BDX Options History — March 2007

In March 2007, BDX traded between $56.36 and $58.97. ATM implied volatility averaged 14.7%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.2% (HV 20d: 15.9%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-03-06: Highest Volume — 1,296 contracts
  • 2007-03-06: Largest IV drop — 12.4% change
  • 2007-03-05: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.55$56.36$58.97$58.15$58.97
Max Pain$57.18$53.69$57.52$53.69$57.52
ATM IV14.7%13.1%17.7%17.0%14.1%
Expected Move4.3%3.8%4.9%4.9%4.0%
HV 20d15.9%12.3%17.8%14.7%12.7%
HV 60d14.8%14.3%15.4%15.0%14.3%
Term Structure1.6%-0.2%3.4%-0.2%3.4%
VWIV15.5%11.8%18.9%16.9%14.0%
Skew 25d3.2%-1.1%7.8%7.2%2.9%
Skew 10d5.5%-0.7%12.4%11.7%5.2%
Call IV 25d14.3%12.0%16.3%12.0%13.8%
Put IV 25d17.6%13.3%20.9%19.3%16.7%
Bid-Ask Spread %21.116.8539.906.8533.37
Gamma HHI0.480.320.640.360.60
Net GEX560.8K257.9K1.3M523.0K533.4K
Net DEX-3.9M-10.3M1.5M-10.3M-7.2M
Net VEX-61.3K-68.8K-53.9K-58.0K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.102.481.450.91
Total Volume387.773901,296377574
Total OI9,057.4095,87311,16110,4997,876

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$58.15$53.6917.0%4.9%14.7%0.0%16.9%7.2%-0.2%523.0K-10.3M-58.0K1.456.85N/AN/A1542235,4445,055
2007-03-02$57.42$53.6916.9%4.9%15.1%0.0%18.1%6.0%0.0%374.5K-7.3M-61.2K0.317.53N/AN/A3711165,5045,214
2007-03-05$56.74$57.5217.7%4.9%15.5%0.0%17.8%4.6%0.0%257.9K-4.5M-59.1K0.1219.03N/AN/A383465,7525,153
2007-03-06$57.16$57.5215.5%4.7%15.8%0.0%16.4%-1.1%0.6%422.1K-6.2M-57.7K0.1418.62N/AN/A1,1401565,8875,145
2007-03-07$56.87$57.5214.9%4.7%15.7%0.0%16.3%-1.0%0.4%465.6K-187.4K-59.3K0.1517.79N/AN/A176275,0055,162
2007-03-08$57.46$57.5213.8%4.5%16.1%0.0%15.1%7.8%0.6%806.6K-4.1M-59.5K1.1622.48N/AN/A1932245,1105,021
2007-03-09$57.52$57.5214.1%4.5%16.1%0.0%15.0%0.4%0.7%853.6K-4.6M-60.4K0.2621.82N/AN/A80205,2325,057
2007-03-12$57.15$57.5214.5%4.5%16.0%0.0%16.2%3.1%0.7%958.3K-2.7M-57.5K0.1821.22N/AN/A394715,2785,068
2007-03-13$56.36$57.5213.6%4.5%16.4%0.0%18.6%3.0%0.7%441.0K1.5M-54.6K1.1010.45N/AN/A1591745,2865,077
2007-03-14$57.18$57.5214.4%4.6%17.4%0.0%18.9%3.1%0.5%1.2M-1.9M-57.5K2.4816.12N/AN/A1202985,3825,144
2007-03-15$57.17$57.5215.6%4.5%17.1%0.0%15.6%3.2%0.9%1.3M-2.3M-56.6K0.1024.30N/AN/A402395,6855,476
2007-03-16$57.06$57.5215.6%4.5%17.1%0.0%15.5%3.4%0.6%1.2M-940.4K-56.5K0.3828.65N/AN/A102395,4145,325
2007-03-19$57.42$57.5215.0%4.3%17.1%0.0%15.1%3.3%2.6%286.7K-2.9M-53.9K1.3336.79N/AN/A3855133,3402,533
2007-03-20$57.62$57.5214.2%4.1%17.2%0.0%14.3%3.6%3.1%283.5K-2.8M-62.0K0.3719.40N/AN/A169623,6263,022
2007-03-21$58.24$57.5214.2%4.1%17.7%0.0%14.2%3.0%2.5%382.8K-4.4M-65.0K0.6439.90N/AN/A144923,7893,085
2007-03-22$58.18$57.5213.1%3.8%17.7%0.0%13.1%3.3%2.9%428.8K-5.0M-65.0K1.2139.69N/AN/A61743,9113,148
2007-03-23$57.81$57.5213.1%3.8%17.8%0.0%11.8%3.2%3.3%342.7K-3.8M-65.0K1.3027.58N/AN/A2523273,9603,213
2007-03-26$57.78$57.5213.5%3.9%17.7%0.0%13.5%3.1%3.1%316.3K-3.5M-67.0K0.107.34N/AN/A168174,1533,429
2007-03-27$57.78$57.5213.4%3.8%13.5%0.0%0.0%2.8%3.0%321.6K-3.7M-66.9K0.869.17N/AN/A2151864,1823,446
2007-03-28$57.65$57.5214.2%4.1%12.3%0.0%14.2%2.7%2.8%269.9K-3.0M-68.8K0.8227.88N/AN/A52434,2783,557
2007-03-29$58.38$57.5214.4%4.1%13.2%0.0%14.2%2.9%2.8%411.7K-5.4M-68.8K0.158.32N/AN/A79114,2853,554
2007-03-30$58.97$57.5214.1%4.0%12.7%0.0%14.0%2.9%3.4%533.4K-7.2M-68.0K0.9133.37N/AN/A3012734,3173,559