BDX Options History — July 2008

In July 2008, BDX traded between $61.20 and $66.18. ATM implied volatility averaged 24.6%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.3% (HV 20d: 22.2%). Max pain ranged from $61.36 to $61.36. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2008-07-23: Highest Volume — 1,923 contracts
  • 2008-07-02: Largest IV spike — 25.2% change
  • 2008-07-21: Highest IV Rank — 71.3%
  • 2008-07-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.88$61.20$66.18$63.63$65.13
Max Pain$61.36$61.36$61.36$61.36$61.36
ATM IV24.6%18.2%28.5%18.2%22.4%
Expected Move7.2%5.2%8.2%5.2%6.4%
HV 20d22.2%20.7%23.5%23.2%21.5%
HV 60d21.3%20.7%22.2%21.6%21.4%
IV Rank53.7%25.8%71.3%25.8%44.4%
IV Percentile76.3%13.9%97.2%13.9%60.3%
Term Structure-0.7%-3.8%4.6%4.6%-0.1%
VWIV25.7%19.6%34.4%19.6%21.6%
Skew 25d4.1%2.8%5.8%5.8%4.5%
Skew 10d8.1%4.4%13.4%12.2%7.0%
Call IV 25d22.2%19.9%23.9%22.2%20.5%
Put IV 25d26.3%23.3%28.0%28.0%25.0%
Bid-Ask Spread %31.7516.7868.0154.8746.76
Gamma HHI0.280.210.450.220.45
Net GEX632.0K323.4K1.7M640.2K737.8K
Net DEX-9.2M-17.2M-197.4K-7.0M-15.0M
Net VEX-99.4K-104.9K-95.4K-96.5K-100.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0019.771.090.08
Total Volume618.227571,923827178
Total OI12,934.31811,23314,61811,23314,618

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$63.63$61.3618.2%5.2%23.2%25.8%19.6%5.8%4.6%640.2K-7.0M-96.5K1.0954.87N/AN/A3974306,7144,519
2008-07-02$63.12$61.3622.8%6.5%22.3%46.0%21.8%3.4%4.3%594.3K-6.8M-103.1K1.2268.01N/AN/A3824647,0024,839
2008-07-03$63.16$61.3621.9%6.3%22.2%41.8%27.7%2.8%4.3%565.2K-6.7M-103.2K0.2741.56N/AN/A200557,0065,024
2008-07-07$62.29$61.3625.0%7.9%21.1%55.6%27.4%3.9%-1.2%460.5K-3.6M-96.9K0.5621.79N/AN/A3772127,0465,026
2008-07-08$62.54$61.3623.3%7.3%21.1%48.0%25.3%3.3%-0.2%495.5K-3.5M-99.7K0.5720.21N/AN/A37207,3365,108
2008-07-09$62.36$61.3621.6%7.6%20.9%40.8%26.0%4.0%-2.4%487.0K-3.5M-98.0K0.2016.78N/AN/A5391067,3475,110
2008-07-10$63.64$61.3626.4%7.6%20.7%61.7%27.4%4.9%-2.6%725.2K-9.4M-104.9K0.5917.25N/AN/A3872287,6475,183
2008-07-11$62.26$61.3627.8%8.0%22.3%67.9%27.0%4.0%-2.8%504.9K-4.0M-102.1K0.8917.48N/AN/A92817,6325,257
2008-07-14$61.20$61.3627.3%7.8%22.3%65.6%27.5%3.7%-0.9%323.4K-457.1K-95.4K0.2917.78N/AN/A4251217,6465,292
2008-07-15$61.28$61.3627.1%7.8%22.2%64.9%27.7%4.3%-1.3%330.6K-197.4K-96.9K0.6419.03N/AN/A118757,8115,372
2008-07-16$62.90$61.3627.0%7.8%23.0%64.6%27.0%3.6%-1.9%496.8K-5.3M-99.0K0.2418.07N/AN/A4781137,6835,400
2008-07-17$64.11$61.3625.0%7.2%22.9%55.6%26.7%3.2%-1.8%970.1K-12.1M-99.7K0.1421.06N/AN/A233337,9315,421
2008-07-18$64.91$61.3626.6%7.6%23.0%62.5%27.0%5.2%-2.4%1.7M-14.9M-100.1K0.5721.04N/AN/A2141227,9355,431
2008-07-21$64.39$61.3628.5%8.2%23.0%71.3%34.4%4.4%-3.8%643.9K-11.5M-98.3K9.5222.16N/AN/A1411,3417,1725,000
2008-07-22$65.55$61.3626.0%7.5%23.5%60.2%29.0%4.3%-1.7%697.1K-14.0M-97.6K0.2131.62N/AN/A254537,2625,120
2008-07-23$65.65$61.3628.3%8.1%22.7%70.0%32.7%4.3%-3.1%704.5K-14.8M-100.5K19.7721.45N/AN/A931,8307,3144,994
2008-07-24$66.18$61.3623.4%6.7%22.2%48.5%20.2%5.1%-1.3%575.6K-17.2M-98.0K0.1941.57N/AN/A1,5983037,3736,153
2008-07-25$65.20$61.3622.6%6.5%23.0%44.9%23.5%2.9%-2.0%487.2K-13.1M-98.5K0.4742.95N/AN/A3031427,3196,235
2008-07-28$65.18$61.3623.8%6.8%22.8%50.2%22.9%4.1%-1.2%492.3K-12.6M-98.7K0.0343.56N/AN/A581187,4676,265
2008-07-29$65.00$61.3622.5%6.5%22.1%44.8%22.5%4.0%-0.0%514.9K-11.7M-97.4K0.0046.45N/AN/A63017,7496,281
2008-07-30$65.76$61.3622.8%6.5%21.4%46.0%20.5%5.0%1.5%733.8K-15.4M-101.4K0.1646.99N/AN/A168288,2346,281
2008-07-31$65.13$61.3622.4%6.4%21.5%44.4%21.6%4.5%-0.1%737.8K-15.0M-100.5K0.0846.76N/AN/A165138,3236,295