BDX Options History — January 2008

In January 2008, BDX traded between $64.92 and $70.82. ATM implied volatility averaged 26.4%, placing in the 85.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.7% (HV 20d: 28.2%). Max pain ranged from $61.36 to $69.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2008-01-03: Highest Volume — 2,841 contracts
  • 2008-01-24: Largest IV drop — 19.0% change
  • 2008-01-11: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.68$64.92$70.82$66.56$66.30
Max Pain$66.84$61.36$69.03$61.36$69.03
ATM IV26.4%21.5%35.1%24.7%23.8%
Expected Move7.6%6.2%10.1%7.1%6.8%
HV 20d28.2%23.6%32.1%24.4%29.4%
HV 60d26.3%24.3%27.7%24.3%26.4%
IV Rank85.3%55.2%100.0%91.1%55.2%
IV Percentile97.1%86.9%100.0%98.8%88.5%
Term Structure-1.5%-4.3%1.6%-1.1%1.6%
VWIV26.2%22.3%35.3%23.8%23.8%
Skew 25d2.9%-0.5%5.3%1.6%5.3%
Skew 10d6.3%-4.6%14.6%8.8%12.9%
Call IV 25d25.3%21.2%34.4%23.2%21.2%
Put IV 25d28.1%22.8%37.3%24.9%26.5%
Bid-Ask Spread %37.5226.1454.6026.1432.66
Gamma HHI0.330.200.550.550.21
Net GEX1.3M417.8K2.3M1.6M484.4K
Net DEX-25.0M-45.5M-4.1M-23.5M-7.5M
Net VEX-106.8K-115.6K-95.9K-96.3K-106.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0024.750.160.20
Total Volume1,072.7621332,8412,787866
Total OI13,031.09510,84215,19910,84212,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$66.56$61.3624.7%7.1%24.4%91.1%23.8%1.6%-1.1%1.6M-23.5M-96.3K0.1626.14N/AN/A2,4103777,4463,396
2008-01-03$67.64$65.1921.5%6.2%24.2%71.2%22.3%1.1%0.1%1.9M-30.6M-100.6K0.0352.88N/AN/A2,755868,3853,522
2008-01-04$67.31$65.1922.1%6.5%23.6%74.8%23.5%-0.0%-2.0%2.0M-31.5M-104.5K0.1536.31N/AN/A168278,7963,512
2008-01-07$69.30$65.1925.8%7.2%25.3%97.8%25.5%2.6%-2.2%1.6M-36.4M-95.9K0.3040.49N/AN/A2,1576498,3673,537
2008-01-08$68.02$65.1925.2%7.4%26.6%94.1%25.6%-0.5%-2.8%1.9M-33.0M-109.6K0.2144.86N/AN/A8131679,2983,986
2008-01-09$69.84$65.1925.2%7.1%27.3%94.4%24.0%3.3%-0.6%1.8M-40.3M-106.3K0.0734.71N/AN/A859569,3204,023
2008-01-10$68.66$65.1924.9%7.1%26.6%92.0%24.8%1.9%-1.4%1.9M-36.1M-109.2K0.5135.75N/AN/A2981539,5724,048
2008-01-11$69.96$65.1926.9%7.7%27.0%100.0%26.7%3.7%-3.0%1.7M-42.2M-104.2K0.7734.20N/AN/A4713649,5784,096
2008-01-14$70.25$65.1926.6%7.6%27.0%98.2%25.5%3.7%-2.6%1.7M-43.3M-105.4K0.4734.80N/AN/A3641699,7854,429
2008-01-15$70.03$65.1925.9%7.4%26.8%94.3%25.4%3.7%-2.6%1.7M-42.2M-105.8K0.3735.16N/AN/A204749,7164,483
2008-01-16$70.82$65.1925.9%7.4%25.2%94.2%24.8%2.8%-1.5%1.5M-45.5M-100.6K0.2040.37N/AN/A7211469,7414,526
2008-01-17$68.71$69.0327.3%7.8%28.0%100.0%27.3%2.9%-2.5%2.3M-34.9M-108.6K0.5436.42N/AN/A1,10459310,0174,656
2008-01-18$67.20$69.0328.6%8.2%29.4%100.0%30.4%3.7%-2.1%962.1K-26.2M-111.6K0.6527.50N/AN/A54235210,3294,870
2008-01-22$65.47$69.0332.1%9.2%31.2%100.0%32.9%2.8%-3.1%535.1K-7.7M-108.2K0.7527.37N/AN/A5414077,4794,171
2008-01-23$64.92$69.0335.1%10.1%30.1%100.0%35.3%2.9%-4.3%464.4K-5.1M-111.7K0.2631.25N/AN/A1,5474037,7394,463
2008-01-24$66.86$69.0328.4%8.1%31.9%73.5%26.6%5.2%-1.1%586.9K-11.2M-111.3K0.8047.08N/AN/A1,0278227,7354,559
2008-01-25$66.42$69.0325.9%7.4%32.0%63.7%25.5%4.6%0.3%554.2K-9.7M-115.6K0.1034.50N/AN/A151157,9054,834
2008-01-28$66.15$69.0327.0%7.7%32.0%68.0%25.1%3.8%0.3%499.9K-8.1M-112.6K0.6943.59N/AN/A2181507,8744,856
2008-01-29$65.75$69.0326.5%7.6%32.1%65.8%25.9%2.7%-1.0%480.2K-7.1M-111.0K0.0037.20N/AN/A16907,9084,974
2008-01-30$65.13$69.0325.6%7.3%31.7%62.3%25.6%2.1%0.3%417.8K-4.1M-107.2K24.7554.60N/AN/A51287,8604,974
2008-01-31$66.30$69.0323.8%6.8%29.4%55.2%23.8%5.3%1.6%484.4K-7.5M-106.9K0.2032.66N/AN/A7221447,8615,027