BDX Options History — July 2009

In July 2009, BDX traded between $49.97 and $56.45. ATM implied volatility averaged 22.9%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.7% (HV 20d: 23.7%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2009-07-30: Highest Volume — 12,232 contracts
  • 2009-07-16: Largest IV spike — 24.7% change
  • 2009-07-28: Highest IV Rank — 34.7%
  • 2009-07-28: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.59$49.97$56.45$54.23$49.97
Max Pain$53.69$53.69$53.69$53.69$53.69
ATM IV22.9%17.6%28.5%18.7%24.6%
Expected Move7.2%5.1%8.2%5.4%7.1%
HV 20d23.7%20.2%39.3%20.7%39.3%
HV 60d23.7%19.4%27.7%24.3%27.7%
IV Rank22.8%11.4%34.7%13.8%26.3%
IV Percentile22.7%4.8%44.8%6.3%28.6%
Term Structure-0.6%-3.8%5.2%5.2%0.4%
VWIV25.0%17.4%28.0%18.7%23.5%
Skew 25d2.1%-7.1%5.7%2.3%1.0%
Skew 10d5.8%-5.6%16.6%2.3%0.6%
Call IV 25d22.0%14.4%25.6%14.4%24.0%
Put IV 25d24.1%13.5%30.0%16.7%25.1%
Bid-Ask Spread %30.9020.4746.9946.9937.16
Gamma HHI0.530.410.730.520.42
Net GEX1.5M847.4K2.7M1.3M847.4K
Net DEX-16.4M-28.7M-689.3K-17.4M-689.3K
Net VEX-86.6K-93.6K-74.0K-89.6K-85.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.023.490.830.59
Total Volume1,197.90914012,2321404,919
Total OI13,607.13611,35619,30813,17019,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$54.23$53.6918.7%5.4%20.7%13.8%18.7%2.3%5.2%1.3M-17.4M-89.6K0.8346.99N/AN/A76648,8674,303
2009-07-02$52.96$53.6917.6%5.1%21.1%11.4%17.4%-0.3%5.2%1.2M-14.2M-87.7K3.4720.79N/AN/A421458,9054,307
2009-07-06$53.94$53.6920.3%7.5%21.9%17.0%26.6%1.4%-2.9%1.3M-15.8M-86.3K1.2132.42N/AN/A921118,9274,212
2009-07-07$53.24$53.6920.1%6.9%22.5%16.8%26.6%-0.0%-0.8%1.4M-14.5M-84.3K3.0234.14N/AN/A521588,9844,175
2009-07-08$52.67$53.6919.5%7.2%22.6%15.5%26.6%2.7%-1.0%1.3M-11.4M-82.6K0.0224.87N/AN/A1,334299,0174,111
2009-07-09$52.27$53.6918.9%7.1%22.7%14.1%25.0%-7.1%0.2%1.3M-11.5M-87.0K0.2725.58N/AN/A153419,8954,103
2009-07-10$51.95$53.6918.6%7.3%22.5%13.6%25.4%-6.9%-0.7%1.3M-10.1M-85.0K0.2027.54N/AN/A238479,9474,100
2009-07-13$52.98$53.6921.8%8.0%23.6%20.3%28.0%5.5%-1.8%1.7M-13.7M-86.9K0.2030.00N/AN/A1923810,0584,120
2009-07-14$53.48$53.6921.9%8.0%22.8%20.6%27.8%4.0%-2.8%2.0M-16.5M-87.9K0.3229.63N/AN/A3019810,1494,129
2009-07-15$54.33$53.6920.2%7.8%23.2%16.9%25.8%2.7%-0.9%1.9M-21.7M-89.2K0.2643.14N/AN/A2005210,2004,116
2009-07-16$54.37$53.6925.2%7.2%22.6%27.5%24.9%2.4%-0.0%2.2M-23.7M-88.3K0.1439.16N/AN/A2123110,2854,116
2009-07-17$53.30$53.6925.4%7.3%23.1%27.9%25.2%2.8%-0.8%2.7M-13.9M-81.7K0.2743.42N/AN/A2897910,0513,965
2009-07-20$53.43$53.6924.4%7.0%23.1%25.9%25.1%3.0%-0.3%1.2M-14.3M-78.7K0.4920.94N/AN/A3051498,6082,748
2009-07-21$53.67$53.6924.7%7.1%22.5%26.5%25.1%3.5%0.0%1.3M-15.8M-80.3K0.1229.16N/AN/A803938,8282,843
2009-07-22$53.62$53.6924.0%6.9%22.5%25.0%23.8%4.4%0.6%1.4M-17.6M-87.7K0.3732.11N/AN/A216809,5152,923
2009-07-23$54.78$53.6925.9%7.4%23.6%29.0%24.3%4.6%-0.9%1.5M-20.9M-91.3K0.1329.59N/AN/A1,2671629,5512,985
2009-07-24$55.02$53.6925.4%7.3%20.3%28.0%25.7%3.4%-2.0%1.7M-22.5M-93.1K0.2821.24N/AN/A43112010,1733,081
2009-07-27$55.45$53.6927.1%7.8%20.5%31.6%26.1%5.7%-1.6%1.7M-24.5M-93.5K0.4320.47N/AN/A1225210,2823,134
2009-07-28$55.26$53.6928.5%8.2%20.2%34.7%27.4%4.1%-3.8%1.7M-24.6M-91.3K3.4928.06N/AN/A13747710,1443,091
2009-07-29$56.45$53.6926.0%7.5%21.4%29.4%27.6%3.8%-3.7%1.6M-28.7M-93.6K0.2729.11N/AN/A56515010,1623,436
2009-07-30$51.69$53.6925.9%7.4%38.3%29.1%24.2%3.2%-1.0%1.1M-7.2M-74.0K0.6034.39N/AN/A7,6324,60010,0423,461
2009-07-31$49.97$53.6924.6%7.1%39.3%26.3%23.5%1.0%0.4%847.4K-689.3K-85.0K0.5937.16N/AN/A3,0901,82913,9135,395