BDX Options History — July 2007

In July 2007, BDX traded between $56.94 and $59.84. ATM implied volatility averaged 18.6%, placing in the 86.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.5% (HV 20d: 13.1%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2007-07-25: Highest Volume — 2,200 contracts
  • 2007-07-27: Largest IV spike — 24.9% change
  • 2007-07-24: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.84$56.94$59.84$57.55$58.57
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV18.6%15.6%21.8%16.4%21.8%
Expected Move5.4%4.5%6.2%4.7%6.2%
HV 20d13.1%11.3%16.9%14.0%16.9%
HV 60d12.8%12.2%14.1%12.3%14.1%
IV Rank86.2%56.5%100.0%61.0%100.0%
IV Percentile87.8%40.2%100.0%48.4%100.0%
Term Structure-0.2%-2.3%8.6%1.8%-2.2%
VWIV19.4%15.7%21.3%15.9%20.8%
Skew 25d2.9%1.9%3.9%3.0%2.3%
Skew 10d5.9%4.0%10.4%5.1%4.0%
Call IV 25d17.2%15.8%19.2%16.0%18.9%
Put IV 25d20.1%19.0%21.6%19.0%21.2%
Bid-Ask Spread %22.9715.7138.3125.9238.31
Gamma HHI0.340.300.410.320.34
Net GEX-89.3K-470.6K458.5K-304.8K215.7K
Net DEX139.7K-11.6M5.7M4.0M-4.6M
Net VEX-84.9K-94.1K-75.4K-76.9K-93.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0018.750.030.46
Total Volume602.38182,200949478
Total OI10,832.819,57411,9729,62211,972

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$57.55$57.5216.4%4.7%14.0%0.0%15.9%3.0%1.8%-304.8K4.0M-76.9K0.0325.92N/AN/A920294,5055,117
2007-07-03$57.57$57.5215.7%4.5%13.8%0.0%15.7%2.7%2.6%-154.0K2.0M-87.0K1.4226.33N/AN/A2193105,2665,131
2007-07-05$57.45$57.5216.0%4.6%13.3%61.0%0.0%2.9%2.2%-223.6K2.5M-88.1K0.0027.36N/AN/A805,3885,424
2007-07-06$57.65$57.5215.6%5.1%13.3%56.5%20.9%3.9%-0.2%-198.4K1.7M-87.6K18.7522.00N/AN/A427825,3935,424
2007-07-09$57.86$57.5217.3%5.3%12.6%73.0%18.2%3.9%-0.7%-221.7K970.6K-88.1K0.6219.68N/AN/A2511555,4265,781
2007-07-10$56.96$57.5216.9%5.3%13.7%69.6%20.3%2.9%-0.8%-337.0K4.2M-87.3K7.0022.50N/AN/A5375,5905,879
2007-07-11$57.44$57.5216.8%5.3%13.7%68.7%18.6%3.3%-1.0%-334.5K3.7M-86.7K4.3319.90N/AN/A4175,5935,874
2007-07-12$57.96$57.5218.8%5.4%14.1%88.0%19.7%2.6%-0.9%-113.3K653.8K-83.6K1.1415.71N/AN/A37425,5965,096
2007-07-13$58.36$57.5219.0%5.4%11.5%90.0%19.0%3.0%-0.9%-28.0K-1.6M-84.5K1.8121.96N/AN/A761405,6165,079
2007-07-16$57.78$57.5219.6%5.6%12.0%95.8%18.9%2.7%-1.1%-160.5K656.6K-83.1K0.1119.95N/AN/A172195,6325,141
2007-07-17$57.75$57.5219.6%5.6%11.3%96.5%20.7%3.6%-1.2%-225.7K466.2K-82.2K1.8117.83N/AN/A20385,6765,148
2007-07-18$57.13$57.5219.4%5.6%12.0%94.1%19.4%3.2%-1.5%-368.7K4.2M-78.8K0.0018.93N/AN/A5205,6885,153
2007-07-19$57.36$57.5219.4%5.6%11.9%94.2%21.3%2.8%-1.4%-470.6K3.1M-79.4K4.9424.14N/AN/A432125,7095,153
2007-07-20$56.94$57.5219.7%5.6%12.2%96.9%17.8%2.4%-1.3%-175.1K5.7M-75.4K2.3922.64N/AN/A3297895,7255,200
2007-07-23$57.10$57.5219.9%5.7%12.2%99.2%19.9%2.4%-1.3%-139.1K2.6M-77.8K0.2118.07N/AN/A355744,9434,631
2007-07-24$57.13$57.5220.5%5.9%11.3%100.0%19.6%2.9%-1.8%-110.0K2.4M-80.5K0.1127.12N/AN/A1,3411505,0984,692
2007-07-25$58.14$57.5220.9%6.0%12.7%100.0%20.2%2.1%-2.3%239.3K-2.2M-89.1K0.1425.74N/AN/A1,9352656,0944,795
2007-07-26$59.17$57.5216.7%4.8%13.9%61.9%18.4%3.1%8.6%458.5K-11.6M-85.9K0.5018.57N/AN/A1,3746835,8834,864
2007-07-27$58.85$57.5220.9%6.0%14.1%99.7%20.9%2.4%-0.3%342.8K-6.2M-94.1K10.0731.82N/AN/A717226,3355,168
2007-07-30$59.84$57.5220.1%5.8%14.8%92.2%21.0%1.9%-1.3%432.8K-9.7M-92.7K0.3717.91N/AN/A3321226,3415,270
2007-07-31$58.57$57.5221.8%6.2%16.9%100.0%20.8%2.3%-2.2%215.7K-4.6M-93.9K0.4638.31N/AN/A3281506,5345,438