BDX Options History — April 2008

In April 2008, BDX traded between $62.61 and $68.57. ATM implied volatility averaged 26.3%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.7% (HV 20d: 25.5%). Max pain ranged from $65.19 to $69.03. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-04-02: Highest Volume — 5,407 contracts
  • 2008-04-02: Largest IV spike — 20.7% change
  • 2008-04-22: Highest IV Rank — 78.0%
  • 2008-04-04: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.75$62.61$68.57$66.92$68.57
Max Pain$65.72$65.19$69.03$69.03$65.19
ATM IV26.3%21.5%30.1%21.5%22.4%
Expected Move7.6%6.2%8.7%6.2%6.4%
HV 20d25.5%20.4%27.1%25.5%23.9%
HV 60d23.1%22.0%24.5%24.0%22.7%
IV Rank62.0%43.7%78.0%43.7%44.4%
IV Percentile90.3%70.2%99.2%71.4%71.4%
Term Structure-1.2%-4.6%3.3%3.3%-1.0%
VWIV26.3%16.5%29.4%21.2%19.6%
Skew 25d2.9%0.7%5.3%2.6%3.7%
Skew 10d5.2%1.4%11.1%6.8%11.1%
Call IV 25d23.9%20.3%26.4%22.7%20.3%
Put IV 25d26.8%24.0%28.7%25.2%24.0%
Bid-Ask Spread %29.8719.0860.4046.2847.94
Gamma HHI0.380.290.460.320.43
Net GEX1.5M509.9K3.4M855.5K3.4M
Net DEX-11.6M-38.4M4.7M-5.7M-38.4M
Net VEX-122.1K-142.4K-92.2K-97.7K-127.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.003.210.430.49
Total Volume1,001.182115,407105298
Total OI16,339.27310,28819,17510,29319,175

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$66.92$69.0321.5%6.2%25.5%43.7%21.2%2.6%3.3%855.5K-5.7M-97.7K0.4346.28N/AN/A73327,0673,226
2008-04-02$65.24$69.0325.9%7.4%26.8%62.1%25.9%2.4%-0.6%619.6K-3.2M-92.2K0.2932.68N/AN/A4,1851,2227,0623,226
2008-04-03$64.57$69.0326.6%7.6%26.6%64.7%26.5%2.9%0.6%1.3M-5.6M-122.3K3.2133.67N/AN/A21268211,1613,955
2008-04-04$66.01$65.1927.9%8.7%26.0%70.0%28.5%2.1%-1.3%1.5M-11.8M-141.6K0.1028.15N/AN/A2,89529311,3134,519
2008-04-07$64.81$65.1928.3%8.4%26.7%72.1%29.3%0.7%-3.1%1.0M-3.9M-126.1K0.3425.10N/AN/A53718111,2234,607
2008-04-08$66.00$65.1926.2%7.6%26.1%63.1%27.8%3.2%-1.1%1.4M-9.0M-134.0K0.2619.08N/AN/A66417411,4374,694
2008-04-09$65.74$65.1925.6%8.2%25.9%60.6%29.2%1.1%-3.1%1.5M-10.1M-135.3K1.0524.11N/AN/A50853011,8034,808
2008-04-10$65.68$65.1927.8%8.0%25.1%69.7%28.0%2.0%-1.3%1.6M-10.9M-137.2K0.0520.56N/AN/A4412012,1924,789
2008-04-11$65.23$65.1927.0%7.8%25.1%64.6%27.6%2.2%-1.0%1.3M-7.3M-129.0K0.5720.08N/AN/A1216912,1324,809
2008-04-14$64.78$65.1928.8%8.3%25.2%72.4%27.9%2.0%-2.4%1.0M-4.5M-118.1K0.0025.48N/AN/A11011,8464,770
2008-04-15$64.30$65.1928.1%8.1%25.2%69.3%28.1%1.8%-2.2%842.8K-1.6M-111.0K0.4224.13N/AN/A2159211,8474,770
2008-04-16$64.34$65.1928.7%8.2%20.4%71.8%28.6%2.0%-2.5%783.3K-1.3M-110.6K0.8022.96N/AN/A13410711,8404,779
2008-04-17$62.61$65.1929.5%8.4%22.2%75.3%28.9%1.8%-2.5%509.9K4.7M-96.8K0.5721.97N/AN/A54831311,8704,743
2008-04-18$64.67$65.1927.4%7.9%25.7%66.4%29.3%4.9%-0.8%806.6K-3.2M-112.9K0.8827.87N/AN/A34730512,0764,935
2008-04-21$65.82$65.1927.7%7.9%26.4%67.4%28.0%5.3%-2.2%1.3M-9.3M-118.4K0.1119.73N/AN/A4685110,5554,795
2008-04-22$64.87$65.1930.1%8.6%26.7%78.0%29.4%3.7%-4.6%1.1M-5.5M-110.6K0.7924.68N/AN/A97676810,5554,795
2008-04-23$66.07$65.1926.0%7.5%26.6%60.2%25.9%3.9%-1.2%1.3M-9.8M-124.3K0.1635.70N/AN/A2,93346010,8715,487
2008-04-24$66.61$65.1924.2%6.9%26.6%52.0%24.9%3.3%0.1%2.5M-22.8M-142.4K1.2525.97N/AN/A15319113,1915,732
2008-04-25$67.65$65.1922.6%6.5%27.1%45.2%23.0%5.0%0.3%2.9M-29.6M-138.1K0.1035.05N/AN/A3783813,2075,697
2008-04-28$67.92$65.1922.3%6.4%26.4%43.8%24.7%3.6%0.5%3.1M-32.3M-133.8K0.5435.52N/AN/A884713,2005,728
2008-04-29$68.15$65.1922.9%6.6%25.8%46.3%16.5%3.2%-0.0%3.2M-33.4M-127.1K1.1960.40N/AN/A12114513,2225,755
2008-04-30$68.57$65.1922.4%6.4%23.9%44.4%19.6%3.7%-1.0%3.4M-38.4M-127.1K0.4947.94N/AN/A2009813,3205,855