BDX Options History — October 2008

In October 2008, BDX traded between $49.03 and $61.54. ATM implied volatility averaged 46.1%, placing in the 82.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.5% (HV 20d: 49.7%). Max pain ranged from $49.85 to $65.19. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.07.

Notable Days

  • 2008-10-14: Highest Volume — 2,064 contracts
  • 2008-10-06: Largest IV spike — 37.3% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-24: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.28$49.03$61.54$61.50$53.23
Max Pain$57.86$49.85$65.19$65.19$49.85
ATM IV46.1%29.5%59.2%29.5%47.4%
Expected Move12.6%8.5%15.7%8.5%13.6%
HV 20d49.7%28.2%62.9%29.7%62.9%
HV 60d33.2%22.2%40.6%22.6%40.6%
IV Rank82.7%66.8%100.0%75.3%74.8%
IV Percentile98.4%94.8%100.0%98.4%95.2%
Term Structure-2.3%-5.7%0.7%-0.3%-5.3%
VWIV42.7%23.2%54.5%23.2%43.1%
Skew 25d7.6%-3.5%18.6%4.1%10.3%
Skew 10d13.2%0.5%25.9%4.6%17.6%
Call IV 25d39.7%27.5%48.8%28.1%42.4%
Put IV 25d47.3%31.7%60.2%32.2%52.7%
Bid-Ask Spread %56.8632.8280.1053.1061.58
Gamma HHI0.210.190.280.220.28
Net GEX123.0K-2.3K365.1K334.6K166.0K
Net DEX8.5M614.8K13.9M1.8M7.2M
Net VEX-73.0K-99.1K-47.3K-93.2K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.0512.4212.420.11
Total Volume469.9571092,064210192
Total OI12,745.82611,52414,28611,52413,983

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$61.50$65.1929.5%8.5%29.7%75.3%23.2%4.1%-0.3%334.6K1.8M-93.2K12.4253.10N/AN/A151957,6223,902
2008-10-02$61.21$65.1930.4%8.7%29.0%79.3%29.5%1.8%-0.9%327.7K1.1M-97.9K1.0832.82N/AN/A981067,6354,091
2008-10-03$61.54$61.3630.8%8.8%29.1%80.9%30.1%6.4%-0.0%365.1K614.8K-99.1K0.4270.35N/AN/A76337,6704,175
2008-10-06$59.83$65.1942.3%9.5%28.2%100.0%33.3%0.3%-0.8%187.0K4.8M-92.0K0.8048.03N/AN/A2321867,7304,194
2008-10-07$58.21$65.1937.2%10.4%29.2%83.2%36.7%2.7%-0.7%63.1K6.7M-83.8K0.5347.28N/AN/A3081647,8254,191
2008-10-08$59.46$61.3641.8%10.7%29.6%98.4%37.9%4.2%-2.9%184.0K4.9M-93.2K0.4739.46N/AN/A153717,9724,336
2008-10-09$55.45$61.3649.3%11.9%37.7%100.0%41.5%-0.1%-0.4%50.5K10.0M-73.4K0.4556.32N/AN/A3551597,9984,311
2008-10-10$51.77$61.3659.2%12.9%43.5%100.0%45.3%-3.5%0.7%18.5K13.7M-57.9K0.6080.10N/AN/A2231358,1564,326
2008-10-13$56.76$57.5248.3%12.2%56.5%76.8%43.8%9.1%-4.0%93.7K10.0M-69.5K0.4163.40N/AN/A6052478,2874,175
2008-10-14$57.39$57.5252.9%12.1%56.8%86.7%42.2%8.8%-2.7%164.1K7.3M-80.3K1.6641.82N/AN/A7771,2878,6174,334
2008-10-15$54.00$57.5248.9%14.7%59.7%78.0%48.9%7.1%-4.8%46.5K11.9M-77.9K1.0655.68N/AN/A83889,0435,243
2008-10-16$54.72$57.5248.8%14.0%59.3%77.8%44.8%4.6%-3.0%-2.3K13.9M-73.4K0.2640.62N/AN/A195518,9985,274
2008-10-17$54.72$57.5253.5%15.3%58.2%87.8%54.5%18.6%-4.4%117.6K12.9M-74.3K0.5659.70N/AN/A1971118,9985,228
2008-10-20$55.50$57.5246.4%13.3%58.1%72.8%43.5%18.2%-3.1%89.3K8.4M-70.3K0.1656.77N/AN/A413677,6104,299
2008-10-21$54.86$57.5244.2%12.7%58.0%68.1%42.3%9.5%-1.4%61.1K8.2M-68.6K0.2749.69N/AN/A356977,6854,283
2008-10-22$53.79$57.5243.6%12.5%57.7%66.8%43.1%9.0%0.5%79.1K9.4M-67.4K0.0557.20N/AN/A571317,9914,307
2008-10-23$53.74$57.5250.9%14.6%57.3%82.4%48.3%13.9%-4.4%99.4K9.0M-67.5K0.9250.51N/AN/A3313058,1084,313
2008-10-24$51.34$57.5254.7%15.7%58.8%90.4%53.7%12.1%-1.4%50.5K9.8M-64.1K0.0665.12N/AN/A681428,2854,461
2008-10-27$49.03$49.8554.7%15.7%59.5%90.4%49.1%6.7%-4.2%76.2K11.5M-51.6K1.2677.41N/AN/A1341688,9474,460
2008-10-28$50.26$49.8551.1%14.7%60.5%82.7%47.1%6.8%-5.7%53.2K12.3M-47.3K0.2074.99N/AN/A206418,9314,418
2008-10-29$50.75$49.8550.6%14.5%60.8%81.7%48.7%9.5%-1.8%91.0K10.0M-52.6K0.4167.17N/AN/A3091268,9134,335
2008-10-30$52.34$49.8544.7%12.8%62.5%69.1%51.7%15.4%-2.1%113.2K8.9M-58.9K0.3958.77N/AN/A4251649,0694,425
2008-10-31$53.23$49.8547.4%13.6%62.9%74.8%43.1%10.3%-5.3%166.0K7.2M-64.4K0.1161.58N/AN/A173199,4364,547