BDX Options History — February 2008

In February 2008, BDX traded between $66.77 and $70.36. ATM implied volatility averaged 21.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.4% (HV 20d: 22.6%). Max pain ranged from $65.19 to $65.19. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2008-02-14: Highest Volume — 788 contracts
  • 2008-02-05: Largest IV spike — 18.8% change
  • 2008-02-06: Highest IV Rank — 68.1%
  • 2008-02-06: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.91$66.77$70.36$66.86$69.35
Max Pain$65.19$65.19$65.19$65.19$65.19
ATM IV21.2%17.7%27.0%24.7%18.3%
Expected Move6.1%5.1%7.8%7.1%5.2%
HV 20d22.6%16.6%29.2%28.9%16.8%
HV 60d25.5%23.8%26.4%25.7%23.8%
IV Rank44.4%27.8%68.1%59.0%30.4%
IV Percentile69.3%43.7%98.0%92.1%48.0%
Term Structure2.2%0.2%3.9%0.2%2.7%
VWIV21.8%14.6%27.4%24.9%21.8%
Skew 25d4.8%2.4%8.8%5.3%3.5%
Skew 10d8.2%4.5%15.0%15.0%4.9%
Call IV 25d18.8%12.8%24.0%20.7%16.4%
Put IV 25d23.5%19.5%27.9%25.9%19.9%
Bid-Ask Spread %38.6921.7367.4738.9143.31
Gamma HHI0.310.250.390.270.34
Net GEX896.0K678.6K1.2M785.6K1.0M
Net DEX-20.9M-30.7M-12.1M-12.1M-20.6M
Net VEX-97.6K-110.8K-85.6K-110.8K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.002.901.070.00
Total Volume309.98178881179
Total OI12,67910,72514,39513,43811,529

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$66.86$65.1924.7%7.1%28.9%59.0%24.9%5.3%0.2%785.6K-12.1M-110.8K1.0738.91N/AN/A39428,4025,036
2008-02-04$67.65$65.1922.5%6.9%29.2%50.2%24.7%5.1%1.6%805.7K-16.7M-108.6K0.4744.30N/AN/A167798,4285,056
2008-02-05$66.77$65.1926.8%7.4%27.5%67.1%25.2%2.4%1.6%791.0K-13.6M-108.2K1.5850.39N/AN/A851358,4595,096
2008-02-06$66.93$65.1927.0%7.8%26.8%68.1%27.0%4.6%0.6%799.3K-12.8M-108.8K0.5037.87N/AN/A145718,4875,209
2008-02-07$68.71$65.1923.9%7.2%26.7%55.5%27.4%4.7%1.9%852.8K-20.7M-109.5K1.5524.06N/AN/A2073218,5295,191
2008-02-08$68.99$65.1923.5%7.0%26.1%54.0%26.3%4.0%2.4%891.9K-23.1M-107.7K2.5326.31N/AN/A1183008,6625,256
2008-02-11$68.51$65.1924.5%6.9%25.3%58.0%25.5%4.0%1.3%832.9K-20.7M-104.8K0.4035.73N/AN/A3741518,6845,377
2008-02-12$69.39$65.1922.4%6.6%25.7%49.5%23.4%4.6%2.4%722.6K-25.7M-102.8K1.1731.05N/AN/A67808,8025,389
2008-02-13$69.73$65.1921.5%6.3%25.7%46.1%19.9%4.8%3.6%747.7K-28.3M-98.9K0.0948.13N/AN/A287278,8155,372
2008-02-14$69.80$65.1921.1%6.0%25.4%44.5%21.4%3.3%3.9%805.6K-30.7M-97.5K0.0532.31N/AN/A750388,9735,375
2008-02-15$69.31$65.1921.0%6.0%23.0%44.2%22.5%4.3%3.5%678.6K-27.9M-97.3K0.5539.66N/AN/A4572519,0025,393
2008-02-19$68.93$65.1919.4%5.6%21.6%37.9%19.6%4.5%2.5%878.7K-18.1M-90.4K0.9267.47N/AN/A1681556,7054,020
2008-02-20$69.05$65.1918.5%5.3%19.0%34.0%18.6%5.8%2.0%898.5K-17.2M-90.7K1.2137.51N/AN/A61746,8194,058
2008-02-21$68.23$65.1918.0%5.2%19.3%32.3%20.2%5.9%2.9%838.9K-15.1M-90.2K0.7441.80N/AN/A2712006,8684,081
2008-02-22$68.96$65.1918.3%5.3%16.8%33.5%19.4%8.8%2.8%929.4K-17.7M-92.9K0.7347.16N/AN/A71526,9884,182
2008-02-25$70.28$65.1918.9%5.4%17.6%36.0%17.8%5.1%1.4%1.1M-23.7M-88.4K0.3529.50N/AN/A282997,0294,172
2008-02-26$70.36$65.1917.8%5.1%17.4%28.5%14.6%4.7%2.4%1.2M-24.4M-85.6K0.1835.56N/AN/A148277,1464,195
2008-02-27$70.13$65.1917.7%5.1%17.2%27.8%17.4%4.9%2.6%1.2M-23.6M-86.1K0.2541.04N/AN/A90227,1444,218
2008-02-28$70.31$65.1918.3%5.3%16.6%30.5%17.9%4.8%2.1%1.2M-24.3M-86.3K2.9021.73N/AN/A28807,1934,240
2008-02-29$69.35$65.1918.3%5.2%16.8%30.4%21.8%3.5%2.7%1.0M-20.6M-86.8K0.0043.31N/AN/A17907,2174,312