BDX Options History — April 2009

In April 2009, BDX traded between $46.39 and $52.47. ATM implied volatility averaged 32.9%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.2% (HV 20d: 26.7%). Max pain ranged from $46.02 to $53.69. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-04-29: Highest Volume — 2,377 contracts
  • 2009-04-15: Largest IV spike — 12.3% change
  • 2009-04-24: Highest IV Rank — 53.1%
  • 2009-04-07: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.44$46.39$52.47$50.93$46.39
Max Pain$50.04$46.02$53.69$46.02$49.85
ATM IV32.9%27.5%37.2%32.1%27.5%
Expected Move9.7%7.9%10.9%9.2%7.9%
HV 20d26.7%20.4%31.2%30.6%31.1%
HV 60d30.4%28.3%31.6%31.6%30.1%
IV Rank43.9%32.5%53.1%42.4%32.5%
IV Percentile64.1%44.0%76.2%63.9%44.0%
Term Structure-0.9%-3.8%4.9%3.0%4.9%
VWIV33.6%25.8%38.6%31.9%25.8%
Skew 25d5.3%4.0%7.1%7.1%6.2%
Skew 10d9.3%6.2%13.6%13.6%8.1%
Call IV 25d30.1%28.2%31.9%30.7%28.2%
Put IV 25d35.4%33.6%37.7%37.7%34.4%
Bid-Ask Spread %18.539.3935.0833.6620.88
Gamma HHI0.320.230.470.230.23
Net GEX754.5K-110.8K1.2M707.6K42.4K
Net DEX-7.7M-16.8M6.9M-8.6M5.2M
Net VEX-73.8K-83.8K-52.5K-78.1K-61.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.004.800.080.37
Total Volume888.667382,3777701,007
Total OI14,682.28612,80917,31613,44417,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$50.93$46.0232.1%9.2%30.6%42.4%31.9%7.1%3.0%707.6K-8.6M-78.1K0.0833.66N/AN/A711598,8934,551
2009-04-02$51.23$46.0232.1%9.2%30.0%42.2%33.6%5.5%3.4%851.8K-11.0M-82.1K0.8526.27N/AN/A1861569,4144,561
2009-04-03$50.60$53.6931.1%10.2%30.4%40.2%35.7%5.4%-2.0%779.9K-8.5M-78.4K0.329.39N/AN/A2999,4344,644
2009-04-06$50.21$53.6933.6%10.5%28.5%45.5%36.2%6.5%-2.8%744.2K-7.4M-74.5K0.3410.12N/AN/A178609,4424,648
2009-04-07$50.15$53.6932.3%10.9%28.5%42.7%37.8%5.4%-3.8%768.7K-7.5M-74.6K0.7910.64N/AN/A1911509,5884,690
2009-04-08$50.94$49.8531.8%10.2%27.7%41.7%33.5%6.0%-1.5%876.4K-9.7M-77.3K0.2310.94N/AN/A154369,7284,832
2009-04-09$51.57$49.8533.7%9.7%24.9%45.8%32.2%5.7%-1.1%997.0K-12.2M-75.6K0.9311.05N/AN/A1141079,8544,859
2009-04-13$51.58$49.8535.4%10.2%24.1%49.4%35.0%4.7%-1.8%999.4K-12.7M-74.4K0.7912.10N/AN/A93739,9444,877
2009-04-14$52.39$49.8532.7%9.4%24.5%43.5%32.8%5.7%-0.9%1.1M-15.9M-74.8K0.0015.26N/AN/A1,61859,9534,879
2009-04-15$51.76$49.8536.7%10.5%24.9%52.0%34.9%4.6%-2.3%1.2M-15.7M-79.6K0.3612.96N/AN/A2529211,0224,877
2009-04-16$52.08$49.8532.3%9.3%25.0%42.8%32.9%4.7%-1.1%1.2M-15.9M-76.1K0.7117.43N/AN/A66947210,6964,611
2009-04-17$52.37$49.8531.1%8.9%22.3%40.1%31.3%5.3%-0.9%979.6K-16.8M-79.6K0.0815.38N/AN/A1,26310211,0795,059
2009-04-20$52.47$49.8531.4%9.0%22.1%40.7%31.9%5.4%-1.2%958.9K-11.1M-80.7K0.0721.88N/AN/A916668,5874,222
2009-04-21$51.93$49.8531.9%9.2%20.4%41.9%35.6%5.1%-1.7%1.0M-10.3M-83.8K1.1122.39N/AN/A1141279,4384,271
2009-04-22$51.37$49.8534.8%10.0%20.7%48.0%32.8%5.0%-1.7%939.8K-8.6M-81.9K4.8019.26N/AN/A2079959,5184,373
2009-04-23$49.11$49.8536.6%10.5%26.2%51.9%38.6%5.0%-2.0%554.6K-1.8M-66.6K0.4515.66N/AN/A1,0074499,4933,861
2009-04-24$47.91$49.8537.2%10.7%27.4%53.1%35.6%4.0%-3.5%399.1K673.5K-61.7K1.2335.08N/AN/A56269210,1214,243
2009-04-27$49.77$49.8534.4%9.9%29.0%47.2%37.9%5.0%-2.9%684.1K-4.0M-74.2K1.1119.51N/AN/A78186910,3534,723
2009-04-28$47.68$49.8531.9%9.1%31.2%41.9%30.2%4.6%0.1%105.1K3.4M-61.0K0.3831.83N/AN/A1,24147310,5785,196
2009-04-29$46.72$49.8529.5%8.5%31.2%36.8%29.4%5.3%1.5%-110.8K6.9M-52.5K0.3417.53N/AN/A1,77260510,5325,368
2009-04-30$46.39$49.8527.5%7.9%31.1%32.5%25.8%6.2%4.9%42.4K5.2M-61.6K0.3720.88N/AN/A73627111,7525,564