BDX Options History — November 2021

In November 2021, BDX traded between $181.35 and $191.47. ATM implied volatility averaged 24.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.4% (HV 20d: 19.1%). Max pain ranged from $187.91 to $191.75. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-11-03: Highest Volume — 11,224 contracts
  • 2021-11-04: Largest IV drop — 22.2% change
  • 2021-11-03: Highest IV Rank — 100.0%
  • 2021-11-03: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.75$181.35$191.47$186.58$181.35
Max Pain$191.20$187.91$191.75$187.91$191.75
ATM IV24.5%19.8%35.9%32.5%25.3%
Expected Move7.3%5.7%13.3%11.6%7.5%
HV 20d19.1%16.0%20.7%19.2%18.8%
HV 60d16.4%15.8%17.4%16.4%17.4%
IV Rank40.4%17.4%100.0%63.3%45.7%
IV Percentile57.6%23.4%100.0%98.4%81.0%
Term Structure-0.5%-3.2%1.2%0.2%-0.0%
VWIV26.5%20.3%46.8%42.0%27.9%
Skew 25d-0.3%-3.7%2.7%-0.7%1.3%
Skew 10d-1.8%-6.2%2.8%-5.0%-0.3%
Call IV 25d25.5%20.5%37.4%35.0%24.9%
Put IV 25d25.2%20.4%35.6%34.3%26.2%
Bid-Ask Spread %75.6649.8687.9749.8677.12
Gamma HHI0.130.110.170.130.16
Net GEX4.4M-5.8M22.4M2.9M-5.8M
Net DEX-5.0M-67.3M82.9M-12.4M82.9M
Net VEX-984.1K-1.2M-849.6K-1.1M-937.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.560.910.560.79
Total Volume6,266.6194,70611,2246,6767,700
Total OI50,114.57136,73558,22348,19238,515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$186.58$187.9132.5%11.6%19.2%63.3%42.0%-0.7%0.2%2.9M-12.4M-1.1M0.5649.86N/AN/A4,2922,38424,57223,620
2021-11-02$185.38$187.9133.9%12.6%19.1%85.2%46.5%-2.7%-0.9%2.9M-11.1M-1.2M0.7150.60N/AN/A3,7122,63626,64224,690
2021-11-03$189.45$187.9135.9%13.3%20.5%100.0%46.8%0.8%-3.0%5.2M-64.2M-1.2M0.6854.44N/AN/A6,6924,53227,18025,127
2021-11-04$186.62$191.7527.9%7.5%20.7%59.1%28.0%-3.7%0.8%4.5M-10.3M-1.1M0.7280.77N/AN/A5,1403,70529,92026,114
2021-11-05$187.17$191.7524.1%6.6%20.2%39.6%25.1%-2.5%1.2%7.1M-21.1M-1.1M0.7479.06N/AN/A4,2333,11530,37026,917
2021-11-08$188.14$191.7526.1%6.8%19.7%49.6%25.5%0.9%-3.2%8.2M-40.3M-1.1M0.6677.74N/AN/A3,4222,26029,08925,916
2021-11-09$186.77$191.7525.0%6.6%19.9%44.0%24.5%-0.4%-2.3%6.5M-9.6M-1.0M0.6280.09N/AN/A3,6422,26029,34626,366
2021-11-10$188.07$191.7525.6%6.8%19.8%47.1%23.8%0.3%-1.7%8.5M-21.3M-1.0M0.7083.06N/AN/A2,9762,08429,87226,959
2021-11-11$187.61$191.7524.3%6.5%19.5%40.5%23.7%-2.8%-0.3%7.8M-11.4M-975.6K0.7881.24N/AN/A3,1282,45530,04227,157
2021-11-12$187.15$191.7522.1%6.0%19.3%29.3%21.4%-0.9%-1.7%6.6M8.1M-943.8K0.8385.20N/AN/A3,3672,78130,74027,483
2021-11-15$186.68$191.7521.1%6.0%19.0%24.4%21.3%-0.3%-0.5%2.9M32.4M-857.7K0.7485.09N/AN/A2,8652,10928,89625,439
2021-11-16$187.21$191.7519.8%5.7%18.3%17.4%20.3%-0.0%0.6%5.6M24.6M-882.0K0.8987.97N/AN/A2,7492,44529,42325,588
2021-11-17$191.47$191.7520.8%6.0%18.9%22.4%21.3%-0.4%-0.4%22.4M-67.3M-861.3K0.7084.97N/AN/A4,2182,96829,46525,359
2021-11-18$191.16$191.7520.4%5.9%18.8%20.5%21.4%-0.3%-0.6%21.1M-50.9M-855.3K0.7385.91N/AN/A2,9552,14830,28025,702
2021-11-19$190.72$191.7520.2%5.8%18.8%19.3%20.5%0.8%0.2%-1.2M-22.4M-859.6K0.5786.67N/AN/A4,0592,32130,57125,706
2021-11-22$188.58$191.7520.7%5.9%19.2%22.3%21.7%1.4%-0.6%-2.4M19.5M-849.6K0.8769.92N/AN/A2,9172,54914,93321,802
2021-11-23$189.29$191.7521.5%6.2%19.2%26.0%21.6%-0.3%-0.0%-1.8M4.7M-913.9K0.9171.20N/AN/A2,5962,35115,84822,167
2021-11-24$187.64$191.7521.6%6.2%19.4%26.9%22.6%-0.3%-0.2%-2.8M21.5M-975.2K0.8469.44N/AN/A2,6532,23416,30722,405
2021-11-26$188.47$191.7524.4%7.3%16.0%41.0%26.4%2.7%0.3%-1.4M15.5M-970.1K0.7777.34N/AN/A2,6572,04916,33522,509
2021-11-29$187.24$191.7521.3%6.3%16.2%25.1%23.1%0.6%0.8%-4.3M27.2M-939.6K0.6671.10N/AN/A3,7572,48315,22621,808
2021-11-30$181.35$191.7525.3%7.5%18.8%45.7%27.9%1.3%-0.0%-5.8M82.9M-937.8K0.7977.12N/AN/A4,3113,38916,23122,284