BDX Options History — September 2008

In September 2008, BDX traded between $60.37 and $67.23. ATM implied volatility averaged 24.3%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.2% (HV 20d: 21.1%). Max pain ranged from $61.36 to $69.03. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-09-25: Highest Volume — 2,243 contracts
  • 2008-09-04: Largest IV spike — 38.2% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.60$60.37$67.23$67.21$61.56
Max Pain$64.83$61.36$69.03$65.19$65.19
ATM IV24.3%13.7%35.2%13.7%28.5%
Expected Move7.0%3.9%10.1%3.9%8.2%
HV 20d21.1%12.9%29.7%13.0%29.7%
HV 60d20.5%18.7%22.7%18.7%22.6%
IV Rank52.8%6.3%100.0%6.3%70.8%
IV Percentile69.0%1.2%100.0%1.2%96.4%
Term Structure0.5%-6.5%3.1%3.1%-0.1%
VWIV23.9%15.5%34.3%15.5%28.4%
Skew 25d4.5%1.9%8.6%5.5%4.3%
Skew 10d9.2%3.3%20.5%11.6%4.8%
Call IV 25d22.0%14.4%32.2%15.6%28.1%
Put IV 25d26.4%19.0%34.1%21.1%32.4%
Bid-Ask Spread %40.0217.5065.7329.4554.77
Gamma HHI0.360.190.670.670.22
Net GEX464.4K-857.5K2.1M2.1M343.4K
Net DEX-589.5K-14.1M11.2M-14.1M1.7M
Net VEX-98.2K-117.5K-83.9K-117.5K-94.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.082.480.541.47
Total Volume491.952342,243370177
Total OI13,558.4298,76716,13714,43211,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$67.21$65.1913.7%3.9%13.0%6.3%15.5%5.5%3.1%2.1M-14.1M-117.5K0.5429.45N/AN/A2421289,2935,139
2008-09-03$67.23$65.1915.3%4.4%12.9%13.3%17.3%1.9%1.5%2.0M-12.2M-115.6K0.4629.73N/AN/A88419,3265,220
2008-09-04$65.79$65.1921.1%6.1%15.1%38.9%19.4%5.8%0.7%1.3M-6.7M-111.4K0.0849.48N/AN/A569459,3965,252
2008-09-05$65.22$69.0320.0%6.4%15.4%34.1%24.7%8.6%0.3%812.2K-3.2M-106.4K2.0025.96N/AN/A611229,3215,265
2008-09-08$67.00$69.0322.3%6.7%16.1%44.0%20.1%5.1%1.2%1.9M-10.8M-110.1K0.0917.50N/AN/A519489,3535,349
2008-09-09$66.35$69.0323.1%6.3%16.4%47.3%22.4%4.4%1.5%1.7M-10.4M-110.6K1.7823.88N/AN/A2294109,3175,339
2008-09-10$64.51$65.1922.1%6.5%19.0%43.3%22.0%6.0%1.1%192.0K771.3K-97.4K0.5827.55N/AN/A3401969,3685,574
2008-09-11$63.96$65.1922.4%6.4%18.7%44.3%23.8%4.7%1.1%-32.5K3.4M-93.5K1.9420.55N/AN/A5511,0669,5135,551
2008-09-12$62.86$65.1923.2%6.6%19.4%47.8%23.2%4.2%1.6%-408.0K7.8M-90.1K1.6822.78N/AN/A761289,8316,059
2008-09-15$62.67$65.1924.7%7.1%18.7%54.7%23.9%5.7%1.8%-381.6K6.9M-89.7K1.0445.89N/AN/A2352449,7986,025
2008-09-16$62.13$65.1926.6%7.6%18.8%62.9%20.2%5.6%-0.1%-370.1K6.1M-89.3K1.2939.83N/AN/A1772289,8965,788
2008-09-17$60.37$65.1926.4%7.6%20.7%62.0%0.0%4.8%0.3%-679.4K11.2M-84.6K0.5645.06N/AN/A19110710,2645,873
2008-09-18$61.71$65.1926.6%7.6%22.8%62.9%26.7%4.8%1.4%-857.5K8.9M-85.3K0.5552.79N/AN/A1819910,2875,556
2008-09-19$63.28$61.3626.8%7.7%24.6%63.8%26.0%3.9%-1.7%69.7K1.0M-92.4K2.4848.00N/AN/A338110,2795,550
2008-09-22$61.54$61.3626.3%7.5%25.8%61.5%25.4%4.0%0.7%164.4K2.0M-83.9K0.1354.93N/AN/A198245,3083,459
2008-09-23$61.87$61.3627.1%7.8%26.0%64.9%26.2%3.4%-0.1%184.7K2.1M-84.2K0.1554.09N/AN/A8341235,4623,485
2008-09-24$62.72$61.3626.6%7.6%26.5%62.7%23.1%3.5%0.5%364.1K-290.0K-94.1K0.2650.52N/AN/A106286,2023,583
2008-09-25$63.43$61.3624.6%7.1%27.0%54.3%25.7%3.5%1.6%463.2K-3.2M-100.1K0.3441.60N/AN/A1,6785656,2673,595
2008-09-26$63.17$65.1927.8%8.0%27.0%68.3%29.5%2.4%0.2%584.1K-3.1M-108.4K0.6940.34N/AN/A20147,6133,914
2008-09-29$60.96$65.1935.2%10.1%29.4%100.0%34.3%1.9%-6.5%414.9K-330.7K-102.6K0.6965.73N/AN/A76537,6143,925
2008-09-30$61.56$65.1928.5%8.2%29.7%70.8%28.4%4.3%-0.1%343.4K1.7M-94.4K1.4754.77N/AN/A711067,6173,901