BDX Options History — May 2008

In May 2008, BDX traded between $64.10 and $68.45. ATM implied volatility averaged 20.7%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.5% (HV 20d: 21.3%). Max pain ranged from $65.19 to $69.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-05-14: Highest Volume — 2,885 contracts
  • 2008-05-13: Largest IV spike — 55.2% change
  • 2008-05-13: Highest IV Rank — 61.2%
  • 2008-05-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.02$64.10$68.45$68.45$64.77
Max Pain$66.84$65.19$69.03$65.19$65.19
ATM IV20.7%16.9%26.3%21.1%19.8%
Expected Move5.8%5.4%6.6%6.1%5.7%
HV 20d21.3%17.4%25.5%23.5%19.2%
HV 60d23.0%22.1%23.4%22.6%23.3%
IV Rank36.9%20.1%61.2%38.5%32.8%
IV Percentile52.2%16.3%90.9%59.1%42.9%
Term Structure1.3%-0.2%3.6%-0.2%0.9%
VWIV20.7%18.0%25.3%21.9%20.1%
Skew 25d2.3%0.2%4.3%2.5%0.2%
Skew 10d3.3%-3.0%11.9%2.9%-2.9%
Call IV 25d19.8%18.3%21.3%21.0%20.4%
Put IV 25d22.0%20.3%25.0%23.4%20.6%
Bid-Ask Spread %34.1213.8355.3348.4826.83
Gamma HHI0.380.250.660.440.33
Net GEX1.9M63.4K4.4M3.5M362.3K
Net DEX-11.8M-35.6M7.5M-35.6M-188.0K
Net VEX-90.6K-125.7K-66.7K-125.7K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.045.771.125.77
Total Volume566.5711352,885488379
Total OI16,302.28611,14920,67019,22912,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$68.45$65.1921.1%6.1%23.5%38.5%21.9%2.5%-0.2%3.5M-35.6M-125.7K1.1248.48N/AN/A23025813,2895,940
2008-05-02$67.70$65.1920.8%6.0%22.9%37.2%20.7%1.7%0.8%3.5M-31.8M-123.9K0.3355.33N/AN/A2187113,3835,845
2008-05-05$68.39$69.0322.4%6.2%21.8%44.1%23.3%4.3%1.7%3.9M-34.8M-115.9K0.7050.80N/AN/A23916813,4555,910
2008-05-06$68.04$69.0321.4%6.3%21.2%40.0%25.3%3.6%1.3%3.8M-32.4M-116.1K1.0841.23N/AN/A26328513,4345,996
2008-05-07$66.54$69.0324.0%6.6%22.8%51.3%21.8%1.9%1.3%3.0M-20.8M-111.0K0.5541.27N/AN/A26614813,3976,142
2008-05-08$67.50$69.0322.1%5.7%23.3%43.1%20.0%3.8%2.5%3.7M-26.4M-107.0K0.1935.91N/AN/A1,12421413,4506,204
2008-05-09$66.72$69.0322.6%6.3%23.5%45.3%18.8%3.2%1.1%3.2M-19.6M-104.3K0.9248.42N/AN/A16214913,6976,291
2008-05-12$67.65$69.0316.9%5.4%23.7%20.1%22.3%4.1%3.3%4.1M-27.7M-100.6K2.2839.93N/AN/A7517213,6986,424
2008-05-13$65.96$69.0326.3%5.8%25.5%61.2%20.7%1.4%2.3%2.8M-14.2M-95.4K0.9740.01N/AN/A19118613,7666,522
2008-05-14$66.20$69.0321.7%6.1%25.5%41.1%20.0%2.7%1.5%2.5M-15.3M-91.2K0.0622.62N/AN/A2,71716813,8366,565
2008-05-15$65.69$69.0321.0%6.0%23.4%38.0%22.3%1.1%1.2%4.4M-11.3M-88.9K0.3029.64N/AN/A1033214,1226,548
2008-05-16$64.93$65.1920.4%5.9%21.0%35.6%21.7%2.6%3.6%63.4K7.5M-79.0K0.5824.51N/AN/A29016812,2446,514
2008-05-19$64.22$65.1918.8%5.4%20.3%28.5%20.0%2.2%0.3%66.5K3.9M-66.7K2.1934.08N/AN/A1393036,7804,369
2008-05-20$64.52$65.1919.0%5.4%19.8%29.2%19.4%2.1%0.8%109.7K3.6M-70.9K0.4426.15N/AN/A3241446,8644,516
2008-05-21$64.77$65.1919.6%5.6%18.7%31.6%19.8%1.1%1.3%273.6K2.0M-73.8K0.2513.83N/AN/A178457,1504,509
2008-05-22$64.73$65.1918.9%5.4%18.3%28.8%20.8%2.6%1.3%242.7K2.5M-72.2K0.2921.56N/AN/A226667,2054,503
2008-05-23$64.10$65.1919.2%5.5%17.4%30.2%20.8%1.3%1.4%201.5K3.1M-72.3K0.2322.54N/AN/A431997,3424,531
2008-05-27$64.95$65.1919.4%5.6%18.2%31.2%18.5%2.9%0.8%274.5K1.1M-69.4K0.0736.47N/AN/A262197,2674,486
2008-05-28$64.80$65.1920.5%5.9%18.1%35.8%18.0%0.5%0.5%238.0K1.3M-69.6K0.3223.66N/AN/A207667,2334,499
2008-05-29$65.68$65.1919.6%5.6%18.7%32.0%19.5%1.8%0.2%424.3K-1.8M-71.1K0.0433.26N/AN/A1,071427,3094,545
2008-05-30$64.77$65.1919.8%5.7%19.2%32.8%20.1%0.2%0.9%362.3K-188.0K-77.9K5.7726.83N/AN/A563238,0004,568