BDX Options History — August 2008

In August 2008, BDX traded between $64.32 and $67.87. ATM implied volatility averaged 21.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 17.4%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2008-08-28: Highest Volume — 1,763 contracts
  • 2008-08-29: Largest IV spike — 58.6% change
  • 2008-08-12: Highest IV Rank — 66.0%
  • 2008-08-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.57$64.32$67.87$64.32$67.02
Max Pain$65.01$61.36$65.19$61.36$65.19
ATM IV21.2%12.2%27.4%22.3%19.4%
Expected Move5.7%3.5%6.5%6.4%5.6%
HV 20d17.4%13.3%22.0%22.0%13.3%
HV 60d20.3%19.4%21.0%21.0%19.4%
IV Rank38.9%0.0%66.0%43.5%31.4%
IV Percentile45.6%0.0%93.3%56.3%25.4%
Term Structure1.1%-0.6%3.7%-0.6%0.1%
VWIV19.7%16.4%24.8%24.8%20.2%
Skew 25d4.4%2.9%6.2%3.9%4.4%
Skew 10d10.9%5.5%15.7%11.8%5.5%
Call IV 25d18.1%14.3%20.9%20.1%15.6%
Put IV 25d22.5%19.6%25.6%24.0%20.0%
Bid-Ask Spread %34.4023.5144.0044.0037.06
Gamma HHI0.570.380.710.380.69
Net GEX1.3M616.9K2.1M616.9K2.1M
Net DEX-16.3M-26.5M-10.7M-10.7M-14.0M
Net VEX-99.0K-122.0K-92.8K-99.6K-122.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.043.100.632.00
Total Volume432.524581,763166426
Total OI13,972.47611,52516,52914,67214,285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$64.32$61.3622.3%6.4%22.0%43.5%24.8%3.9%-0.6%616.9K-10.7M-99.6K0.6344.00N/AN/A102648,3776,295
2008-08-04$64.94$65.1924.5%6.3%21.5%53.4%20.5%4.9%-0.3%697.9K-12.8M-94.2K0.9135.76N/AN/A2542328,4076,299
2008-08-05$64.89$65.1923.4%6.5%21.5%48.8%22.3%3.8%-0.4%691.6K-11.9M-92.8K0.1737.45N/AN/A158288,5696,378
2008-08-06$65.44$65.1925.4%6.2%21.6%57.5%20.8%4.1%0.7%801.0K-15.7M-95.5K0.3037.24N/AN/A4811458,6136,402
2008-08-07$65.46$65.1923.2%6.0%20.5%47.7%23.2%2.9%1.8%847.7K-15.8M-98.1K3.1032.20N/AN/A391218,8816,457
2008-08-08$67.04$65.1925.6%6.1%20.0%58.3%19.6%4.4%1.7%1.1M-24.4M-97.9K0.0925.79N/AN/A415388,8476,488
2008-08-11$66.85$65.1923.4%6.3%18.6%48.4%20.4%3.8%0.7%1.0M-23.3M-95.0K0.5043.70N/AN/A2261138,9716,501
2008-08-12$66.23$65.1927.4%6.4%19.2%66.0%18.9%5.8%0.4%952.9K-21.5M-96.1K0.0540.36N/AN/A539299,0786,543
2008-08-13$66.87$65.1927.2%6.1%17.5%65.5%20.0%5.3%0.9%1.2M-24.2M-97.4K0.2141.49N/AN/A5881259,3716,553
2008-08-14$66.44$65.1922.2%6.4%16.7%43.3%22.2%6.2%0.8%1.2M-23.8M-102.2K1.4140.92N/AN/A29419,8396,645
2008-08-15$67.15$65.1918.1%5.2%16.6%25.5%17.6%4.9%3.7%1.3M-26.5M-100.3K0.0439.76N/AN/A10349,8506,679
2008-08-18$67.04$65.1921.4%6.1%16.2%39.7%19.8%3.7%0.8%1.4M-12.5M-99.8K0.4238.31N/AN/A4221777,4934,032
2008-08-19$67.09$65.1921.0%6.0%15.1%38.0%19.4%4.1%1.6%1.4M-12.0M-103.2K0.0828.15N/AN/A9787,5214,149
2008-08-20$66.78$65.1922.1%6.3%15.3%42.8%20.5%4.7%0.1%1.3M-11.1M-98.3K0.5033.46N/AN/A39197,5674,152
2008-08-21$67.48$65.1918.4%5.3%15.4%26.4%18.6%3.5%1.1%1.5M-13.5M-98.8K0.0533.62N/AN/A588327,5734,154
2008-08-22$67.87$65.1916.8%4.8%14.3%19.5%17.2%3.6%2.1%2.0M-16.0M-100.9K0.4730.67N/AN/A3001418,0614,147
2008-08-25$67.13$65.1917.1%4.9%15.0%21.0%17.4%4.3%2.2%1.8M-13.1M-96.8K0.4627.57N/AN/A70338,0814,229
2008-08-26$67.51$65.1917.3%5.0%15.0%21.7%17.3%5.5%1.2%1.8M-13.5M-96.9K0.1727.84N/AN/A373658,0684,245
2008-08-27$67.22$65.1916.4%4.7%14.7%17.7%16.8%3.3%1.5%1.9M-12.4M-93.5K0.3023.54N/AN/A5061508,2874,271
2008-08-28$67.14$65.1912.2%3.5%14.2%0.0%16.4%5.3%3.2%2.1M-14.0M-99.1K0.8923.51N/AN/A9348298,7114,353
2008-08-29$67.02$65.1919.4%5.6%13.3%31.4%20.2%4.4%0.1%2.1M-14.0M-122.0K2.0037.06N/AN/A1422849,2755,010