BDX Options History — June 2008

In June 2008, BDX traded between $59.77 and $64.83. ATM implied volatility averaged 21.6%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.1% (HV 20d: 20.5%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2008-06-26: Highest Volume — 2,665 contracts
  • 2008-06-11: Largest IV spike — 14.3% change
  • 2008-06-12: Highest IV Rank — 49.0%
  • 2008-06-12: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.25$59.77$64.83$64.49$62.36
Max Pain$62.82$61.36$65.19$65.19$61.36
ATM IV21.6%19.5%23.5%21.6%20.3%
Expected Move6.2%5.6%6.7%6.2%5.8%
HV 20d20.5%19.0%22.9%19.0%22.9%
HV 60d22.2%21.4%23.2%22.5%21.4%
IV Rank40.5%31.5%49.0%40.5%35.1%
IV Percentile58.0%32.5%77.8%61.5%40.5%
Term Structure1.5%-0.6%4.8%-0.6%4.8%
VWIV21.7%19.4%25.1%21.6%19.4%
Skew 25d4.0%0.7%10.4%5.3%6.3%
Skew 10d4.9%-5.1%11.2%5.5%11.2%
Call IV 25d21.0%16.1%23.5%17.6%21.8%
Put IV 25d25.0%21.7%28.1%23.0%28.1%
Bid-Ask Spread %32.0216.7552.0732.5751.77
Gamma HHI0.250.200.340.300.25
Net GEX155.1K-100.7K458.6K279.2K458.6K
Net DEX3.8M-3.1M10.7M1.5M-3.1M
Net VEX-69.6K-92.5K-56.8K-78.3K-92.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.074.672.640.28
Total Volume477.714622,665119669
Total OI11,759.197,18413,86812,87110,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$64.49$65.1921.6%6.2%19.0%40.5%21.6%5.3%-0.6%279.2K1.5M-78.3K2.6432.57N/AN/A33868,0494,822
2008-06-03$63.29$65.1920.2%5.8%19.2%34.3%22.8%2.2%0.9%123.0K4.8M-74.3K0.3531.07N/AN/A275978,0524,867
2008-06-04$64.53$65.1921.6%6.2%20.9%40.9%25.1%6.4%-0.1%343.0K504.0K-79.9K0.4546.84N/AN/A5282388,2214,929
2008-06-05$64.83$65.1920.2%5.8%19.7%34.6%20.2%2.1%0.8%352.6K221.3K-78.6K0.3831.88N/AN/A45178,2514,990
2008-06-06$63.30$65.1920.4%5.9%20.3%35.6%21.0%1.8%1.5%214.2K2.7M-74.7K0.6023.33N/AN/A65398,2694,863
2008-06-09$63.34$65.1921.8%6.5%20.1%41.6%22.9%4.7%0.2%196.9K3.2M-71.6K1.0627.41N/AN/A90958,2964,818
2008-06-10$63.81$65.1920.5%6.2%19.6%35.7%21.9%5.7%1.4%249.8K136.9K-68.8K0.9526.65N/AN/A1141098,3524,497
2008-06-11$62.43$65.1923.4%6.5%19.1%48.6%22.0%1.8%2.1%146.5K3.2M-68.6K0.1125.32N/AN/A170188,4634,493
2008-06-12$62.38$61.3623.5%6.7%19.0%49.0%22.3%0.7%-0.5%147.3K3.1M-64.4K0.6227.98N/AN/A1971228,4984,298
2008-06-13$63.32$61.3622.1%6.3%19.9%42.8%20.8%10.4%0.7%195.8K768.2K-66.6K0.7336.18N/AN/A1601178,4524,393
2008-06-16$62.76$61.3623.0%6.6%19.7%46.9%21.6%4.1%0.9%137.9K1.5M-64.8K4.6727.97N/AN/A1496938,5824,485
2008-06-17$61.48$61.3622.7%6.5%20.6%45.5%22.2%3.6%1.2%-28.0K7.0M-70.3K0.2052.07N/AN/A279568,6175,077
2008-06-18$60.51$61.3622.7%6.5%21.0%45.7%22.7%3.9%1.2%-61.9K10.7M-64.6K0.7416.75N/AN/A3122308,7444,990
2008-06-19$61.11$61.3621.3%6.1%21.4%39.3%21.4%4.2%2.0%111.7K8.4M-65.0K0.3426.90N/AN/A3871328,7704,840
2008-06-20$60.62$61.3623.2%6.6%21.4%47.5%23.2%2.9%0.3%260.9K8.9M-65.8K3.9032.19N/AN/A381489,0274,841
2008-06-23$60.55$61.3621.4%6.1%21.3%39.7%21.5%3.5%1.8%-76.0K6.2M-59.1K0.0826.81N/AN/A326273,9063,278
2008-06-24$59.77$61.3621.5%6.2%20.7%40.2%21.9%3.1%2.5%-100.7K7.1M-56.8K0.2436.54N/AN/A281664,1003,272
2008-06-25$60.80$61.3619.5%5.6%22.0%31.5%19.5%3.4%3.9%-1.9K5.1M-62.8K0.0731.23N/AN/A748554,2263,260
2008-06-26$60.43$61.3620.6%5.9%21.1%36.5%20.5%3.9%3.4%131.2K3.9M-66.6K0.7133.42N/AN/A1,5561,1094,8253,292
2008-06-27$61.21$61.3621.0%6.0%21.6%38.1%20.9%3.2%3.2%176.2K3.0M-68.5K0.5627.50N/AN/A100564,8253,292
2008-06-30$62.36$61.3620.3%5.8%22.9%35.1%19.4%6.3%4.8%458.6K-3.1M-92.5K0.2851.77N/AN/A5231466,4034,418