BDX Options History — January 2007 In January 2007, BDX traded between $53.57 and $59.01. ATM implied volatility averaged 17.4%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.3% (HV 20d: 13.1%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.92.
Notable Days 2007-01-24 : Highest Volume — 1,688 contracts2007-01-11 : Largest IV spike — 24.8% change2007-01-09 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $56.04 $53.57 $59.01 $54.02 $59.01 Max Pain $54.65 $53.69 $57.52 $53.69 $57.52 ATM IV 17.4% 15.0% 20.0% 15.7% 17.5% Expected Move 5.2% 4.4% 5.8% 4.5% 5.0% HV 20d 13.1% 11.8% 14.7% 12.4% 14.4% Term Structure -0.9% -2.6% 4.1% 3.9% -1.2% VWIV 18.4% 15.4% 20.3% 15.4% 16.4% Skew 25d 3.2% 2.1% 4.0% 3.0% 2.8% Skew 10d 5.3% 1.3% 6.6% 5.4% 4.2% Call IV 25d 15.9% 14.6% 16.8% 16.8% 14.7% Put IV 25d 19.1% 17.5% 20.2% 19.8% 17.5% Bid-Ask Spread % 26.21 12.69 76.73 76.73 19.87 Gamma HHI 0.39 0.34 0.42 0.40 0.38 Net GEX 268.2K -200.9K 685.3K -137.9K 673.3K Net DEX -8.6M -19.4M -1.2M -1.8M -19.4M Net VEX -59.5K -72.3K -53.5K -57.9K -63.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.00 5.12 1.33 1.25 Total Volume 419.05 30 1,688 138 372 Total OI 9,038.2 7,983 10,690 7,983 10,690
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-01-03 $54.02 $53.69 15.7% 4.5% 0.0% 0.0% 15.4% 3.0% 3.9% -137.9K -1.8M -57.9K 1.33 76.73 N/A N/A 59 79 4,240 3,743 2007-01-04 $53.57 $53.69 15.2% 4.4% 0.0% 0.0% 0.0% 3.4% 4.1% -182.8K -1.3M -57.7K 1.67 14.59 N/A N/A 11 19 4,276 3,765 2007-01-05 $53.69 $53.69 15.0% 5.6% 0.0% 0.0% 19.5% 3.9% -1.9% -200.9K -1.2M -56.3K 0.33 21.53 N/A N/A 64 20 4,283 3,777 2007-01-08 $54.03 $53.69 15.4% 5.7% 0.0% 0.0% 19.9% 3.5% -2.2% -182.5K -2.2M -54.8K 1.05 22.63 N/A N/A 242 254 4,316 3,745 2007-01-09 $54.63 $53.69 16.2% 5.8% 0.0% 0.0% 20.3% 3.4% -2.1% -130.9K -4.2M -57.5K 0.14 18.66 N/A N/A 219 31 4,471 3,997 2007-01-10 $55.04 $53.69 15.8% 5.8% 0.0% 0.0% 19.7% 3.5% -1.5% -13.9K -5.7M -57.5K 0.37 24.66 N/A N/A 99 37 4,560 3,990 2007-01-11 $55.40 $53.69 19.7% 5.7% 0.0% 0.0% 18.7% 3.4% -1.6% 141.5K -6.9M -57.2K 0.76 26.59 N/A N/A 113 86 4,593 3,990 2007-01-12 $55.20 $53.69 20.0% 5.7% 0.0% 0.0% 0.0% 4.0% -1.5% 104.3K -6.7M -56.4K 0.00 26.68 N/A N/A 32 0 4,678 4,044 2007-01-16 $55.64 $53.69 17.7% 5.1% 0.0% 0.0% 19.0% 3.6% -1.2% 248.8K -7.8M -54.0K 0.02 33.63 N/A N/A 341 6 4,678 4,044 2007-01-17 $55.80 $53.69 17.9% 5.1% 0.0% 0.0% 18.9% 3.5% -1.6% 336.9K -8.9M -54.5K 0.76 28.86 N/A N/A 224 169 4,742 4,050 2007-01-18 $56.67 $53.69 18.1% 5.2% 0.0% 0.0% 0.0% 3.6% -1.3% 546.5K -10.8M -54.3K 0.21 13.80 N/A N/A 122 27 4,785 4,180 2007-01-19 $56.75 $53.69 18.3% 5.2% 0.0% 0.0% 18.5% 3.0% -1.7% 587.6K -11.4M -53.8K 0.59 12.69 N/A N/A 266 156 4,849 4,199 2007-01-22 $56.34 $53.69 18.6% 5.3% 0.0% 0.0% 19.2% 2.1% -1.5% 433.8K -9.5M -53.5K 5.12 17.53 N/A N/A 169 868 4,577 3,644 2007-01-23 $56.69 $53.69 18.3% 5.2% 0.0% 0.0% 18.6% 2.8% -1.4% 339.7K -8.5M -64.1K 0.24 16.77 N/A N/A 183 45 4,684 4,322 2007-01-24 $57.64 $53.69 19.8% 5.7% 0.0% 0.0% 19.8% 3.4% -2.6% 482.4K -12.1M -63.7K 0.94 21.00 N/A N/A 871 817 4,803 4,301 2007-01-25 $57.23 $57.52 17.3% 5.0% 12.4% 0.0% 17.4% 2.3% -0.9% 528.8K -11.8M -71.0K 0.45 19.11 N/A N/A 843 379 5,495 4,924 2007-01-26 $57.13 $57.52 16.5% 4.7% 12.2% 0.0% 16.6% 2.7% -0.4% 509.1K -11.2M -72.3K 0.82 46.53 N/A N/A 167 137 5,547 4,924 2007-01-29 $57.30 $57.52 16.7% 4.8% 11.8% 0.0% 17.6% 3.5% -0.5% 595.6K -12.3M -67.9K 1.43 45.74 N/A N/A 60 86 5,548 4,841 2007-01-30 $58.94 $57.52 17.5% 5.0% 14.7% 0.0% 17.7% 3.0% -0.5% 685.3K -19.1M -62.2K 0.84 16.63 N/A N/A 385 323 5,576 4,893 2007-01-31 $59.01 $57.52 17.5% 5.0% 14.4% 0.0% 16.4% 2.8% -1.2% 673.3K -19.4M -63.0K 1.25 19.87 N/A N/A 165 207 5,663 5,027
« Dec 2006 | All History | Feb 2007 » Home BDX History January 2007