BDX Options History — September 2007

In September 2007, BDX traded between $58.58 and $63.36. ATM implied volatility averaged 18.6%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.1% (HV 20d: 15.5%). Max pain ranged from $61.36 to $61.36. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2007-09-21: Highest Volume — 1,294 contracts
  • 2007-09-26: Largest IV drop — 12.8% change
  • 2007-09-05: Highest IV Rank — 70.8%
  • 2007-09-05: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.93$58.58$63.36$59.07$62.93
Max Pain$61.36$61.36$61.36$61.36$61.36
ATM IV18.6%16.1%21.4%20.5%17.0%
Expected Move5.3%4.6%6.1%5.9%4.9%
HV 20d15.5%10.2%24.4%24.2%13.6%
HV 60d20.6%20.2%21.0%20.6%21.0%
IV Rank53.5%38.2%70.8%65.1%44.0%
IV Percentile73.5%35.3%93.5%89.9%57.5%
Term Structure0.9%-0.5%2.6%0.6%2.6%
VWIV18.4%16.0%21.4%20.3%17.7%
Skew 25d2.5%-3.7%5.3%1.9%3.1%
Skew 10d5.2%-3.5%10.1%7.9%5.4%
Call IV 25d17.5%15.9%19.7%19.4%16.5%
Put IV 25d20.0%14.5%23.0%21.3%19.6%
Bid-Ask Spread %27.7214.9546.7725.6721.62
Gamma HHI0.500.400.750.410.45
Net GEX951.4K190.7K2.7M230.5K809.0K
Net DEX-11.5M-29.0M-1.3M-3.1M-14.5M
Net VEX-71.1K-78.3K-64.0K-78.3K-76.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.047.174.297.17
Total Volume491.895501,294242319
Total OI10,889.3166,97612,76611,7748,479

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$59.07$61.3620.5%5.9%24.2%65.1%20.3%1.9%0.6%230.5K-3.1M-78.3K4.2925.67N/AN/A461966,8414,933
2007-09-05$58.58$61.3621.4%6.1%24.3%70.8%21.4%5.3%-0.3%190.7K-1.3M-75.8K0.3319.95N/AN/A43146,7154,767
2007-09-06$59.10$61.3620.1%5.8%24.4%63.0%20.2%2.0%0.8%356.4K-3.7M-75.9K0.8428.30N/AN/A1591346,7104,767
2007-09-07$58.88$61.3619.2%6.0%19.5%57.3%17.7%4.9%-0.1%357.4K-3.7M-74.1K0.8117.12N/AN/A28226,8064,764
2007-09-10$59.09$61.3620.8%6.1%14.9%67.2%21.1%0.7%-0.5%341.3K-3.4M-71.1K0.0846.77N/AN/A6556,8124,753
2007-09-11$59.60$61.3618.9%5.0%14.9%55.2%18.0%2.1%1.4%575.2K-5.8M-71.7K0.6440.47N/AN/A146946,7844,748
2007-09-12$60.40$61.3619.2%5.5%14.0%57.5%17.6%2.4%0.5%908.3K-10.0M-72.3K0.0430.95N/AN/A696286,7844,762
2007-09-13$60.45$61.3618.1%5.2%13.1%50.6%18.6%-3.7%1.4%1.1M-10.7M-70.9K0.2436.44N/AN/A200477,2414,776
2007-09-14$60.44$61.3619.0%5.4%13.1%55.9%20.4%-3.0%0.7%1.2M-10.5M-69.7K0.1525.82N/AN/A223347,3094,762
2007-09-17$60.24$61.3618.3%5.2%10.2%51.5%18.3%4.1%0.8%1.2M-9.0M-67.5K0.4333.28N/AN/A60277,4504,762
2007-09-18$60.78$61.3616.9%4.8%10.5%43.1%16.6%3.6%1.4%1.6M-11.9M-65.3K0.4041.57N/AN/A7012807,4694,780
2007-09-19$62.17$61.3617.7%5.1%12.8%48.2%17.2%4.5%0.4%2.3M-24.3M-64.4K0.5428.22N/AN/A7383977,7394,957
2007-09-20$61.80$61.3618.2%5.2%13.1%51.4%18.2%3.8%0.1%2.7M-22.8M-65.7K0.3127.32N/AN/A5931847,7074,837
2007-09-21$62.79$61.3617.5%5.0%13.9%46.7%16.0%3.5%0.7%1.0M-29.0M-64.0K0.1227.14N/AN/A1,1501447,8574,909
2007-09-24$62.23$61.3617.9%5.1%14.5%49.2%17.4%2.6%1.4%771.3K-12.7M-67.0K0.7018.08N/AN/A4152904,8172,159
2007-09-25$62.88$61.3618.5%5.3%14.7%52.8%18.1%3.5%1.0%875.6K-14.3M-70.7K2.0727.33N/AN/A3186595,1222,380
2007-09-26$63.36$61.3616.1%4.6%14.0%38.2%16.7%3.2%2.4%746.9K-14.5M-74.0K0.0414.95N/AN/A686275,1012,942
2007-09-27$62.93$61.3617.7%5.1%14.5%48.0%17.7%3.1%1.6%787.6K-14.2M-76.3K0.4115.73N/AN/A126525,4652,931
2007-09-28$62.93$61.3617.0%4.9%13.6%44.0%0.0%3.1%2.6%809.0K-14.5M-76.0K7.1721.62N/AN/A392805,5222,957