BDX Options History — November 2007

In November 2007, BDX traded between $61.59 and $65.42. ATM implied volatility averaged 20.7%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.8% (HV 20d: 25.5%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2007-11-01: Highest Volume — 1,476 contracts
  • 2007-11-13: Largest IV drop — 51.3% change
  • 2007-11-12: Highest IV Rank — 95.3%
  • 2007-11-08: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.07$61.59$65.42$61.80$63.45
Max Pain$61.72$61.36$65.19$65.19$61.36
ATM IV20.7%12.4%25.4%21.1%17.4%
Expected Move6.1%5.0%6.8%6.0%5.0%
HV 20d25.5%21.3%29.2%21.3%27.1%
HV 60d19.0%17.6%21.2%20.2%21.2%
IV Rank66.6%15.2%95.3%68.9%46.4%
IV Percentile79.8%2.8%99.5%89.5%56.1%
Term Structure0.6%-1.1%3.3%-0.1%2.2%
VWIV21.0%17.7%24.6%20.6%17.7%
Skew 25d3.5%1.4%5.1%3.3%4.1%
Skew 10d7.4%2.8%13.9%5.8%10.5%
Call IV 25d19.6%17.2%21.5%19.6%17.2%
Put IV 25d23.1%20.6%25.2%22.8%21.3%
Bid-Ask Spread %27.7916.2953.3853.3823.42
Gamma HHI0.410.320.530.320.39
Net GEX790.2K287.3K1.1M287.3K1.1M
Net DEX-12.7M-22.4M-5.4M-7.1M-12.8M
Net VEX-88.9K-97.4K-83.2K-89.2K-94.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.143.361.751.63
Total Volume609.381951,4761,476295
Total OI11,401.4769,97812,13111,22112,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$61.80$65.1921.1%6.0%21.3%68.9%20.6%3.3%-0.1%287.3K-7.1M-89.2K1.7553.38N/AN/A5379396,7594,462
2007-11-02$63.49$65.1919.4%5.6%23.1%58.5%19.6%3.9%-0.3%752.9K-14.7M-87.9K0.4145.07N/AN/A5092106,7853,869
2007-11-05$61.64$61.3621.4%6.1%25.3%71.0%20.0%4.0%0.8%504.6K-7.3M-84.8K0.5230.10N/AN/A5192686,8653,995
2007-11-06$61.59$61.3621.3%6.0%25.2%69.9%19.5%3.5%1.3%409.1K-5.4M-83.2K0.1416.29N/AN/A387536,8144,074
2007-11-07$61.69$61.3623.2%6.4%25.2%82.0%22.3%1.8%0.8%549.2K-7.7M-85.3K0.7036.02N/AN/A3822687,1724,072
2007-11-08$62.12$61.3622.7%6.8%25.4%79.0%23.5%4.7%0.8%536.6K-8.2M-91.1K1.5128.17N/AN/A2533807,4094,282
2007-11-09$62.47$61.3622.4%6.6%25.5%76.6%24.6%3.5%0.5%584.2K-9.8M-91.9K3.3623.01N/AN/A1515097,5124,428
2007-11-12$62.59$61.3625.4%6.7%25.2%95.3%21.8%3.3%0.0%621.9K-10.5M-88.8K0.9732.93N/AN/A48477,5524,288
2007-11-13$63.68$61.3612.4%5.4%26.0%15.2%19.0%5.1%3.3%841.1K-15.7M-87.6K0.2723.90N/AN/A4381187,5404,289
2007-11-14$63.99$61.3616.3%6.0%26.0%39.3%21.3%2.5%1.1%954.5K-18.0M-86.6K0.4836.62N/AN/A5482657,6704,303
2007-11-15$63.98$61.3621.4%6.1%25.0%70.5%21.6%3.3%0.9%828.8K-16.9M-86.0K3.1720.41N/AN/A672157,4124,479
2007-11-16$64.03$61.3621.0%6.0%22.9%68.1%22.0%4.4%1.9%788.8K-17.0M-87.7K2.5920.54N/AN/A892297,4164,348
2007-11-19$65.42$61.3622.7%6.5%23.9%78.9%22.9%4.7%-1.1%984.9K-22.4M-83.4K0.7421.00N/AN/A7805806,6703,308
2007-11-20$64.68$61.3620.7%5.9%24.4%66.6%21.7%3.2%1.1%943.1K-18.8M-88.2K0.2827.24N/AN/A7772166,8223,619
2007-11-21$63.13$61.3622.0%6.3%26.0%74.6%21.7%1.4%0.3%977.6K-14.8M-92.7K0.6025.63N/AN/A2731657,2873,737
2007-11-23$64.06$61.3619.8%5.7%25.2%61.0%20.3%3.6%1.1%1.1M-16.8M-93.4K0.2924.89N/AN/A209607,4143,768
2007-11-26$61.93$61.3622.3%6.4%27.7%76.3%18.3%1.6%-0.5%855.2K-8.2M-86.0K1.0923.60N/AN/A1831987,5493,792
2007-11-27$62.74$61.3622.7%6.5%28.2%78.5%20.8%3.5%-0.4%983.8K-11.9M-88.8K1.6624.36N/AN/A3405627,5733,924
2007-11-28$63.55$61.3619.6%5.6%28.5%59.4%22.6%5.1%-0.8%1.1M-13.6M-97.4K1.0921.21N/AN/A2592817,7074,229
2007-11-29$62.34$61.3619.9%5.7%29.2%61.8%19.5%2.2%0.7%949.3K-8.7M-92.5K0.5925.79N/AN/A120707,7804,326
2007-11-30$63.45$61.3617.4%5.0%27.1%46.4%17.7%4.1%2.2%1.1M-12.8M-94.0K1.6323.42N/AN/A1121837,8094,322