BDX Options History — May 2021

In May 2021, BDX traded between $184.14 and $193.73. ATM implied volatility averaged 21.7%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.3% (HV 20d: 23.0%). Max pain ranged from $184.08 to $191.75. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-05-06: Highest Volume — 3,886 contracts
  • 2021-05-06: Largest IV drop — 20.4% change
  • 2021-05-04: Highest IV Rank — 27.3%
  • 2021-05-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.18$184.14$193.73$193.73$185.90
Max Pain$185.23$184.08$191.75$191.75$184.08
ATM IV21.7%18.8%26.0%24.8%19.2%
Expected Move6.3%5.0%8.3%7.7%5.0%
HV 20d23.0%19.7%26.2%19.7%21.5%
HV 60d19.8%18.2%21.1%18.2%19.3%
IV Rank8.7%0.0%27.3%22.0%1.7%
IV Percentile9.8%0.0%44.8%31.7%0.4%
Term Structure0.3%-1.7%2.2%-0.8%0.4%
VWIV22.3%18.1%30.2%27.9%18.1%
Skew 25d1.9%-0.7%4.5%3.5%1.3%
Skew 10d4.3%0.1%10.7%4.0%0.7%
Call IV 25d21.1%17.6%26.3%24.1%19.4%
Put IV 25d23.0%19.8%28.7%27.6%20.7%
Bid-Ask Spread %79.2564.8787.1165.9274.56
Gamma HHI0.090.070.190.090.14
Net GEX-598.9K-4.6M2.9M2.3M-3.2M
Net DEX11.5M-33.9M50.7M-33.9M9.0M
Net VEX-845.0K-896.3K-812.6K-873.4K-812.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.152.670.181.45
Total Volume1,668.55193,8862,467921
Total OI34,258.8530,18138,49932,52732,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$193.73$191.7524.8%7.7%19.7%22.0%27.9%3.5%-0.8%2.3M-33.9M-873.4K0.1865.92N/AN/A2,09637116,20316,324
2021-05-04$192.44$191.7526.0%8.3%19.7%27.3%30.1%0.4%0.3%2.9M-32.7M-887.7K1.3064.87N/AN/A8091,05117,82816,568
2021-05-05$191.76$191.7525.1%8.3%19.8%23.1%30.2%1.4%1.2%2.1M-22.2M-896.3K1.3772.37N/AN/A1,4171,94018,00317,439
2021-05-06$184.87$184.0820.0%6.0%23.9%0.0%20.3%4.5%-0.8%-4.6M46.2M-821.3K1.1086.99N/AN/A1,8472,03918,87918,417
2021-05-07$184.14$184.0820.9%6.0%23.1%4.2%21.1%3.0%2.2%-3.8M50.7M-823.3K0.5883.06N/AN/A1,64094819,79718,702
2021-05-10$189.34$184.0820.9%5.7%25.3%4.5%20.7%-0.7%-1.7%888.1K-63.0K-843.2K0.3385.36N/AN/A2,17071618,00816,937
2021-05-11$184.90$184.0822.7%6.5%26.1%12.6%22.2%2.3%-0.4%-1.6M34.4M-838.3K0.6984.00N/AN/A77753618,10716,963
2021-05-12$185.50$184.0824.9%7.1%26.2%22.5%25.1%2.4%0.7%-933.2K28.1M-867.1K0.6781.66N/AN/A50633718,52417,105
2021-05-13$188.13$184.0822.7%6.4%23.6%12.6%23.2%2.6%0.0%934.1K4.6M-881.0K0.7084.26N/AN/A88462318,80517,290
2021-05-14$186.11$184.0821.2%6.1%23.2%5.8%20.7%1.6%0.9%1.4M20.9M-854.2K1.2385.95N/AN/A35744019,10517,312
2021-05-17$185.41$184.0821.8%6.2%23.1%8.5%22.8%2.0%-0.1%-1.6M29.1M-837.1K2.6784.84N/AN/A22961317,17316,378
2021-05-18$185.72$184.0821.5%6.2%23.1%7.1%21.4%2.2%0.7%-1.7M26.5M-840.2K0.7987.11N/AN/A73157717,31716,593
2021-05-19$185.80$184.0822.3%6.4%22.9%10.5%21.8%1.6%0.3%-2.4M27.0M-843.9K0.2785.89N/AN/A49213217,42616,924
2021-05-20$187.83$184.0821.2%6.1%23.4%5.8%21.1%2.3%0.3%-852.4K7.5M-845.1K0.6585.91N/AN/A48231217,64616,995
2021-05-21$187.48$184.0820.6%5.8%23.4%2.9%22.1%-0.3%0.9%-4.1M8.8M-851.2K0.1586.79N/AN/A2,89542217,82317,134
2021-05-24$187.12$184.0819.9%5.5%23.2%0.0%19.9%1.6%0.2%1.9M-3.6M-817.2K1.4769.32N/AN/A7861,15515,20714,974
2021-05-25$186.12$184.0819.4%5.4%23.0%0.0%19.3%0.9%0.4%876.0K6.8M-829.0K0.8072.78N/AN/A38430815,56015,628
2021-05-26$185.80$184.0818.8%5.5%23.0%0.0%19.6%2.8%0.4%204.5K10.0M-813.5K0.7770.59N/AN/A51439415,74915,848
2021-05-27$185.50$184.0819.5%5.3%21.8%3.1%18.4%2.2%0.0%-682.9K13.7M-823.8K0.6672.81N/AN/A31320615,93616,156
2021-05-28$185.90$184.0819.2%5.0%21.5%1.7%18.1%1.3%0.4%-3.2M9.0M-812.6K1.4574.56N/AN/A37554616,07016,324