BDX Options History — September 2021

In September 2021, BDX traded between $189.44 and $201.66. ATM implied volatility averaged 19.3%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.5% (HV 20d: 13.8%). Max pain ranged from $191.75 to $195.58. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-09-07: Highest Volume — 4,254 contracts
  • 2021-09-20: Largest IV spike — 17.2% change
  • 2021-09-30: Highest IV Rank — 25.1%
  • 2021-09-30: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.06$189.44$201.66$193.38$189.44
Max Pain$192.48$191.75$195.58$191.75$193.66
ATM IV19.3%16.7%22.8%17.5%22.8%
Expected Move5.5%4.6%6.0%4.6%6.0%
HV 20d13.8%11.1%22.0%22.0%14.9%
HV 60d16.5%16.1%16.8%16.3%16.5%
IV Rank11.2%1.4%25.1%4.5%25.1%
IV Percentile16.3%1.2%42.9%2.8%42.9%
Term Structure0.9%-0.8%3.1%0.1%1.3%
VWIV19.4%16.8%22.4%16.8%20.9%
Skew 25d2.0%1.1%4.5%1.9%2.8%
Skew 10d3.5%-1.1%7.2%2.0%3.9%
Call IV 25d18.8%16.3%21.6%17.1%19.7%
Put IV 25d20.8%18.3%25.0%18.9%22.6%
Bid-Ask Spread %76.7558.5086.7675.1279.63
Gamma HHI0.130.080.240.100.08
Net GEX3.1M-1.3M9.4M398.0K-1.3M
Net DEX-47.0M-101.1M17.5M-59.1M17.5M
Net VEX-668.0K-712.3K-606.8K-633.5K-694.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.132.150.200.99
Total Volume1,456.6193574,2541,888357
Total OI29,586.14324,13634,02731,87827,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$193.38$191.7517.5%4.6%22.0%4.5%16.8%1.9%0.1%398.0K-59.1M-633.5K0.2075.12N/AN/A1,57930914,02917,849
2021-09-02$195.60$191.7517.2%5.1%14.6%3.0%18.1%2.5%0.8%4.2M-83.7M-606.8K0.9883.08N/AN/A87986214,07818,013
2021-09-03$197.78$191.7516.7%4.9%14.3%1.4%17.3%2.0%1.1%6.8M-93.7M-616.5K2.1581.15N/AN/A6171,32513,81118,118
2021-09-07$197.84$191.7517.8%5.2%13.3%5.4%19.0%1.3%0.2%6.0M-73.6M-652.7K0.1879.44N/AN/A3,59865612,77117,286
2021-09-08$201.66$191.7519.3%5.6%14.3%11.4%19.3%1.3%0.2%3.9M-101.1M-654.8K0.1383.56N/AN/A3,53947213,00418,274
2021-09-09$199.81$191.7518.4%5.4%15.1%7.8%20.1%2.7%0.3%2.9M-71.1M-673.1K0.9980.76N/AN/A56556112,79418,729
2021-09-10$198.30$191.7519.5%5.6%13.8%12.1%19.7%1.9%0.1%-786.8K-59.3M-694.0K0.6876.26N/AN/A1,42697114,96419,063
2021-09-13$198.63$191.7518.8%5.4%13.8%9.5%18.8%1.1%0.8%5.9M-51.4M-670.0K0.1885.37N/AN/A95017214,29617,902
2021-09-14$200.35$191.7519.7%5.7%13.8%13.0%19.7%1.6%0.4%7.0M-67.3M-679.7K0.4577.19N/AN/A50422814,79118,089
2021-09-15$201.46$191.7519.2%5.5%13.1%11.0%19.2%1.5%-0.3%7.8M-81.5M-661.7K0.2682.96N/AN/A45812015,21618,171
2021-09-16$201.33$191.7518.9%5.4%11.3%9.9%18.8%1.6%0.5%8.5M-82.4M-661.3K0.7786.57N/AN/A27921515,38918,298
2021-09-17$200.81$191.7519.2%5.4%11.1%11.1%18.6%1.4%1.1%9.4M-77.2M-649.1K0.2686.76N/AN/A1,26632715,41418,322
2021-09-20$198.64$191.7522.5%6.0%12.0%24.1%22.4%3.4%1.3%1.8M-35.3M-663.7K1.3368.71N/AN/A64085111,09413,042
2021-09-21$199.39$191.7520.4%5.9%12.0%15.6%20.7%1.5%1.4%2.3M-39.0M-701.2K0.6165.36N/AN/A33220411,53613,273
2021-09-22$196.85$191.7520.3%5.8%12.7%15.3%20.8%2.2%0.2%1.0M-23.2M-712.3K0.7469.98N/AN/A54640211,88013,941
2021-09-23$195.01$191.7518.7%5.2%13.2%9.1%18.9%4.5%-0.8%373.5K-6.8M-683.8K1.5472.29N/AN/A31949212,02714,051
2021-09-24$194.17$195.5818.6%5.2%13.3%8.6%19.7%2.6%1.4%-896.9K-3.8M-677.8K0.8158.50N/AN/A62250512,41214,324
2021-09-27$193.04$195.5819.0%5.1%13.5%10.1%18.2%1.3%2.3%-270.1K-143.2K-664.2K0.5171.85N/AN/A1,05753812,05113,586
2021-09-28$191.94$195.5819.7%5.8%13.4%13.1%21.4%1.8%2.5%-631.1K6.7M-677.1K0.5473.64N/AN/A93250011,99813,764
2021-09-29$192.88$193.6620.2%5.5%13.5%14.9%19.4%1.1%3.1%-228.2K-2.2M-700.3K0.5373.62N/AN/A27014412,74013,852
2021-09-30$189.44$193.6622.8%6.0%14.9%25.1%20.9%2.8%1.3%-1.3M17.5M-694.0K0.9979.63N/AN/A17917813,00614,061