BDX Options History — February 2009 In February 2009, BDX traded between $47.47 and $56.83. ATM implied volatility averaged 28.8%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 2.9% (HV 20d: 31.7%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.80.
Notable Days 2009-02-27 : Highest Volume — 2,765 contracts2009-02-09 : Largest IV spike — 20.6% change2009-02-27 : Highest IV Rank — 50.6%2009-02-27 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $53.91 $47.47 $56.83 $55.85 $47.47 Max Pain $56.11 $53.69 $57.52 $53.69 $53.69 ATM IV 28.8% 24.2% 36.0% 26.8% 36.0% Expected Move 8.3% 7.3% 10.3% 7.7% 10.3% HV 20d 31.7% 23.0% 34.8% 34.8% 27.0% HV 60d 34.3% 30.5% 38.4% 38.3% 32.9% IV Rank 35.3% 25.4% 50.6% 30.9% 50.6% IV Percentile 62.6% 45.6% 76.2% 57.5% 76.2% Term Structure 0.8% -3.4% 3.3% 2.2% -3.4% VWIV 29.5% 24.8% 34.6% 27.0% 34.6% Skew 25d 5.8% 2.9% 9.8% 9.2% 6.4% Skew 10d 10.9% -0.9% 22.6% 22.6% 8.1% Call IV 25d 27.0% 21.6% 31.6% 23.4% 31.6% Put IV 25d 32.9% 28.2% 38.0% 32.5% 38.0% Bid-Ask Spread % 36.85 20.34 51.22 38.56 30.28 Gamma HHI 0.44 0.16 0.64 0.49 0.16 Net GEX 640.8K -2.2M 2.4M 1.2M -101.7K Net DEX -5.0M -23.6M 10.4M -13.0M 10.4M Net VEX -82.2K -114.4K -47.9K -106.7K -47.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.08 3.18 0.29 0.83 Total Volume 946.105 187 2,765 2,313 2,765 Total OI 19,893.842 12,854 22,398 20,334 13,890
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-02-02 $55.85 $53.69 26.8% 7.7% 34.8% 30.9% 27.0% 9.2% 2.2% 1.2M -13.0M -106.7K 0.29 38.56 N/A N/A 1,795 518 12,477 7,857 2009-02-03 $56.60 $53.69 26.1% 7.5% 34.7% 29.6% 26.8% 9.8% 2.8% 2.0M -20.0M -113.3K 0.08 51.22 N/A N/A 820 65 13,996 7,969 2009-02-04 $56.66 $53.69 25.7% 7.4% 34.3% 28.7% 24.8% 2.9% 3.3% 2.2M -23.1M -114.4K 0.08 41.38 N/A N/A 1,154 94 14,414 7,984 2009-02-05 $56.80 $53.69 25.6% 7.3% 33.9% 28.3% 25.2% 3.5% 2.7% 2.3M -22.9M -111.7K 0.14 30.87 N/A N/A 373 52 14,285 8,002 2009-02-06 $56.83 $57.52 24.2% 7.8% 33.3% 25.4% 26.2% 6.4% 1.8% 2.4M -23.6M -107.1K 2.48 47.18 N/A N/A 141 350 14,146 8,011 2009-02-09 $55.85 $57.52 29.1% 8.0% 32.4% 36.0% 28.6% 5.2% 1.8% 2.0M -15.0M -100.5K 0.16 40.60 N/A N/A 2,269 371 14,188 7,982 2009-02-10 $54.22 $57.52 30.4% 8.8% 34.2% 38.7% 32.6% 5.0% 0.7% 890.7K -4.0M -91.3K 3.18 37.73 N/A N/A 141 448 13,568 8,092 2009-02-11 $54.37 $57.52 27.8% 8.7% 33.8% 33.2% 32.7% 4.3% -0.1% 634.4K -2.7M -86.5K 0.58 38.66 N/A N/A 140 81 13,666 8,283 2009-02-12 $54.66 $57.52 29.5% 8.5% 33.4% 36.8% 30.8% 5.3% 0.4% 542.2K -4.3M -83.2K 0.53 47.25 N/A N/A 173 93 13,727 8,288 2009-02-13 $54.18 $57.52 30.6% 8.8% 33.5% 39.0% 28.5% 4.1% -1.3% 506.2K -2.8M -82.1K 1.13 40.33 N/A N/A 88 99 13,731 8,399 2009-02-17 $53.37 $57.52 30.8% 8.8% 33.3% 39.5% 30.5% 7.4% -1.7% -120.1K 2.3M -72.1K 1.46 32.72 N/A N/A 216 317 13,731 8,468 2009-02-18 $53.33 $57.52 31.0% 8.9% 32.5% 40.0% 30.0% 6.4% 0.4% -338.9K 4.5M -72.3K 0.89 46.07 N/A N/A 99 89 13,675 8,595 2009-02-19 $53.52 $57.52 30.0% 8.6% 31.7% 37.9% 30.8% 6.9% 0.1% -784.1K 3.7M -67.8K 0.55 28.33 N/A N/A 169 93 13,734 8,568 2009-02-20 $53.39 $57.52 29.2% 8.4% 30.8% 36.2% 32.9% 5.8% 1.5% -2.2M 2.6M -65.6K 1.02 31.27 N/A N/A 140 142 13,750 8,529 2009-02-23 $52.65 $57.52 30.0% 8.6% 29.3% 37.8% 31.8% 5.2% -0.1% 320.2K 1.8M -58.5K 0.28 41.14 N/A N/A 1,406 398 7,732 5,122 2009-02-24 $52.65 $57.52 27.3% 7.8% 28.7% 32.1% 29.3% 6.6% 2.0% 375.8K 1.8M -64.1K 0.73 25.86 N/A N/A 332 242 8,773 5,331 2009-02-25 $51.87 $53.69 26.9% 7.7% 27.3% 31.1% 28.1% 6.3% 1.3% 303.7K 2.9M -61.6K 0.67 30.37 N/A N/A 275 186 8,983 5,426 2009-02-26 $49.93 $53.69 30.3% 8.7% 23.0% 38.4% 29.7% 4.4% 0.4% 44.8K 6.8M -54.5K 0.08 20.34 N/A N/A 1,701 141 9,035 5,576 2009-02-27 $47.47 $53.69 36.0% 10.3% 27.0% 50.6% 34.6% 6.4% -3.4% -101.7K 10.4M -47.9K 0.83 30.28 N/A N/A 1,507 1,258 8,249 5,641
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