28.8%23.8%22.9%
Put IV 25d25.2%21.7%29.6%27.4%22.3%
Bid-Ask Spread %77.5567.7787.1673.4478.53
Gamma HHI0.110.070.500.090.08
Net GEX-495.8K-9.7M4.7M63.5K2.8M
Net DEX12.0M-33.3M49.1M2.1M-11.4M
Net VEX-796.7K-836.0K-757.1K-764.8K-812.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.184.580.190.78
Total Volume1,510.6966485,5551,0221,216
Total OI29,067.17421,96132,76828,16727,084

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$188.35$191.7524.3%6.7%18.7%6.9%24.9%3.6%-2.5%63.5K2.1M-764.8K0.1973.44N/AN/A86216014,13814,029
2021-03-02$188.22$191.7524.6%6.8%18.7%7.6%23.8%2.7%0.2%328.0K1.1M-757.1K0.8171.01N/AN/A51942014,44014,133
2021-03-03$185.40$191.7526.9%7.9%19.1%12.2%27.9%2.7%-1.1%-402.9K17.0M-788.9K1.2181.73N/AN/A75491714,64114,482
2021-03-04$184.52$184.0826.8%7.4%18.7%12.0%25.8%0.5%0.1%-1.2M24.8M-809.3K0.9985.66N/AN/A41541215,05915,138
2021-03-05$189.65$184.0825.4%6.9%20.1%9.1%25.1%0.8%-0.9%382.3K-7.4M-810.2K0.2980.93N/AN/A91326815,05715,133
2021-03-08$189.52$184.0824.8%7.0%20.0%7.9%24.7%2.2%-0.9%288.5K-8.7M-792.2K0.1876.80N/AN/A1,69230414,95614,804
2021-03-09$187.01$184.0825.1%7.1%20.4%8.5%24.1%2.1%0.1%70.2K7.1M-829.1K0.8371.06N/AN/A48640215,72214,900
2021-03-10$182.40$184.0825.9%7.0%21.9%10.3%23.1%2.8%-1.4%-1.7M41.9M-792.1K1.9385.64N/AN/A6671,28715,79615,102
2021-03-11$182.54$184.0823.7%7.1%21.9%5.7%24.5%3.1%2.4%-3.6M47.9M-797.8K0.9077.38N/AN/A78470515,83816,100
2021-03-12$182.70$184.0823.9%6.8%22.0%5.9%23.7%3.4%-0.4%-3.4M49.1M-794.2K0.4577.81N/AN/A69631516,18116,452
2021-03-15$184.08$184.0824.0%6.9%21.4%6.2%24.5%2.2%0.5%-3.1M38.4M-784.5K0.2682.65N/AN/A68617615,64416,184
2021-03-16$183.86$184.0822.2%6.4%21.2%2.4%22.8%1.5%0.8%-3.0M38.6M-777.9K0.8183.19N/AN/A35729115,88516,277
2021-03-17$183.36$184.0822.4%6.4%21.2%2.8%23.5%0.9%0.0%-3.8M42.2M-771.2K1.9587.16N/AN/A36470915,94516,404
2021-03-18$183.24$184.0823.0%6.6%21.1%4.1%23.2%2.1%2.1%-4.2M43.3M-778.8K4.5881.31N/AN/A13963316,08416,516
2021-03-19$184.28$184.0822.3%6.1%18.5%2.6%21.6%1.3%3.5%-9.7M29.7M-771.4K0.4775.12N/AN/A3,7831,77216,13416,634
2021-03-22$184.97$184.0820.0%5.6%18.5%0.0%21.0%2.5%-0.6%1.3M1.2M-777.0K1.0867.77N/AN/A1,2391,33911,35110,610
2021-03-23$183.91$184.0821.2%5.8%18.4%3.1%20.7%1.0%2.1%544.1K7.9M-787.4K0.5472.26N/AN/A1,18263512,59211,833
2021-03-24$185.45$184.0821.1%6.0%18.7%2.8%20.9%-0.3%-0.3%1.7M-5.0M-812.9K0.6575.45N/AN/A58037713,30412,341
2021-03-25$185.25$184.0821.7%6.4%18.7%4.4%21.7%1.7%0.1%1.9M-3.0M-825.6K0.6072.64N/AN/A84350213,58612,556
2021-03-26$187.48$184.0821.2%5.7%17.7%3.9%19.8%3.5%-0.2%4.1M-22.4M-832.2K0.1874.86N/AN/A1,68730413,83012,840
2021-03-29$189.38$184.0821.3%6.0%17.3%4.3%22.3%3.1%2.4%4.7M-33.3M-836.0K0.8174.91N/AN/A73059113,93212,552
2021-03-30$188.03$184.0821.3%5.8%17.5%4.4%22.2%3.0%2.9%4.5M-24.5M-821.4K0.7876.36N/AN/A91871514,07312,253
2021-03-31$186.26$184.0822.6%5.5%17.0%8.8%19.2%-0.7%2.7%2.8M-11.4M-812.4K0.7878.53N/AN/A68253414,85412,230