BDX Options History — January 2009

In January 2009, BDX traded between $51.89 and $56.87. ATM implied volatility averaged 33.7%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.6% (HV 20d: 29.1%). Max pain ranged from $49.85 to $53.69. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-01-28: Highest Volume — 4,340 contracts
  • 2009-01-09: Largest IV spike — 25.3% change
  • 2009-01-20: Highest IV Rank — 58.6%
  • 2009-01-20: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.55$51.89$56.87$53.58$55.74
Max Pain$52.73$49.85$53.69$49.85$53.69
ATM IV33.7%25.6%39.8%26.6%25.6%
Expected Move9.9%7.3%11.4%7.6%7.3%
HV 20d29.1%24.5%36.1%33.7%35.4%
HV 60d39.9%36.6%48.3%48.3%38.4%
IV Rank45.7%28.3%58.6%30.5%28.3%
IV Percentile74.2%50.8%83.3%60.7%50.8%
Term Structure-1.0%-3.9%5.1%5.1%3.0%
VWIV34.4%26.6%43.2%26.6%27.9%
Skew 25d8.3%5.6%11.2%9.5%11.2%
Skew 10d15.1%5.6%22.6%16.8%22.6%
Call IV 25d29.9%22.2%33.5%28.3%22.2%
Put IV 25d38.2%32.1%42.0%37.7%33.4%
Bid-Ask Spread %25.0713.1970.3470.3427.40
Gamma HHI0.340.220.570.220.48
Net GEX676.6K284.5K1.1M284.5K1.1M
Net DEX-7.3M-15.5M256.6K109.5K-12.0M
Net VEX-74.1K-109.7K-53.1K-53.1K-109.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.041.740.040.52
Total Volume1,1361784,3401,141777
Total OI13,181.29,12719,9039,12719,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$53.58$49.8526.6%7.6%33.7%30.5%26.6%9.5%5.1%284.5K109.5K-53.1K0.0470.34N/AN/A1,100415,1493,978
2009-01-05$53.01$53.6931.8%9.6%31.1%41.5%32.1%8.6%-1.6%419.3K-1.4M-56.5K0.5716.44N/AN/A4712706,1503,998
2009-01-06$52.45$53.6932.8%9.2%28.7%43.7%32.9%7.4%0.1%423.9K-802.9K-54.8K0.3223.28N/AN/A235746,3134,077
2009-01-07$51.89$53.6929.7%10.2%28.9%37.2%36.4%8.3%-2.1%389.5K256.6K-55.0K0.5318.11N/AN/A1,0235446,4134,072
2009-01-08$53.01$49.8529.7%10.0%26.8%37.1%36.1%7.5%-2.5%550.9K-3.1M-66.6K0.8213.19N/AN/A1491217,2004,540
2009-01-09$54.67$49.8537.2%10.7%28.3%53.1%33.9%8.0%-1.4%568.7K-8.1M-68.7K0.3214.72N/AN/A7162307,2104,598
2009-01-12$54.46$49.8532.8%11.2%28.1%43.7%36.8%9.8%-2.3%704.7K-8.7M-71.6K0.2515.60N/AN/A279697,7604,701
2009-01-13$55.25$49.8539.4%11.0%27.9%57.8%35.9%8.8%-2.6%702.5K-10.9M-72.3K0.7913.98N/AN/A6675287,8864,722
2009-01-14$54.47$53.6938.0%11.2%27.7%54.8%43.2%8.7%-2.5%697.4K-8.7M-75.0K1.7413.53N/AN/A941638,1835,057
2009-01-15$54.72$53.6938.9%11.2%24.6%56.8%39.4%8.5%-2.9%779.9K-9.3M-73.7K0.5421.02N/AN/A116628,2355,088
2009-01-16$55.62$53.6935.0%10.0%24.5%48.4%36.3%8.3%-0.8%609.2K-12.7M-73.7K0.3322.66N/AN/A3871268,2315,134
2009-01-20$54.43$53.6939.8%11.4%26.1%58.6%37.8%9.0%-2.6%557.5K-6.6M-71.4K0.2425.24N/AN/A4921207,5794,269
2009-01-21$55.44$53.6938.9%11.2%26.1%56.8%35.7%8.2%-3.9%688.2K-8.6M-73.7K0.3325.50N/AN/A267887,9784,322
2009-01-22$56.49$53.6932.8%9.4%26.6%43.8%36.3%8.3%0.1%755.4K-11.8M-76.0K0.4318.48N/AN/A3511518,0564,335
2009-01-23$54.79$53.6937.0%10.6%28.4%52.8%35.1%8.3%-0.9%714.5K-7.9M-75.1K0.4720.71N/AN/A2661238,2764,376
2009-01-26$55.60$53.6936.7%10.5%28.3%52.1%34.1%7.8%-1.8%801.2K-10.0M-72.8K0.8424.06N/AN/A1,8911,5858,2954,385
2009-01-27$56.87$53.6932.3%9.3%28.9%42.6%33.0%5.7%-2.0%965.3K-15.5M-87.4K0.5936.85N/AN/A1,9971,1709,7585,744
2009-01-28$53.73$53.6928.6%8.2%36.1%34.7%28.2%5.6%1.6%801.8K-3.3M-88.3K0.8143.00N/AN/A2,3981,94211,4406,551
2009-01-29$54.71$53.6930.5%8.8%35.1%38.9%30.1%8.1%-0.5%967.2K-6.2M-106.0K0.8637.29N/AN/A88075712,1087,554
2009-01-30$55.74$53.6925.6%7.3%35.4%28.3%27.9%11.2%3.0%1.1M-12.0M-109.7K0.5227.40N/AN/A51126612,1917,712