BDX Options History — May 2007

In May 2007, BDX traded between $58.48 and $62.03. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.7% (HV 20d: 13.0%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2007-05-22: Highest Volume — 1,287 contracts
  • 2007-05-17: Largest IV spike — 18.4% change
  • 2007-05-29: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.95$58.48$62.03$61.08$58.48
Max Pain$58.05$57.52$61.36$61.36$57.52
ATM IV15.8%14.2%17.6%14.7%17.4%
Expected Move4.6%4.1%5.0%4.2%5.0%
HV 20d13.0%11.0%15.0%11.0%11.0%
HV 60d13.6%12.2%14.7%13.2%12.2%
Term Structure0.4%-1.4%1.7%0.3%-0.2%
VWIV15.7%11.2%17.0%14.6%17.0%
Skew 25d2.8%0.9%5.2%2.9%5.2%
Skew 10d3.2%-0.7%9.9%5.8%5.2%
Call IV 25d14.1%11.0%15.5%14.0%11.0%
Put IV 25d16.9%16.2%17.5%16.9%16.2%
Bid-Ask Spread %13.237.4123.9623.969.42
Gamma HHI0.400.340.510.450.39
Net GEX511.3K-258.8K1.1M879.7K-258.8K
Net DEX-6.8M-17.7M1.9M-12.5M1.9M
Net VEX-72.9K-79.7K-66.3K-70.6K-77.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.004.000.620.98
Total Volume401.364511,287460171
Total OI10,923.3189,09911,54710,38311,357

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$61.08$61.3614.7%4.2%11.0%0.0%14.6%2.9%0.3%879.7K-12.5M-70.6K0.6223.96N/AN/A2841765,5654,818
2007-05-02$62.03$61.3615.4%4.4%11.4%0.0%16.1%3.2%-0.1%983.1K-17.7M-67.8K0.837.42N/AN/A3012515,7204,982
2007-05-03$61.61$61.3614.7%4.2%11.7%0.0%15.7%3.4%0.7%959.0K-16.3M-71.4K2.087.41N/AN/A2575345,8635,101
2007-05-04$61.19$57.5214.2%4.4%11.8%0.0%15.1%2.4%0.6%775.5K-12.6M-77.2K1.1214.35N/AN/A1401565,8025,445
2007-05-07$61.18$57.5215.0%4.5%11.5%0.0%14.8%2.8%0.5%796.4K-12.6M-75.2K0.5311.45N/AN/A2161145,8265,470
2007-05-08$60.81$57.5214.7%4.4%11.8%0.0%16.0%3.0%-0.1%795.3K-10.9M-74.1K0.4321.46N/AN/A3371455,7385,409
2007-05-09$60.94$57.5214.7%4.4%11.7%0.0%16.0%3.0%0.6%850.6K-11.7M-73.6K0.0022.89N/AN/A5105,7695,438
2007-05-10$59.88$57.5215.2%4.3%13.4%0.0%16.0%1.9%0.5%599.2K-6.3M-72.6K0.2920.28N/AN/A4351255,7935,429
2007-05-11$60.04$57.5215.1%4.3%13.4%0.0%15.5%4.3%1.0%632.6K-6.0M-71.6K0.369.59N/AN/A206745,9615,473
2007-05-14$59.51$57.5214.4%4.1%13.6%0.0%16.2%3.0%1.3%418.0K-3.7M-71.0K0.6913.59N/AN/A1841276,0085,459
2007-05-15$59.86$57.5214.6%4.2%13.7%0.0%15.2%3.8%1.3%636.3K-5.9M-70.8K0.2011.56N/AN/A193386,0835,425
2007-05-16$60.36$57.5214.5%4.2%13.8%0.0%16.9%4.6%1.7%1.1M-8.5M-69.5K0.1210.05N/AN/A106136,1305,321
2007-05-17$59.40$57.5217.2%4.9%15.0%0.0%16.8%2.1%-0.0%396.8K-4.9M-67.7K0.419.04N/AN/A164676,2145,333
2007-05-18$59.66$57.5214.8%4.2%14.3%0.0%16.0%2.4%1.4%447.6K-5.4M-66.3K0.3510.42N/AN/A162566,1625,355
2007-05-21$59.04$57.5217.2%4.9%14.5%0.0%16.0%2.0%-0.5%284.5K-3.5M-66.5K0.3411.94N/AN/A289994,8724,227
2007-05-22$58.99$57.5217.6%5.0%14.5%0.0%16.8%0.9%-1.4%291.1K-3.5M-67.9K2.8313.43N/AN/A3369515,0654,266
2007-05-23$59.09$57.5217.1%4.9%14.3%0.0%11.2%2.4%-0.2%234.8K-3.0M-79.7K0.6210.36N/AN/A2721695,2514,968
2007-05-24$59.18$57.5217.2%4.9%14.1%0.0%15.2%1.7%-0.2%254.3K-2.9M-79.3K3.1213.62N/AN/A993095,5195,047
2007-05-25$59.16$57.5216.7%4.8%13.6%0.0%16.7%3.4%1.4%312.8K-3.3M-79.2K4.009.31N/AN/A562245,6015,013
2007-05-29$58.74$57.5217.6%5.0%13.8%0.0%14.3%2.2%-0.0%81.5K-1.5M-76.2K3.9920.82N/AN/A1355365,6245,158
2007-05-30$58.63$57.5217.2%4.9%12.8%0.0%16.9%1.0%0.2%-175.2K1.3M-78.0K1.758.73N/AN/A991735,6655,588
2007-05-31$58.48$57.5217.4%5.0%11.0%0.0%17.0%5.2%-0.2%-258.8K1.9M-77.6K0.989.42N/AN/A86855,6725,685