BDX Options History — June 2007

In June 2007, BDX traded between $56.49 and $58.48. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.4% (HV 20d: 12.0%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-06-27: Highest Volume — 1,063 contracts
  • 2007-06-14: Largest IV spike — 8.3% change
  • 2007-06-08: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.50$56.49$58.48$58.31$57.14
Max Pain$61.18$57.52$61.36$57.52$61.36
ATM IV16.4%15.2%17.5%17.1%16.0%
Expected Move4.8%4.6%5.0%4.9%4.6%
HV 20d12.0%10.4%13.7%11.0%13.7%
HV 60d12.3%11.8%12.8%12.2%12.2%
Term Structure1.4%-0.2%2.5%-0.2%2.1%
VWIV16.3%8.8%18.4%16.7%16.0%
Skew 25d3.7%1.3%7.6%7.6%3.4%
Skew 10d6.4%2.0%13.2%12.9%6.0%
Call IV 25d16.0%11.8%18.2%11.8%16.5%
Put IV 25d19.7%15.0%22.1%19.4%19.9%
Bid-Ask Spread %18.709.7532.939.7520.71
Gamma HHI0.450.320.650.420.32
Net GEX-427.0K-953.8K-40.8K-388.9K-336.9K
Net DEX3.7M-3.0M7.9M2.8M5.2M
Net VEX-75.7K-78.9K-72.5K-76.9K-78.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.006.091.410.61
Total Volume329.762401,06312893
Total OI10,333.6677,74612,46311,5049,597

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$58.31$57.5217.1%4.9%11.0%0.0%16.7%7.6%-0.2%-388.9K2.8M-76.9K1.419.75N/AN/A53755,7415,763
2007-06-04$58.36$61.3617.5%4.8%10.9%0.0%8.8%1.9%0.4%-482.4K2.7M-73.7K1.0017.00N/AN/A84845,7235,785
2007-06-05$57.94$61.3616.1%4.8%11.0%0.0%16.6%6.7%0.8%-673.2K4.3M-72.5K0.8714.99N/AN/A3963465,7695,865
2007-06-06$57.35$61.3616.2%4.9%11.3%0.0%17.0%1.3%0.6%-841.1K7.7M-75.5K1.2711.17N/AN/A1081375,7146,187
2007-06-07$57.12$61.3616.6%4.9%11.1%0.0%17.8%7.2%0.7%-818.9K6.8M-74.2K1.7614.23N/AN/A3225675,7695,882
2007-06-08$57.82$61.3616.6%5.0%11.0%0.0%18.4%7.6%0.9%-680.0K3.5M-78.9K1.5815.16N/AN/A3054825,9755,969
2007-06-11$57.52$61.3617.1%4.9%11.0%0.0%17.1%3.1%0.8%-863.6K4.3M-78.1K0.8717.10N/AN/A69606,1166,113
2007-06-12$57.09$61.3615.9%4.9%10.9%0.0%16.9%3.4%1.0%-953.8K6.2M-76.4K2.4812.74N/AN/A671686,1646,139
2007-06-13$57.01$61.3615.2%4.9%10.4%0.0%18.2%2.9%0.7%-878.3K7.9M-75.0K2.1018.45N/AN/A531126,1926,090
2007-06-14$58.37$61.3616.5%4.7%13.5%0.0%16.1%2.6%1.8%-591.5K-1.0M-77.9K0.2718.73N/AN/A317856,2126,120
2007-06-15$58.48$61.3616.7%4.8%12.4%0.0%16.5%2.6%1.3%-158.5K-3.0M-76.7K0.2928.83N/AN/A296856,3006,163
2007-06-18$57.82$61.3617.0%4.9%12.8%0.0%16.1%2.8%1.8%-44.4K1.3M-74.2K0.2518.64N/AN/A120313,9533,793
2007-06-19$57.78$61.3616.3%4.7%12.3%0.0%16.3%3.0%2.4%-40.8K1.4M-73.9K3.4622.21N/AN/A652254,0003,819
2007-06-20$57.49$61.3616.2%4.7%12.4%0.0%16.4%2.7%2.1%-136.5K2.5M-75.3K0.0522.04N/AN/A266134,0224,012
2007-06-21$57.55$61.3616.3%4.7%12.4%0.0%15.9%2.8%1.9%-89.5K2.2M-76.9K0.5832.93N/AN/A123714,2474,025
2007-06-22$57.67$61.3616.0%4.6%12.4%0.0%16.0%2.9%2.2%-96.2K1.8M-77.1K0.0029.57N/AN/A14204,2754,070
2007-06-25$56.93$61.3616.6%4.8%13.1%0.0%17.4%2.9%1.9%-114.7K3.5M-73.5K2.7919.04N/AN/A882444,3904,070
2007-06-26$56.68$61.3616.8%4.8%13.0%0.0%0.0%2.6%1.1%-207.0K5.1M-74.2K0.3816.09N/AN/A51194,3864,301
2007-06-27$56.49$61.3616.5%4.7%13.0%0.0%16.6%3.7%1.8%-210.1K5.9M-72.7K6.0913.95N/AN/A1509134,4234,301
2007-06-28$56.54$61.3616.1%4.6%13.0%0.0%16.1%3.7%2.5%-360.9K6.3M-78.0K0.5019.43N/AN/A27134,4675,105
2007-06-29$57.14$61.3616.0%4.6%13.7%0.0%16.0%3.4%2.1%-336.9K5.2M-78.2K0.6120.71N/AN/A57364,4805,117