BDX Options History — March 2008

In March 2008, BDX traded between $64.45 and $69.43. ATM implied volatility averaged 21.3%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.3% (HV 20d: 21.1%). Max pain ranged from $65.19 to $69.03. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2008-03-05: Highest Volume — 2,264 contracts
  • 2008-03-06: Largest IV spike — 22.0% change
  • 2008-03-17: Highest IV Rank — 55.6%
  • 2008-03-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.93$64.45$69.43$69.17$65.85
Max Pain$68.26$65.19$69.03$65.19$69.03
ATM IV21.3%17.6%24.4%18.9%22.1%
Expected Move6.2%5.1%7.0%5.4%6.3%
HV 20d21.1%16.3%24.6%16.8%24.6%
HV 60d24.4%23.3%25.2%23.7%24.0%
IV Rank43.1%27.8%55.6%33.0%46.3%
IV Percentile70.8%42.1%89.7%55.2%75.8%
Term Structure2.3%0.2%7.1%1.8%1.9%
VWIV21.4%16.0%25.0%21.7%23.3%
Skew 25d5.0%0.8%11.1%6.4%1.9%
Skew 10d8.6%-1.5%17.8%7.3%5.1%
Call IV 25d19.9%13.0%23.7%17.4%23.0%
Put IV 25d24.9%21.6%29.4%23.9%24.9%
Bid-Ask Spread %40.3118.9159.5640.0545.44
Gamma HHI0.290.200.450.330.29
Net GEX772.9K456.3K1.2M1.0M652.0K
Net DEX-8.8M-21.1M874.2K-19.4M-3.5M
Net VEX-88.0K-96.6K-82.1K-86.9K-94.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.034.790.290.47
Total Volume542912,26491260
Total OI11,317.957,72313,17111,59810,164

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$69.17$65.1918.9%5.4%16.8%33.0%21.7%6.4%1.8%1.0M-19.4M-86.9K0.2940.05N/AN/A71207,2864,312
2008-03-04$69.43$65.1919.2%5.5%16.3%34.3%23.9%9.0%2.3%1.1M-21.1M-85.7K0.4434.05N/AN/A2511117,3334,317
2008-03-05$68.52$65.1917.6%5.1%16.4%27.8%22.5%6.9%3.1%1.0M-16.9M-84.9K0.1332.64N/AN/A2,0102547,4964,336
2008-03-06$66.49$65.1921.5%6.2%19.8%43.9%21.0%2.3%0.7%796.7K-7.7M-89.3K0.5718.91N/AN/A3682117,4394,447
2008-03-07$66.04$69.0321.2%6.6%17.2%42.7%22.0%3.4%2.2%743.7K-5.6M-89.3K0.4833.17N/AN/A3631737,7014,448
2008-03-10$64.45$69.0323.2%6.9%18.7%50.8%22.5%0.8%0.9%466.4K874.2K-83.1K2.0339.84N/AN/A47957,8974,489
2008-03-11$65.12$69.0321.9%6.5%19.3%45.2%16.0%1.7%1.1%635.5K-1.2M-82.1K0.0339.41N/AN/A413147,8704,474
2008-03-12$66.26$69.0322.6%6.4%19.8%48.5%20.9%5.0%4.6%841.5K-8.0M-86.0K0.1228.51N/AN/A506607,8814,465
2008-03-13$65.78$69.0322.9%6.6%19.7%49.5%0.0%9.9%1.6%804.3K-5.5M-88.0K4.5538.20N/AN/A271188,2044,495
2008-03-14$65.49$69.0324.3%7.0%19.7%55.3%20.7%11.1%0.2%783.1K-4.7M-88.3K1.1246.42N/AN/A76868,2034,438
2008-03-17$65.18$69.0324.4%7.0%19.6%55.6%25.0%3.8%0.7%805.3K-3.4M-83.7K1.2543.71N/AN/A1231558,2224,449
2008-03-18$67.78$69.0321.7%6.2%24.6%44.6%21.9%5.8%2.3%1.2M-15.7M-86.5K1.5950.61N/AN/A2774418,2924,387
2008-03-19$67.69$69.0322.4%6.4%24.6%47.3%23.1%4.9%2.3%888.7K-15.0M-88.9K0.6928.89N/AN/A2211538,2584,803
2008-03-20$67.73$69.0320.6%5.9%24.3%40.1%20.0%4.6%4.2%809.3K-14.1M-88.4K0.6632.71N/AN/A1691128,3164,855
2008-03-24$68.32$69.0318.8%5.4%24.2%32.5%18.8%3.7%3.3%551.9K-7.6M-84.8K0.3851.50N/AN/A4381655,0702,653
2008-03-25$68.24$69.0318.8%5.4%23.1%32.7%22.0%5.1%3.7%624.8K-8.7M-90.0K4.7959.56N/AN/A803805,4802,805
2008-03-26$66.74$69.0321.2%6.1%24.2%42.7%17.3%4.5%7.1%456.3K-5.3M-90.7K1.2636.82N/AN/A1071355,5603,121
2008-03-27$67.33$69.0320.5%5.9%24.5%39.6%21.1%5.1%0.4%525.9K-6.0M-91.7K0.1957.43N/AN/A9871875,6513,123
2008-03-28$66.90$69.0323.0%6.6%24.5%50.1%22.7%3.4%1.0%766.2K-6.6M-96.6K0.0848.37N/AN/A1,088886,4493,170
2008-03-31$65.85$69.0322.1%6.3%24.6%46.3%23.3%1.9%1.9%652.0K-3.5M-94.8K0.4745.44N/AN/A176846,9853,179