BDX Options History — November 2008

In November 2008, BDX traded between $46.22 and $54.28. ATM implied volatility averaged 44.5%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 3.9% (HV 20d: 48.4%). Max pain ranged from $49.85 to $61.36. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-11-25: Highest Volume — 1,038 contracts
  • 2008-11-12: Largest IV spike — 28.3% change
  • 2008-11-20: Highest IV Rank — 91.6%
  • 2008-11-20: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.84$46.22$54.28$53.22$48.73
Max Pain$57.12$49.85$61.36$49.85$57.52
ATM IV44.5%37.6%55.3%43.2%39.5%
Expected Move12.5%10.6%15.9%12.4%11.3%
HV 20d48.4%37.2%62.4%62.4%44.5%
HV 60d43.4%40.2%46.7%40.2%46.6%
IV Rank68.7%53.9%91.6%65.9%58.0%
IV Percentile93.0%86.5%99.6%93.3%86.9%
Term Structure-1.5%-6.9%3.7%-2.6%2.1%
VWIV44.0%36.1%55.2%42.9%39.2%
Skew 25d10.9%5.7%13.5%8.9%11.1%
Skew 10d22.8%10.3%34.6%30.3%17.4%
Call IV 25d39.3%31.2%51.0%41.0%37.3%
Put IV 25d50.2%44.2%64.5%49.9%48.4%
Bid-Ask Spread %49.8329.7486.2865.9246.91
Gamma HHI0.220.160.350.260.27
Net GEX70.5K-42.9K185.4K143.3K8.4K
Net DEX10.8M7.4M16.5M7.7M11.4M
Net VEX-47.3K-59.0K-33.4K-59.0K-36.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.007.870.480.17
Total Volume444.947971,03842697
Total OI14,612.31612,36916,26114,02213,021

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$53.22$49.8543.2%12.4%62.4%65.9%42.9%8.9%-2.6%143.3K7.7M-59.0K0.4865.92N/AN/A2871399,4544,568
2008-11-04$53.90$49.8541.0%11.7%62.2%61.2%41.6%9.3%-4.5%111.5K7.8M-58.3K0.4364.28N/AN/A5052199,4794,656
2008-11-05$53.69$49.8537.6%10.8%61.5%53.9%38.5%12.2%-1.2%85.9K8.3M-55.5K0.7286.28N/AN/A3152269,6584,764
2008-11-06$52.44$49.8539.5%11.3%57.1%58.0%43.4%5.7%-1.4%74.9K10.5M-53.4K1.3980.66N/AN/A1281799,7104,816
2008-11-07$54.25$61.3637.7%10.6%52.9%54.1%36.1%13.4%0.0%75.0K7.8M-56.7K2.3672.89N/AN/A37869,7584,962
2008-11-10$54.28$61.3642.8%11.5%41.0%65.1%37.8%9.6%-0.6%91.6K7.4M-58.4K0.0841.21N/AN/A640519,7744,999
2008-11-11$52.36$61.3641.5%11.3%42.3%62.2%42.3%12.7%0.6%81.3K10.1M-52.9K0.8729.95N/AN/A15513610,0445,018
2008-11-12$51.44$61.3653.2%12.8%37.2%87.2%43.6%10.9%-2.4%72.2K11.5M-49.9K3.3029.85N/AN/A278610,0985,055
2008-11-13$53.85$61.3642.6%12.2%40.6%64.7%38.2%9.3%-2.8%145.7K7.8M-57.0K0.2643.61N/AN/A1975110,0905,063
2008-11-14$51.92$61.3639.4%11.3%42.6%57.8%47.3%11.9%1.6%119.6K9.6M-54.0K0.1543.10N/AN/A66910310,1035,075
2008-11-17$49.84$57.5249.2%14.1%44.1%78.6%50.1%9.9%-3.0%106.0K12.0M-45.5K0.1645.26N/AN/A76112310,5565,093
2008-11-18$50.64$57.5246.7%13.4%44.7%73.4%45.1%10.4%-2.6%185.4K11.2M-45.6K0.1729.90N/AN/A4678110,8975,148
2008-11-19$47.49$57.5254.3%15.6%49.3%89.4%54.1%10.9%-6.9%114.4K14.8M-38.9K1.0629.74N/AN/A22023311,0985,163
2008-11-20$46.22$57.5255.3%15.9%49.8%91.6%53.2%13.5%-5.5%26116.3M-35.0K0.1937.53N/AN/A4809310,7595,112
2008-11-21$46.89$57.5252.7%15.1%48.3%86.2%55.2%11.8%-6.4%-42.9K16.5M-34.8K7.8748.78N/AN/A3123710,6395,147
2008-11-24$48.11$57.5243.8%12.5%46.8%67.1%47.0%13.4%2.1%-31.8K12.2M-35.2K0.0858.57N/AN/A205158,0894,280
2008-11-25$47.94$57.5246.7%13.4%45.8%73.4%41.9%12.1%1.6%-18.3K12.3M-33.4K0.1344.86N/AN/A9201188,2064,293
2008-11-26$48.77$57.5238.8%11.1%46.1%56.4%38.6%10.1%3.7%17.6K10.9M-39.5K0.0047.43N/AN/A13708,6534,336
2008-11-28$48.73$57.5239.5%11.3%44.5%58.0%39.2%11.1%2.1%8.4K11.4M-36.2K0.1746.91N/AN/A83148,6854,336