BDX Options History — August 2021

In August 2021, BDX traded between $182.94 and $196.43. ATM implied volatility averaged 19.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.0% (HV 20d: 20.3%). Max pain ranged from $189.83 to $191.75. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2021-08-05: Highest Volume — 6,961 contracts
  • 2021-08-05: Largest IV drop — 19.0% change
  • 2021-08-04: Highest IV Rank — 29.1%
  • 2021-08-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.25$182.94$196.43$196.43$192.87
Max Pain$191.49$189.83$191.75$189.83$191.75
ATM IV19.3%17.4%23.8%22.8%17.8%
Expected Move5.5%4.6%7.5%7.0%4.6%
HV 20d20.3%11.6%23.2%11.9%22.0%
HV 60d15.8%13.1%16.7%14.3%16.3%
IV Rank11.4%3.8%29.1%25.1%5.7%
IV Percentile10.9%2.4%39.7%28.6%4.8%
Term Structure0.0%-1.8%2.0%-1.2%0.9%
VWIV19.7%16.6%26.5%25.1%18.2%
Skew 25d1.7%-0.2%3.6%2.8%3.6%
Skew 10d2.8%-11.5%11.2%4.9%3.0%
Call IV 25d19.2%17.0%23.5%20.9%17.1%
Put IV 25d20.9%18.3%25.0%23.7%20.7%
Bid-Ask Spread %72.6058.2688.0465.8258.42
Gamma HHI0.200.090.770.100.11
Net GEX-3.5M-56.9M15.0M838.3K905.1K
Net DEX-15.5M-92.4M74.3M-31.9M-52.6M
Net VEX-716.6K-769.1K-655.0K-712.4K-657.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.326.700.620.56
Total Volume2,197.0456896,961689974
Total OI31,922.22726,25339,13626,25331,829

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$196.43$189.8322.8%7.0%11.9%25.1%25.1%2.8%-1.2%838.3K-31.9M-712.4K0.6265.82N/AN/A42426511,34414,909
2021-08-03$196.24$189.8322.7%6.9%11.9%24.7%24.0%1.5%2.0%1.0M-30.8M-697.4K0.4462.69N/AN/A54423811,48515,039
2021-08-04$195.28$189.8323.8%7.5%11.6%29.1%26.5%1.2%-1.6%912.2K-25.2M-708.1K6.7062.12N/AN/A5663,78911,61815,148
2021-08-05$186.58$191.7519.3%5.7%20.0%11.3%20.3%-0.2%0.7%-1.1M33.5M-689.1K1.1682.49N/AN/A3,2193,74211,93315,298
2021-08-06$185.01$191.7519.1%5.4%20.1%10.4%19.3%1.6%0.1%-2.4M74.3M-667.4K4.4076.22N/AN/A1,1074,87012,30917,022
2021-08-09$182.94$191.7519.1%5.4%20.4%10.8%19.6%2.1%0.1%-3.0M45.7M-745.7K0.4578.99N/AN/A1,21555013,91316,399
2021-08-10$183.70$191.7519.6%5.4%20.5%12.4%19.1%0.8%-0.8%-4.3M69.5M-768.6K1.0888.04N/AN/A39943214,55018,528
2021-08-11$184.58$191.7519.3%5.3%20.2%11.4%18.7%3.1%-0.8%-2.8M55.9M-769.1K0.3279.98N/AN/A95830415,35918,870
2021-08-12$188.90$191.7518.9%5.2%21.9%10.0%19.0%1.6%-1.0%-8.4M-3.8M-749.8K0.4776.17N/AN/A98645915,41219,146
2021-08-13$189.61$191.7518.9%5.2%21.7%9.7%18.8%1.7%-0.8%-56.9M-14.0M-759.3K3.0258.26N/AN/A1,3083,94815,81219,314
2021-08-16$191.36$191.7517.7%5.0%21.8%5.3%20.1%1.7%1.1%3.7M-57.5M-755.0K1.4362.60N/AN/A9431,34815,88517,295
2021-08-17$194.19$191.7519.9%5.7%22.4%13.6%20.3%1.5%0.4%3.7M-92.4M-749.2K0.3880.63N/AN/A1,05340216,59719,136
2021-08-18$191.06$191.7519.4%5.5%23.2%11.6%19.6%1.3%-1.8%-1.1M-49.9M-757.0K6.0383.28N/AN/A5813,50716,62219,108
2021-08-19$190.15$191.7520.3%5.8%22.9%15.4%20.7%2.1%-0.7%-5.1M-25.8M-747.6K0.3283.60N/AN/A1,10435716,63519,234
2021-08-20$191.47$191.7519.0%5.4%22.9%10.3%18.9%1.6%0.8%15.0M-50.3M-736.8K3.0386.04N/AN/A6231,88916,74022,396
2021-08-23$191.82$191.7517.6%4.9%22.9%4.9%18.6%1.8%0.3%-1.3M-37.1M-704.9K0.5763.98N/AN/A53030413,65716,901
2021-08-24$190.49$191.7517.4%4.9%21.8%3.8%17.4%1.6%0.9%-1.2M-25.5M-689.9K1.2864.14N/AN/A47260413,69716,644
2021-08-25$189.81$191.7518.2%5.2%21.8%7.1%18.1%2.3%0.1%-4.7M-15.1M-685.4K3.1770.38N/AN/A22972814,02417,195
2021-08-26$190.03$191.7518.2%4.9%21.7%7.2%18.6%1.8%0.5%-6.8M-17.2M-693.7K3.2670.05N/AN/A23275814,22117,677
2021-08-27$190.83$191.7518.1%4.6%21.8%6.5%16.6%0.0%-0.2%-7.4M-35.5M-666.9K4.4672.01N/AN/A2621,16814,42118,178
2021-08-30$192.23$191.7517.5%4.7%22.0%4.5%16.7%1.8%1.1%4.4M-54.2M-655.0K0.4571.27N/AN/A65029413,98116,808
2021-08-31$192.87$191.7517.8%4.6%22.0%5.7%18.2%3.6%0.9%905.1K-52.6M-657.8K0.5658.42N/AN/A62534914,06217,767