BDX Options History — June 2009

In June 2009, BDX traded between $51.36 and $55.00. ATM implied volatility averaged 21.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 17.4%). Max pain ranged from $46.02 to $53.69. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2009-06-04: Highest Volume — 61,716 contracts
  • 2009-06-05: Largest IV spike — 39.9% change
  • 2009-06-15: Highest IV Rank — 32.4%
  • 2009-06-15: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.66$51.36$55.00$52.16$54.69
Max Pain$49.68$46.02$53.69$46.02$53.69
ATM IV21.0%15.4%27.4%15.4%19.4%
Expected Move6.2%4.4%7.9%4.4%5.6%
HV 20d17.4%14.8%20.5%17.7%20.4%
HV 60d25.4%23.6%27.4%27.4%24.3%
IV Rank18.7%6.8%32.4%6.8%15.1%
IV Percentile13.9%1.6%41.7%1.6%7.1%
Term Structure2.8%-1.5%5.4%3.6%4.8%
VWIV24.2%17.7%45.6%21.4%17.7%
Skew 25d4.7%0.4%8.3%4.0%0.4%
Skew 10d8.5%-1.6%17.4%12.3%-1.6%
Call IV 25d20.0%16.8%22.8%19.1%17.9%
Put IV 25d24.7%18.3%28.2%23.1%18.3%
Bid-Ask Spread %37.147.7165.2218.6733.90
Gamma HHI0.500.370.840.400.50
Net GEX1.7M575.5K3.1M2.0M1.2M
Net DEX-31.8M-44.3M-7.9M-39.4M-19.8M
Net VEX-78.8K-90.8K-64.2K-88.6K-90.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.007.570.550.28
Total Volume3,393.81814461,716670252
Total OI19,209.8189,16423,27622,52312,998

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$52.16$46.0215.4%4.4%17.7%6.8%21.4%4.0%3.6%2.0M-39.4M-88.6K0.5518.67N/AN/A43223816,6775,846
2009-06-02$52.78$46.0219.2%5.5%17.4%14.9%21.6%5.5%4.3%2.0M-44.1M-86.3K0.997.71N/AN/A43142916,7695,945
2009-06-03$52.88$46.0219.1%5.5%16.5%14.5%23.1%4.9%4.4%2.0M-42.9M-88.9K2.1814.16N/AN/A13228716,8096,103
2009-06-04$51.79$46.0216.7%4.8%18.0%9.5%45.6%5.2%3.4%1.9M-36.3M-90.8K0.0019.37N/AN/A61,46824816,8096,274
2009-06-05$51.63$49.8523.4%7.4%18.2%23.7%22.6%5.0%0.4%1.8M-35.9M-87.2K3.6145.22N/AN/A11140116,4896,333
2009-06-08$51.57$49.8523.1%7.6%17.4%23.1%26.2%5.4%0.5%1.7M-36.0M-82.5K0.9147.04N/AN/A756916,2886,290
2009-06-09$52.16$49.8516.4%6.6%17.4%8.9%27.1%4.9%1.9%1.8M-40.2M-79.0K7.5749.58N/AN/A12594816,3126,356
2009-06-10$51.84$49.8519.7%6.6%16.0%15.9%25.2%4.3%2.0%1.7M-37.2M-76.5K1.6649.69N/AN/A11419116,2996,406
2009-06-11$52.37$49.8523.2%6.6%15.0%23.3%25.4%5.0%1.3%1.9M-42.7M-74.7K0.8631.53N/AN/A22819616,3206,518
2009-06-12$52.42$49.8522.6%6.5%14.8%22.0%24.8%3.1%2.8%1.9M-40.8M-73.4K1.0538.43N/AN/A858916,3926,491
2009-06-15$51.49$49.8527.4%7.9%15.8%32.4%27.4%5.9%-1.5%1.6M-35.2M-70.2K4.5038.04N/AN/A3214116,4166,513
2009-06-16$51.36$49.8525.0%7.2%15.8%27.2%23.5%5.1%1.7%1.4M-35.0M-67.3K0.4442.02N/AN/A1968616,4226,513
2009-06-17$52.21$49.8522.4%6.4%16.4%21.7%22.5%8.3%2.8%1.7M-39.6M-67.2K1.6053.55N/AN/A18129116,4366,516
2009-06-18$53.16$49.8521.9%6.3%17.2%20.5%24.6%3.6%3.8%3.1M-44.3M-67.2K0.2350.02N/AN/A63114616,4386,664
2009-06-19$53.04$49.8521.5%6.2%17.3%19.8%24.2%5.0%3.1%2.4M-43.4M-65.8K0.3837.25N/AN/A52420116,5736,703
2009-06-22$52.33$49.8523.0%6.6%17.8%22.9%24.1%5.1%2.0%575.5K-7.9M-64.2K0.0665.22N/AN/A1,7801025,9143,250
2009-06-23$52.35$49.8520.6%5.9%16.6%17.8%21.4%5.0%4.7%931.7K-11.6M-78.5K1.3326.07N/AN/A2663547,6093,305
2009-06-24$52.54$49.8520.1%5.8%16.6%16.8%22.3%6.4%5.4%1.0M-11.9M-79.9K0.6819.05N/AN/A1721177,7883,373
2009-06-25$54.39$49.8522.2%6.4%20.4%21.2%21.8%6.5%2.8%1.2M-17.8M-83.7K0.5640.20N/AN/A6783787,9233,451
2009-06-26$54.41$53.6920.2%5.8%20.2%17.0%20.5%3.2%4.7%1.2M-17.8M-86.3K0.9749.96N/AN/A2902818,1883,733
2009-06-29$55.00$53.6920.2%5.8%20.5%16.9%19.9%1.2%2.8%1.3M-20.0M-83.8K0.7940.46N/AN/A7075618,3213,843
2009-06-30$54.69$53.6919.4%5.6%20.4%15.1%17.7%0.4%4.8%1.2M-19.8M-90.7K0.2833.90N/AN/A197558,7504,248