BDX Options History — May 2009

In May 2009, BDX traded between $46.69 and $51.91. ATM implied volatility averaged 24.2%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 6.0% (HV 20d: 30.2%). Max pain ranged from $46.02 to $49.85. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-05-08: Highest Volume — 4,326 contracts
  • 2009-05-08: Largest IV drop — 37.1% change
  • 2009-05-04: Highest IV Rank — 38.7%
  • 2009-05-06: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.38$46.69$51.91$46.92$51.91
Max Pain$47.17$46.02$49.85$49.85$46.02
ATM IV24.2%14.5%30.4%27.9%14.5%
Expected Move7.4%4.2%9.1%8.0%4.2%
HV 20d30.2%17.8%34.2%31.4%17.8%
HV 60d30.0%27.5%31.0%30.2%27.6%
IV Rank25.4%4.9%38.7%33.2%4.9%
IV Percentile27.8%0.8%52.4%45.2%0.8%
Term Structure1.9%-0.7%5.2%2.5%5.2%
VWIV26.6%21.7%31.1%27.7%21.7%
Skew 25d3.5%1.4%5.3%5.3%4.1%
Skew 10d7.6%-1.3%11.5%9.6%3.0%
Call IV 25d24.7%17.4%29.7%27.6%17.4%
Put IV 25d28.3%20.9%33.0%32.9%21.6%
Bid-Ask Spread %35.808.3976.4321.0153.51
Gamma HHI0.280.220.390.220.39
Net GEX1.1M17.1K1.9M96.8K1.9M
Net DEX-19.1M-37.4M4.6M4.0M-37.4M
Net VEX-91.3K-111.3K-65.4K-65.4K-91.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.072.680.810.63
Total Volume1,344.552294,326968367
Total OI21,667.317,82525,64417,82522,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$46.92$49.8527.9%8.0%31.4%33.2%27.7%5.3%2.5%96.8K4.0M-65.4K0.8121.01N/AN/A53443412,1655,660
2009-05-04$46.69$49.8530.4%8.9%31.2%38.7%30.5%3.3%-0.5%17.1K4.6M-66.5K0.3013.58N/AN/A2,01259812,4976,037
2009-05-05$47.68$49.8529.3%8.9%32.4%36.3%30.7%2.5%-0.7%316.4K-1.2M-76.2K1.5341.25N/AN/A17627013,4846,225
2009-05-06$47.14$49.8529.7%9.1%32.6%37.2%31.1%2.9%0.7%249.3K836.2K-74.1K0.8523.83N/AN/A19516513,5446,411
2009-05-07$47.25$49.8529.6%8.5%31.9%37.0%28.7%3.4%2.4%279.0K229.7K-74.7K0.8428.02N/AN/A1,06589313,6456,422
2009-05-08$48.18$49.8518.6%7.6%32.5%13.6%29.5%3.4%1.8%432.9K-3.1M-76.8K0.1528.83N/AN/A3,76456214,1926,884
2009-05-11$47.97$46.0216.9%8.1%32.4%9.9%28.3%3.1%1.3%972.0K-13.2M-91.7K0.0727.46N/AN/A2,40916217,3506,815
2009-05-12$49.15$46.0221.4%8.0%33.3%19.4%29.0%2.8%1.8%1.2M-22.4M-108.3K0.6833.22N/AN/A54236818,4906,836
2009-05-13$50.11$46.0221.0%7.7%34.0%18.6%27.1%2.9%3.1%1.3M-30.9M-111.3K0.1232.33N/AN/A1,89523518,5486,678
2009-05-14$50.54$46.0227.2%7.8%34.1%31.9%27.1%2.2%3.4%1.3M-33.8M-104.3K1.2732.05N/AN/A1,0941,39218,4836,733
2009-05-15$49.98$46.0227.0%7.7%34.2%31.3%26.9%3.2%1.5%1.5M-26.7M-104.4K0.4476.43N/AN/A25611318,4587,186
2009-05-18$49.80$46.0224.6%7.1%34.1%26.3%24.9%4.1%2.1%1.3M-21.5M-94.7K0.3729.87N/AN/A1,25346314,5004,682
2009-05-19$49.52$46.0224.5%7.0%34.0%26.1%25.9%4.5%0.8%1.5M-22.6M-101.5K0.8748.77N/AN/A24020915,4944,977
2009-05-20$49.90$46.0224.7%7.1%34.0%26.5%25.4%3.4%0.6%1.6M-25.0M-101.3K0.4034.86N/AN/A2389515,6395,049
2009-05-21$49.88$46.0224.1%6.9%29.9%25.3%24.4%4.5%1.8%1.6M-23.8M-99.5K0.2826.86N/AN/A1795015,6944,991
2009-05-22$50.54$46.0223.2%6.7%28.6%23.3%23.4%4.6%3.2%1.7M-29.0M-97.1K0.7142.72N/AN/A55039315,8025,007
2009-05-26$51.49$46.0222.7%6.5%26.2%22.3%24.1%4.7%2.8%1.8M-32.8M-93.5K0.5453.75N/AN/A1,74894816,0345,331
2009-05-27$51.49$46.0222.8%6.5%20.2%22.5%22.2%4.4%1.7%1.9M-34.7M-97.4K1.9959.32N/AN/A12124216,6335,882
2009-05-28$51.39$46.0223.0%6.6%18.3%22.8%22.8%1.4%2.4%1.9M-34.4M-95.6K2.688.39N/AN/A17948216,6075,775
2009-05-29$51.91$46.0214.5%4.2%17.8%4.9%21.7%4.1%5.2%1.9M-37.4M-91.2K0.6353.51N/AN/A22514216,6785,828