BDX Options History — April 2007

In April 2007, BDX traded between $59.75 and $60.63. ATM implied volatility averaged 14.6%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.2% (HV 20d: 11.4%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-04-24: Highest Volume — 1,354 contracts
  • 2007-04-12: Largest IV spike — 43.0% change
  • 2007-04-24: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.13$59.75$60.63$59.75$60.35
Max Pain$58.67$57.52$61.36$57.52$61.36
ATM IV14.6%10.9%18.0%12.6%14.6%
Expected Move4.4%3.6%5.2%3.6%4.2%
HV 20d11.4%10.2%12.9%12.3%11.1%
HV 60d14.1%12.9%14.6%14.4%13.0%
Term Structure0.1%-1.9%3.1%3.0%0.3%
VWIV15.8%12.1%19.1%12.9%14.6%
Skew 25d2.5%2.1%3.1%2.5%2.6%
Skew 10d4.8%4.0%6.0%4.7%5.7%
Call IV 25d14.8%13.9%15.4%14.1%14.4%
Put IV 25d17.3%16.5%18.5%16.5%17.0%
Bid-Ask Spread %19.859.8029.5525.1121.10
Gamma HHI0.520.370.690.630.44
Net GEX854.7K451.4K1.3M733.8K737.1K
Net DEX-10.1M-13.3M-6.2M-9.7M-9.0M
Net VEX-71.5K-74.6K-66.8K-68.1K-72.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.111.470.110.12
Total Volume433.6491,354347325
Total OI9,736.18,15910,3798,15910,361

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$59.75$57.5212.6%3.6%12.3%0.0%12.9%2.5%3.0%733.8K-9.7M-68.1K0.1125.11N/AN/A313344,4703,689
2007-04-03$60.51$57.5212.7%3.6%12.7%0.0%12.9%2.5%3.1%1.0M-13.1M-66.8K0.4527.67N/AN/A9354184,6853,737
2007-04-04$60.52$57.5212.9%3.7%12.5%0.0%13.2%2.5%2.9%1.1M-13.3M-71.6K0.9327.49N/AN/A2252105,1334,013
2007-04-05$60.15$57.5212.9%3.7%12.6%0.0%12.1%2.2%3.1%1.1M-11.8M-74.3K0.5129.55N/AN/A4822475,2854,140
2007-04-09$59.75$57.5211.7%4.7%12.9%0.0%18.0%2.4%-0.6%850.3K-9.3M-74.6K0.4224.18N/AN/A69295,4164,332
2007-04-10$59.77$57.5210.9%4.6%12.6%0.0%18.4%2.4%-0.7%904.0K-9.6M-73.8K0.7328.35N/AN/A29205,4814,360
2007-04-11$60.03$57.5211.1%4.6%11.0%0.0%16.0%2.3%-0.6%1.0M-10.5M-73.1K0.6526.89N/AN/A85555,5004,372
2007-04-12$60.18$57.5215.9%4.5%10.2%0.0%15.9%2.5%-0.4%1.1M-10.8M-72.4K0.1523.95N/AN/A328505,5454,350
2007-04-13$60.04$57.5215.8%4.5%10.3%0.0%16.6%2.5%-0.4%1.0M-10.4M-73.1K1.4625.34N/AN/A46665,7754,390
2007-04-16$60.40$57.5216.1%4.6%10.2%0.0%16.5%2.6%-0.3%1.3M-12.0M-71.3K1.0012.72N/AN/A52525,7844,443
2007-04-17$60.29$57.5216.4%4.7%10.3%0.0%16.6%2.5%-0.7%1.3M-11.6M-70.3K0.239.80N/AN/A247575,7844,455
2007-04-18$59.86$57.5216.1%4.6%10.8%0.0%16.6%2.3%-0.8%638.0K-9.2M-69.2K0.4824.89N/AN/A113555,8364,441
2007-04-19$59.84$57.5216.4%4.7%10.3%0.0%16.4%2.4%-0.8%516.5K-9.4M-69.2K0.3611.39N/AN/A232845,8514,400
2007-04-20$60.63$57.5216.5%4.7%11.1%0.0%16.5%2.9%-1.1%956.0K-12.7M-68.0K1.1711.47N/AN/A2242635,9684,411
2007-04-23$60.20$61.3617.0%4.9%11.2%0.0%17.1%2.6%-1.3%455.6K-7.7M-69.2K0.9612.94N/AN/A2001924,7454,180
2007-04-24$59.91$61.3618.0%5.2%11.4%0.0%19.1%3.1%-1.9%451.4K-7.1M-70.8K1.4710.05N/AN/A5488064,8974,201
2007-04-25$60.23$61.3615.2%4.3%11.4%0.0%15.5%2.1%-0.0%674.2K-9.0M-74.1K0.6215.63N/AN/A5023105,3464,682
2007-04-26$59.76$61.3614.6%4.2%11.9%0.0%15.3%2.6%-0.0%540.3K-6.2M-73.6K0.6212.40N/AN/A2101315,4264,696
2007-04-27$60.33$61.3614.8%4.2%11.6%0.0%14.9%2.9%0.1%649.8K-8.8M-73.7K0.3915.99N/AN/A3081205,3914,751
2007-04-30$60.35$61.3614.6%4.2%11.1%0.0%14.6%2.6%0.3%737.1K-9.0M-72.9K0.1221.10N/AN/A289365,5644,797