BDX Options History — February 2007 In February 2007, BDX traded between $57.36 and $59.93. ATM implied volatility averaged 15.2%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.4% (HV 20d: 13.8%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.50.
Notable Days 2007-02-27 : Highest Volume — 910 contracts2007-02-26 : Largest IV spike — 64.9% change2007-02-05 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $59.23 $57.36 $59.93 $59.37 $58.25 Max Pain $53.89 $53.69 $57.52 $57.52 $53.69 ATM IV 15.2% 9.9% 17.4% 17.0% 16.2% Expected Move 4.4% 2.8% 4.9% 4.9% 4.6% HV 20d 13.8% 12.1% 17.1% 14.0% 14.7% Term Structure 0.7% -0.6% 2.2% -0.6% 0.2% VWIV 14.8% 12.2% 16.7% 16.5% 14.8% Skew 25d 3.0% 1.7% 7.1% 2.6% 7.1% Skew 10d 3.7% -0.6% 11.9% 4.9% 11.9% Call IV 25d 13.6% 11.3% 14.5% 14.3% 11.3% Put IV 25d 16.6% 15.0% 19.2% 16.9% 18.4% Bid-Ask Spread % 13.03 7.11 21.24 21.24 7.11 Gamma HHI 0.42 0.36 0.48 0.39 0.36 Net GEX 780.4K 485.9K 894.5K 692.8K 485.9K Net DEX -18.7M -23.8M -8.6M -21.0M -10.9M Net VEX -56.2K -61.3K -51.6K -60.2K -56.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 1.75 1.01 0.21 Total Volume 296.947 61 910 519 445 Total OI 10,544.211 9,459 11,463 10,743 10,293
Daily Data (19 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 2007-02-01 $59.37 $57.52 17.0% 4.9% 14.0% 0.0% 16.5% 2.6% -0.6% 692.8K -21.0M -60.2K 1.01 21.24 N/A N/A 258 261 5,691 5,052 2007-02-02 $59.16 $53.69 16.5% 4.7% 13.5% 0.0% 13.2% 3.0% 1.4% 710.2K -20.0M -60.8K 0.17 12.94 N/A N/A 107 18 5,654 4,960 2007-02-05 $59.33 $53.69 17.4% 4.9% 13.5% 0.0% 15.9% 3.2% 0.5% 741.4K -19.9M -61.3K 0.84 12.87 N/A N/A 33 28 5,725 4,960 2007-02-06 $59.54 $53.69 11.0% 4.0% 13.5% 0.0% 15.8% 3.0% 1.8% 756.0K -20.8M -59.0K 0.68 17.48 N/A N/A 134 90 5,753 4,988 2007-02-07 $59.79 $53.69 10.9% 4.1% 13.3% 0.0% 14.3% 2.5% 1.5% 774.1K -22.5M -56.9K 0.76 17.65 N/A N/A 113 86 5,812 4,996 2007-02-08 $59.93 $53.69 13.9% 4.0% 13.3% 0.0% 14.3% 2.6% 1.9% 790.8K -22.8M -55.7K 0.66 7.45 N/A N/A 230 153 5,861 5,056 2007-02-09 $59.44 $53.69 16.2% 4.6% 13.9% 0.0% 14.4% 2.7% 0.9% 853.9K -21.1M -57.9K 0.43 12.79 N/A N/A 90 39 6,013 5,139 2007-02-12 $58.90 $53.69 16.9% 4.8% 14.4% 0.0% 15.3% 3.0% 0.4% 834.7K -19.4M -59.2K 0.37 18.00 N/A N/A 148 55 6,038 5,131 2007-02-13 $58.91 $53.69 16.7% 4.8% 14.4% 0.0% 15.8% 3.0% 0.4% 827.0K -18.7M -60.0K 0.00 18.57 N/A N/A 155 0 6,092 5,097 2007-02-14 $59.33 $53.69 16.4% 4.7% 14.5% 0.0% 13.5% 2.8% 0.7% 814.1K -22.1M -54.1K 0.57 8.59 N/A N/A 336 191 6,153 5,097 2007-02-15 $59.41 $53.69 16.1% 4.6% 13.7% 0.0% 13.9% 2.6% 0.5% 825.7K -22.3M -53.8K 0.28 10.23 N/A N/A 275 79 6,178 5,068 2007-02-16 $59.77 $53.69 13.2% 3.8% 13.8% 0.0% 13.6% 2.5% 2.2% 894.5K -23.8M -53.8K 0.10 10.48 N/A N/A 387 41 6,342 5,121 2007-02-20 $59.44 $53.69 16.3% 4.7% 13.6% 0.0% 14.2% 2.2% -0.1% 848.1K -16.4M -52.7K 1.35 10.74 N/A N/A 100 136 5,080 4,379 2007-02-21 $59.37 $53.69 16.2% 4.6% 13.6% 0.0% 16.0% 2.3% 0.1% 818.0K -16.1M -53.9K 0.19 11.04 N/A N/A 139 27 5,141 4,505 2007-02-22 $59.40 $53.69 15.7% 4.5% 12.5% 0.0% 15.2% 1.7% 0.1% 861.4K -16.2M -52.7K 0.09 9.01 N/A N/A 71 6 5,205 4,532 2007-02-23 $59.50 $53.69 9.9% 2.8% 12.1% 0.0% 12.2% 2.7% 2.1% 863.5K -16.6M -52.7K 0.00 14.94 N/A N/A 114 0 5,202 4,535 2007-02-26 $59.22 $53.69 16.3% 4.7% 12.3% 0.0% 16.7% 2.0% -0.5% 851.0K -15.6M -51.6K 0.04 14.84 N/A N/A 373 14 5,194 4,535 2007-02-27 $57.36 $53.69 16.1% 4.6% 17.1% 0.0% 16.1% 6.2% 0.2% 585.5K -8.6M -54.7K 1.75 11.57 N/A N/A 331 579 5,213 4,549 2007-02-28 $58.25 $53.69 16.2% 4.6% 14.7% 0.0% 14.8% 7.1% 0.2% 485.9K -10.9M -56.8K 0.21 7.11 N/A N/A 366 79 5,275 5,018
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