BDX Options History — December 2007

In December 2007, BDX traded between $61.65 and $65.16. ATM implied volatility averaged 19.8%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 5.7% (HV 20d: 25.5%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.32.

Notable Days

  • 2007-12-03: Highest Volume — 3,741 contracts
  • 2007-12-13: Largest IV spike — 30.8% change
  • 2007-12-03: Highest IV Rank — 81.9%
  • 2007-12-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.56$61.65$65.16$62.33$64.10
Max Pain$62.70$61.36$65.19$61.36$61.36
ATM IV19.8%14.9%23.2%23.2%20.0%
Expected Move5.8%5.3%6.7%6.7%5.7%
HV 20d25.5%21.7%27.8%26.1%21.9%
HV 60d22.5%21.6%23.2%21.6%23.2%
IV Rank60.9%30.8%81.9%81.9%61.9%
IV Percentile72.7%18.9%93.9%93.9%75.6%
Term Structure1.1%-0.2%2.3%-0.2%0.7%
VWIV19.7%11.8%23.4%23.0%19.9%
Skew 25d2.2%0.2%4.8%1.7%0.9%
Skew 10d4.5%-0.8%9.3%6.8%-0.8%
Call IV 25d19.2%17.1%22.5%22.5%19.9%
Put IV 25d21.4%20.2%24.2%24.2%20.9%
Bid-Ask Spread %29.7913.9351.2520.1330.43
Gamma HHI0.620.360.810.360.68
Net GEX1.7M951.2K3.2M951.2K1.6M
Net DEX-13.9M-21.9M-6.6M-8.9M-13.1M
Net VEX-97.5K-104.5K-87.7K-90.5K-91.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0033.900.160.99
Total Volume606.451083,7413,741698
Total OI13,241.9510,04215,05212,15210,362

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$62.33$61.3623.2%6.7%26.1%81.9%23.0%1.7%-0.2%951.2K-8.9M-90.5K0.1620.13N/AN/A3,2325097,8394,313
2007-12-04$61.65$61.3622.1%6.3%24.2%75.2%22.3%1.4%1.6%1.4M-9.5M-104.3K0.4624.53N/AN/A1205510,2214,564
2007-12-05$62.97$61.3622.3%6.4%25.3%76.3%23.4%0.2%1.4%1.4M-13.2M-104.5K1.0329.45N/AN/A1161209,6794,592
2007-12-06$63.02$61.3621.1%6.1%25.3%69.0%20.4%1.2%0.4%1.5M-13.0M-101.9K0.2413.93N/AN/A88209,6654,620
2007-12-07$63.41$65.1918.7%5.6%25.3%54.3%20.0%2.7%0.9%1.7M-16.5M-103.3K0.1123.84N/AN/A505579,6984,606
2007-12-10$64.66$65.1918.6%5.5%26.1%53.7%20.7%3.0%1.1%2.1M-21.9M-101.7K0.3924.78N/AN/A7142799,1954,575
2007-12-11$63.19$65.1920.2%6.2%27.5%63.3%19.9%2.8%-0.1%1.7M-14.1M-100.2K0.6025.30N/AN/A2631599,3314,654
2007-12-12$63.36$65.1914.9%5.4%26.8%30.8%19.7%3.0%0.8%1.9M-14.4M-100.5K0.3937.07N/AN/A3431349,5264,621
2007-12-13$63.76$65.1919.5%5.6%26.8%59.0%19.7%4.8%0.4%2.0M-16.6M-103.3K0.0051.25N/AN/A35209,5854,654
2007-12-14$63.25$65.1920.1%5.8%27.0%62.8%20.1%1.5%1.4%1.8M-13.9M-97.0K0.5629.25N/AN/A95539,6154,654
2007-12-17$62.02$61.3619.6%5.6%27.8%59.6%19.9%0.6%1.7%1.3M-6.6M-87.7K0.5335.35N/AN/A3701979,6404,656
2007-12-18$63.18$65.1921.7%6.2%27.5%72.5%20.9%2.3%0.4%1.7M-12.7M-94.5K0.4229.35N/AN/A2961259,6614,745
2007-12-19$62.94$61.3620.2%5.8%27.3%63.2%19.3%1.4%1.6%1.5M-11.8M-93.5K33.9028.02N/AN/A278849,8074,831
2007-12-20$63.07$61.3620.2%5.8%25.9%63.2%19.3%1.8%2.1%1.2M-11.3M-95.3K2.6339.58N/AN/A421099,8165,236
2007-12-21$64.67$61.3619.1%5.5%26.9%56.6%19.1%3.0%0.6%3.2M-19.5M-99.0K0.1329.96N/AN/A683869,8135,187
2007-12-24$64.85$61.3618.3%5.3%23.7%51.8%18.4%2.3%1.8%1.6M-14.8M-97.1K0.1338.97N/AN/A155197,0103,241
2007-12-26$64.74$61.3618.9%5.4%23.4%55.1%11.8%2.4%1.9%1.5M-13.7M-94.9K1.7819.50N/AN/A1312326,7843,258
2007-12-27$64.95$61.3618.8%5.4%23.0%55.0%18.8%3.9%1.2%1.5M-14.8M-95.9K1.7638.17N/AN/A2233936,8933,478
2007-12-28$65.16$61.3618.4%5.3%21.7%52.6%18.4%2.9%2.3%1.7M-17.3M-92.2K0.1327.01N/AN/A216297,0573,157
2007-12-31$64.10$61.3620.0%5.7%21.9%61.9%19.9%0.9%0.7%1.6M-13.1M-91.8K0.9930.43N/AN/A3513477,1913,171