BDX Options History — October 2007

In October 2007, BDX traded between $62.45 and $64.68. ATM implied volatility averaged 19.5%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.8% (HV 20d: 14.7%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.30.

Notable Days

  • 2007-10-26: Highest Volume — 1,312 contracts
  • 2007-10-11: Largest IV spike — 31.9% change
  • 2007-10-31: Highest IV Rank — 93.5%
  • 2007-10-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.64$62.45$64.68$63.48$64.01
Max Pain$64.03$61.36$65.19$61.36$65.19
ATM IV19.5%13.4%25.1%14.9%25.1%
Expected Move5.8%4.3%7.2%4.3%7.2%
HV 20d14.7%11.9%17.5%13.7%17.1%
HV 60d20.5%18.8%21.3%21.0%18.8%
IV Rank59.1%21.4%93.5%30.6%93.5%
IV Percentile68.8%7.3%99.5%20.3%99.5%
Term Structure-1.4%-5.3%3.3%3.3%-5.3%
VWIV21.0%15.3%26.5%15.7%26.5%
Skew 25d3.1%1.7%4.6%2.6%4.4%
Skew 10d5.3%3.8%6.9%4.9%6.5%
Call IV 25d17.5%16.3%20.2%16.8%19.2%
Put IV 25d20.6%18.5%23.9%19.4%23.5%
Bid-Ask Spread %29.1216.7547.6518.1134.08
Gamma HHI0.420.300.570.460.36
Net GEX806.3K432.6K1.4M886.5K500.0K
Net DEX-15.7M-18.9M-10.1M-15.9M-16.6M
Net VEX-79.2K-93.4K-69.9K-73.6K-92.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.007.501.961.66
Total Volume372.957221,312217728
Total OI9,579.3918,41411,3408,57511,340

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$63.48$61.3614.9%4.3%13.7%30.6%15.7%2.6%3.3%886.5K-15.9M-73.6K1.9618.11N/AN/A731445,5123,063
2007-10-02$63.55$61.3615.3%4.4%13.7%33.1%16.4%2.4%3.2%850.3K-15.5M-72.5K1.1118.81N/AN/A1171315,5102,904
2007-10-03$62.99$61.3617.1%4.9%13.8%44.3%15.3%2.4%2.9%759.1K-13.7M-74.2K0.3824.28N/AN/A3511345,5783,026
2007-10-04$63.12$61.3617.4%5.0%13.6%46.0%0.0%2.6%2.7%803.5K-14.0M-75.2K2.5023.16N/AN/A521315,7583,132
2007-10-05$63.90$65.1913.4%5.1%13.7%21.4%17.7%2.2%-1.3%997.7K-17.4M-72.5K0.9225.58N/AN/A1681555,7993,228
2007-10-08$63.84$65.1914.1%5.3%13.8%25.8%20.3%2.6%-1.6%1.0M-17.1M-71.2K0.0025.25N/AN/A2805,8633,254
2007-10-09$64.13$65.1914.1%5.3%13.7%25.8%0.0%2.2%-1.2%1.1M-17.6M-70.8K7.5031.81N/AN/A3195,8693,254
2007-10-10$64.18$65.1914.1%5.5%13.3%25.8%19.2%2.8%-2.6%1.1M-18.3M-69.9K0.8430.92N/AN/A3893265,8653,261
2007-10-11$63.98$65.1918.6%5.3%13.4%53.4%18.6%1.7%-1.5%1.1M-17.4M-77.4K0.0738.64N/AN/A357276,0623,587
2007-10-12$64.20$65.1918.5%5.3%13.4%53.1%0.0%3.1%-1.1%1.2M-18.8M-80.0K0.0022.43N/AN/A8306,3633,601
2007-10-15$63.46$65.1919.4%5.6%14.2%58.4%21.9%3.5%-1.2%903.1K-15.9M-81.8K0.2729.32N/AN/A121336,3733,601
2007-10-16$63.30$65.1920.1%5.8%14.1%62.8%20.1%3.0%-2.7%684.5K-14.9M-79.3K0.0728.63N/AN/A5746,4013,600
2007-10-17$63.12$65.1922.3%6.4%11.9%76.0%19.8%3.1%-2.8%539.2K-13.9M-79.1K0.2128.91N/AN/A156336,3593,604
2007-10-18$64.42$65.1920.5%5.9%13.5%65.1%20.7%2.5%-2.3%1.4M-18.7M-77.2K0.0132.43N/AN/A36436,4113,604
2007-10-19$62.69$65.1922.4%6.4%16.1%76.6%21.8%2.9%-2.3%559.8K-13.1M-80.1K0.4338.95N/AN/A2561096,6313,606
2007-10-22$62.45$65.1924.2%6.9%15.8%88.2%23.6%3.9%-4.0%606.1K-10.1M-77.2K1.3721.13N/AN/A2533475,6313,167
2007-10-23$62.72$61.3622.7%6.5%15.4%78.8%22.0%3.9%-3.1%588.1K-10.8M-78.6K0.4324.08N/AN/A197855,7513,324
2007-10-24$62.67$61.3623.1%6.6%15.1%80.9%22.5%4.0%-2.2%597.6K-11.4M-81.5K1.2221.75N/AN/A2713295,9113,345
2007-10-25$64.12$61.3621.0%6.0%17.0%68.4%21.9%3.7%-2.0%681.7K-17.1M-88.1K0.5341.64N/AN/A3661966,1623,596
2007-10-26$64.68$65.1922.6%6.5%17.3%77.9%25.1%3.5%-2.6%684.7K-18.8M-89.1K3.6116.75N/AN/A2841,0286,3553,735
2007-10-29$64.61$65.1923.9%6.9%17.1%86.1%26.2%4.6%-2.6%672.3K-18.9M-86.4K4.7047.65N/AN/A653076,3553,735
2007-10-30$64.00$65.1924.1%6.9%17.5%87.5%24.2%3.7%-2.7%432.6K-16.1M-93.4K0.0045.52N/AN/A29806,5414,699
2007-10-31$64.01$65.1925.1%7.2%17.1%93.5%26.5%4.4%-5.3%500.0K-16.6M-92.9K1.6634.08N/AN/A2734556,6414,699