BDX Options History — August 2007

In August 2007, BDX traded between $57.44 and $60.57. ATM implied volatility averaged 21.3%, placing in the 75.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 6.5% (HV 20d: 27.9%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-08-09: Highest Volume — 1,826 contracts
  • 2007-08-13: Largest IV spike — 44.7% change
  • 2007-08-06: Highest IV Rank — 100.0%
  • 2007-08-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.08$57.44$60.57$60.57$59.01
Max Pain$58.19$57.52$61.36$57.52$61.36
ATM IV21.3%17.1%26.2%18.7%20.4%
Expected Move6.1%5.3%7.0%5.4%5.9%
HV 20d27.9%20.5%31.9%20.5%24.8%
HV 60d19.3%15.7%20.8%15.7%20.8%
IV Rank75.2%50.8%100.0%74.2%64.8%
IV Percentile91.7%70.5%100.0%89.0%89.8%
Term Structure-0.2%-1.5%1.1%-0.3%-0.4%
VWIV20.8%17.1%22.7%19.3%21.5%
Skew 25d2.9%1.6%5.8%3.1%1.7%
Skew 10d6.4%3.3%14.9%5.3%7.5%
Call IV 25d19.7%17.5%21.8%17.7%18.8%
Put IV 25d22.6%20.1%27.1%20.8%20.5%
Bid-Ask Spread %26.7614.5648.6040.8924.47
Gamma HHI0.380.340.410.360.39
Net GEX276.7K-207.5K503.6K503.6K240.2K
Net DEX-5.4M-13.4M4.3M-13.4M-3.4M
Net VEX-90.3K-99.4K-82.1K-91.0K-82.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.002.630.420.84
Total Volume441561,826230217
Total OI12,256.21710,92614,19512,03411,643

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$60.57$57.5218.7%5.4%20.5%74.2%19.3%3.1%-0.3%503.6K-13.4M-91.0K0.4240.89N/AN/A163676,5055,529
2007-08-02$60.19$57.5218.9%5.4%20.7%75.7%20.7%2.0%-0.3%489.6K-12.0M-90.2K1.1821.78N/AN/A51606,5465,519
2007-08-03$58.44$57.5221.4%6.1%23.5%96.8%21.2%2.8%-1.1%160.4K-3.4M-90.2K1.2721.78N/AN/A3554506,5465,545
2007-08-06$59.30$57.5224.0%6.1%24.0%100.0%20.7%2.9%-0.7%319.0K-7.0M-90.0K0.4728.37N/AN/A112526,7445,673
2007-08-07$59.52$57.5217.1%5.5%23.2%50.8%19.7%2.2%-0.2%382.7K-8.6M-88.3K0.3621.60N/AN/A126466,7435,699
2007-08-08$59.96$57.5218.2%5.3%23.2%59.0%20.0%4.2%0.2%502.7K-10.7M-87.5K0.5222.54N/AN/A153806,7635,705
2007-08-09$57.59$57.5224.1%6.5%27.4%100.0%22.6%3.4%-0.6%2.1K1.0M-86.1K0.6621.16N/AN/A1,1027246,7635,697
2007-08-10$59.63$57.5218.1%5.9%30.1%57.4%22.1%3.3%0.2%432.1K-11.3M-98.7K0.5223.79N/AN/A8734527,2726,087
2007-08-13$59.13$57.5226.2%6.8%30.0%100.0%22.1%3.1%-1.1%289.1K-7.5M-99.4K1.6733.90N/AN/A1722877,4086,341
2007-08-14$58.09$57.5224.5%6.6%30.8%89.9%17.1%3.5%-0.5%-33.1K-1.5M-97.7K0.6628.49N/AN/A1741147,4146,614
2007-08-15$57.44$57.5223.4%6.6%30.8%83.0%22.6%3.2%-0.1%-207.5K4.3M-93.9K1.1522.43N/AN/A5756607,4826,589
2007-08-16$57.52$57.5224.1%6.9%30.7%87.7%21.6%5.8%-1.3%-123.5K503.3K-94.7K0.4235.27N/AN/A3841637,7436,452
2007-08-17$58.97$57.5224.2%7.0%31.8%88.3%22.7%5.8%-0.6%281.0K-7.1M-94.2K0.4748.60N/AN/A4942337,5866,405
2007-08-20$59.27$57.5223.4%6.7%31.8%83.1%22.7%2.9%-1.5%382.7K-5.9M-93.5K2.2022.97N/AN/A39866,3564,570
2007-08-21$59.10$57.5221.9%6.3%31.9%73.9%21.3%1.6%0.2%325.9K-4.8M-92.1K0.4625.51N/AN/A216996,3734,643
2007-08-22$59.02$57.5221.9%6.3%31.3%74.0%20.4%2.7%-0.8%301.0K-3.7M-90.1K0.0128.09N/AN/A20016,4124,673
2007-08-23$59.10$57.5220.4%5.9%30.7%64.8%20.9%2.2%1.1%327.6K-4.5M-88.9K0.8714.56N/AN/A71626,4644,657
2007-08-24$59.43$57.5221.0%6.0%30.7%68.4%21.1%2.8%0.6%368.7K-5.1M-89.6K0.3018.34N/AN/A43136,4974,714
2007-08-27$59.89$57.5218.6%5.3%30.2%53.8%19.9%1.8%0.1%502.5K-7.8M-86.4K2.6322.53N/AN/A461206,4964,723
2007-08-28$59.29$61.3620.8%6.0%29.4%67.3%20.0%1.7%0.7%334.6K-5.3M-85.7K0.4727.21N/AN/A2301086,5094,775
2007-08-29$59.48$61.3618.6%5.3%26.7%53.5%19.9%2.3%-0.1%372.6K-5.1M-85.1K0.7230.90N/AN/A1861346,6644,803
2007-08-30$58.82$61.3620.3%5.8%26.9%64.1%19.0%2.2%0.4%208.9K-2.7M-82.1K0.0030.24N/AN/A15006,6884,863
2007-08-31$59.01$61.3620.4%5.9%24.8%64.8%21.5%1.7%-0.4%240.2K-3.4M-82.3K0.8424.47N/AN/A118996,7804,863