BDX Options History — March 2009

In March 2009, BDX traded between $47.22 and $52.31. ATM implied volatility averaged 34.2%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.0% (HV 20d: 32.3%). Max pain ranged from $46.02 to $53.69. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2009-03-20: Highest Volume — 1,618 contracts
  • 2009-03-12: Largest IV drop — 19.3% change
  • 2009-03-09: Highest IV Rank — 62.4%
  • 2009-03-09: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.83$47.22$52.31$48.86$51.57
Max Pain$49.16$46.02$53.69$53.69$46.02
ATM IV34.2%30.1%41.5%37.1%33.0%
Expected Move9.7%8.6%11.2%10.6%9.5%
HV 20d32.3%28.5%37.2%28.5%30.2%
HV 60d31.5%30.8%33.2%33.2%31.6%
IV Rank46.8%38.1%62.4%53.0%44.1%
IV Percentile70.7%59.5%87.3%77.8%67.5%
Term Structure1.2%-3.0%3.0%-1.1%2.5%
VWIV33.5%28.0%39.4%35.9%30.7%
Skew 25d7.0%3.4%14.7%3.4%6.9%
Skew 10d12.6%4.1%23.7%9.2%11.9%
Call IV 25d31.7%23.4%38.1%35.9%30.6%
Put IV 25d38.7%35.3%43.5%39.2%37.5%
Bid-Ask Spread %32.2918.0642.9636.3939.92
Gamma HHI0.190.160.250.160.23
Net GEX172.4K-140.1K736.4K-35.6K736.4K
Net DEX1.2M-11.8M9.5M7.5M-10.7M
Net VEX-70.3K-81.3K-62.2K-68.8K-81.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.012.270.190.18
Total Volume522.6361391,618952252
Total OI14,890.04510,84117,00615,74313,285

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$48.86$53.6937.1%10.6%28.5%53.0%35.9%3.4%-1.1%-35.6K7.5M-68.8K0.1936.39N/AN/A7981549,3126,431
2009-03-03$49.59$53.6937.5%10.7%29.4%53.7%39.4%7.7%0.5%65.9K5.2M-75.7K1.6418.06N/AN/A1682759,7056,436
2009-03-04$49.86$53.6935.9%10.3%28.8%50.4%33.3%8.4%-0.2%64.0K4.8M-77.5K0.3429.44N/AN/A226799,7236,452
2009-03-05$49.05$53.6938.1%10.9%28.9%55.1%38.1%6.3%-3.0%18.2K6.4M-73.4K0.5342.96N/AN/A2761489,8756,417
2009-03-06$49.20$49.8535.0%10.1%28.9%48.4%35.6%7.2%0.8%-9.0K6.6M-73.1K0.6330.27N/AN/A150949,7776,460
2009-03-09$47.81$49.8541.5%11.2%29.7%62.4%37.4%5.8%-0.8%-104.1K8.5M-66.5K0.4729.36N/AN/A154739,7916,277
2009-03-10$48.15$49.8536.6%9.6%30.0%51.8%35.7%4.8%1.4%-106.0K8.2M-66.3K0.2029.83N/AN/A394809,8596,276
2009-03-11$47.22$49.8541.0%10.5%29.2%61.2%35.6%6.3%1.2%-140.1K9.5M-62.9K2.2741.43N/AN/A761749,9556,215
2009-03-12$49.05$49.8533.1%9.5%33.2%44.4%32.5%11.0%0.3%-64.6K6.0M-65.2K0.4525.57N/AN/A2371079,9816,178
2009-03-13$49.99$49.8532.5%9.3%34.1%43.0%30.1%14.7%3.0%64.2K3.1M-67.1K0.6725.02N/AN/A15610410,0506,169
2009-03-16$49.91$49.8533.2%9.5%34.1%44.7%34.7%7.0%1.5%47.5K2.9M-66.1K2.1033.67N/AN/A952009,9906,196
2009-03-17$50.36$49.8532.6%9.3%34.1%43.3%31.6%7.7%2.5%82.0K2.0M-63.8K0.4732.15N/AN/A944510,0466,190
2009-03-18$50.44$49.8533.0%9.4%34.1%44.1%33.9%5.7%0.9%88.0K1.4M-65.2K0.9032.27N/AN/A36632910,0846,220
2009-03-19$49.01$49.8533.2%9.5%35.3%44.6%38.5%6.9%0.8%-52.9K5.7M-62.2K0.2242.15N/AN/A62113910,2546,310
2009-03-20$49.52$46.0231.3%9.0%35.7%40.6%30.8%6.8%1.8%-54.7K3.5M-64.7K0.3438.90N/AN/A1,20641210,6406,366
2009-03-23$50.94$46.0230.3%8.7%37.2%38.5%28.0%7.7%2.7%408.0K-5.1M-69.7K0.1818.64N/AN/A5481006,9353,906
2009-03-24$50.66$46.0232.7%9.4%37.2%43.5%30.8%6.3%2.6%471.4K-6.3M-73.8K0.1032.79N/AN/A307317,3233,988
2009-03-25$50.94$46.0230.7%8.8%37.0%39.3%29.5%5.2%1.9%491.3K-6.3M-73.7K0.0140.07N/AN/A21437,4504,011
2009-03-26$50.83$46.0230.8%8.8%34.3%39.5%33.0%5.6%2.5%479.1K-5.8M-71.8K1.0623.94N/AN/A7167577,5044,013
2009-03-27$52.31$46.0230.1%8.6%29.7%38.1%29.9%6.3%2.2%681.1K-11.8M-80.3K0.0634.01N/AN/A516338,1274,476
2009-03-30$50.91$46.0233.4%9.6%30.3%45.0%31.0%7.4%3.0%662.1K-8.8M-76.5K0.1433.58N/AN/A518738,4334,495
2009-03-31$51.57$46.0233.0%9.5%30.2%44.1%30.7%6.9%2.5%736.4K-10.7M-81.3K0.1839.92N/AN/A214388,7554,530