BDX Options History — December 2008

In December 2008, BDX traded between $47.58 and $52.45. ATM implied volatility averaged 37.5%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 3.8% (HV 20d: 41.3%). Max pain ranged from $46.02 to $57.52. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2008-12-22: Highest Volume — 2,550 contracts
  • 2008-12-30: Largest IV drop — 25.8% change
  • 2008-12-01: Highest IV Rank — 79.3%
  • 2008-12-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.24$47.58$52.45$47.58$52.45
Max Pain$50.90$46.02$57.52$57.52$49.85
ATM IV37.5%25.8%49.5%49.5%29.1%
Expected Move10.9%7.4%14.2%14.2%8.3%
HV 20d41.3%34.1%49.5%44.4%34.1%
HV 60d48.0%46.6%48.6%46.8%48.3%
IV Rank53.9%28.9%79.3%79.3%35.9%
IV Percentile81.4%55.2%95.2%95.2%73.4%
Term Structure1.4%-0.6%5.8%0.0%2.4%
VWIV38.7%27.4%50.3%42.8%29.9%
Skew 25d8.5%5.3%12.1%10.9%7.6%
Skew 10d16.5%5.8%28.5%19.6%14.7%
Call IV 25d35.2%29.7%42.2%42.2%29.7%
Put IV 25d43.7%37.3%53.1%53.1%37.3%
Bid-Ask Spread %27.6712.7847.7035.2424.17
Gamma HHI0.230.180.290.270.19
Net GEX80.4K-14.8K201.8K19.5K199.1K
Net DEX6.7M2.0M12.2M12.2M2.0M
Net VEX-40.1K-50.8K-31.9K-32.9K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.025.890.021.19
Total Volume411.364322,550342973
Total OI12,166.1826,59914,62713,0779,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$47.58$57.5249.5%14.2%44.4%79.3%42.8%10.9%0.0%19.5K12.2M-32.9K0.0235.24N/AN/A33758,7274,350
2008-12-02$48.51$57.5241.8%12.0%45.2%62.8%50.3%12.1%0.0%35.8K11.1M-37.1K1.5343.36N/AN/A59908,9784,350
2008-12-03$49.81$57.5241.4%11.9%46.2%62.1%39.3%10.0%1.3%26.6K10.5M-37.4K0.3726.51N/AN/A98379,0084,423
2008-12-04$48.11$57.5241.4%11.9%47.4%62.0%44.2%9.7%0.6%42.3K11.8M-34.6K2.0429.69N/AN/A36719,0784,452
2008-12-05$50.05$46.0239.9%12.3%49.5%58.8%42.8%9.0%-0.6%18.7K10.2M-37.5K0.0614.31N/AN/A179109,0904,521
2008-12-08$49.82$46.0240.3%12.0%47.6%59.8%45.6%7.4%1.3%33.5K10.0M-36.0K0.5812.78N/AN/A69419,1584,527
2008-12-09$48.27$49.8539.8%11.4%48.5%58.6%42.3%7.3%2.1%40.9K11.9M-31.9K1.8113.93N/AN/A2394329,1834,537
2008-12-10$48.54$49.8536.5%11.4%47.4%51.7%43.8%5.3%1.3%35.0K11.6M-34.6K0.8114.52N/AN/A1541259,3494,731
2008-12-11$49.46$49.8539.4%11.3%47.7%57.9%40.8%6.9%1.3%28.7K8.3M-36.2K0.4615.67N/AN/A2751269,4364,362
2008-12-12$49.08$49.8539.9%11.4%44.2%58.9%46.8%11.2%0.7%14.7K9.0M-36.1K0.1416.23N/AN/A2849,6664,455
2008-12-15$50.41$49.8540.9%11.7%43.9%61.0%38.4%9.8%0.8%-14.8K6.2M-38.6K0.0516.43N/AN/A462239,6864,460
2008-12-16$52.34$49.8533.9%9.7%43.4%46.1%35.1%10.1%4.7%139.9K2.9M-40.8K0.9231.01N/AN/A1621499,9434,465
2008-12-17$51.70$49.8540.6%11.6%43.4%60.4%37.0%9.3%0.4%90.1K3.7M-39.5K1.2327.47N/AN/A15419010,0264,537
2008-12-18$51.79$49.8536.9%10.6%35.9%52.4%36.9%7.4%0.1%139.2K2.9M-40.1K1.6041.79N/AN/A23037010,0844,433
2008-12-19$51.19$49.8535.2%10.1%34.5%48.9%34.8%6.9%1.6%67.9K2.9M-37.4K2.1635.22N/AN/A11424810,0954,532
2008-12-22$51.72$49.8535.4%10.1%34.4%49.3%34.8%7.8%0.7%183.0K2.1M-36.4K2.0530.90N/AN/A8371,7134,0732,526
2008-12-23$50.83$49.8535.0%10.0%34.3%48.5%31.5%8.7%2.0%115.9K3.4M-50.8K1.6847.70N/AN/A611034,7653,787
2008-12-24$50.42$49.8534.0%9.7%34.4%46.3%37.2%8.6%0.9%101.6K4.1M-47.5K0.2432.03N/AN/A132324,8043,763
2008-12-26$50.94$49.8534.5%9.9%34.1%47.3%30.8%7.3%1.4%136.9K3.5M-49.9K0.2130.39N/AN/A4394,9203,778
2008-12-29$50.37$49.8534.8%10.0%34.5%47.9%39.0%6.0%0.9%111.9K4.1M-47.5K5.8939.42N/AN/A241464,9493,788
2008-12-30$51.93$49.8525.8%7.4%34.5%28.9%27.4%7.5%5.8%201.8K2.7M-49.0K0.9330.01N/AN/A2392214,9613,827
2008-12-31$52.45$49.8529.1%8.3%34.1%35.9%29.9%7.6%2.4%199.1K2.0M-50.5K1.1924.17N/AN/A4445295,0943,979