BDX Options History — August 2009

In August 2009, BDX traded between $48.90 and $54.08. ATM implied volatility averaged 23.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 13.6% (HV 20d: 37.2%). Max pain ranged from $49.85 to $53.69. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-08-21: Highest Volume — 7,399 contracts
  • 2009-08-31: Largest IV spike — 5.6% change
  • 2009-08-17: Highest IV Rank — 28.0%
  • 2009-08-10: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.39$48.90$54.08$50.23$53.40
Max Pain$50.58$49.85$53.69$53.69$49.85
ATM IV23.5%20.9%25.4%25.0%22.6%
Expected Move6.8%6.0%7.5%7.2%6.5%
HV 20d37.2%20.9%41.0%38.6%21.7%
HV 60d28.0%27.2%28.6%27.7%28.4%
IV Rank23.9%18.5%28.0%27.2%19.5%
IV Percentile22.9%11.1%32.9%30.6%17.1%
Term Structure1.2%-0.3%3.3%-0.1%0.3%
VWIV23.5%21.4%25.0%24.8%22.6%
Skew 25d3.4%0.9%8.6%1.1%8.0%
Skew 10d7.5%-4.6%15.5%1.7%15.5%
Call IV 25d22.0%15.2%25.3%24.4%17.7%
Put IV 25d25.5%23.8%28.9%25.4%25.7%
Bid-Ask Spread %24.559.6152.5836.8015.18
Gamma HHI0.430.300.660.420.47
Net GEX1.9M-78.6K3.3M777.1K2.6M
Net DEX-17.1M-42.5M7.6M-732.9K-31.1M
Net VEX-148.1K-204.7K-98.5K-103.1K-203.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.043.531.731.11
Total Volume2,289.0955197,3991,8321,768
Total OI28,631.23821,74634,24421,74632,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$50.23$53.6925.0%7.2%38.6%27.2%24.8%1.1%-0.1%777.1K-732.9K-103.1K1.7336.80N/AN/A6721,16014,9986,748
2009-08-04$50.28$53.6924.6%7.0%38.4%26.3%24.6%1.3%-0.2%648.1K-900.6K-108.2K1.8838.04N/AN/A29054414,9927,416
2009-08-05$49.98$53.6924.3%7.0%38.3%25.6%24.2%2.3%-0.0%420.8K1.3M-108.9K1.7041.32N/AN/A34558615,0447,890
2009-08-06$48.90$53.6923.9%6.9%38.9%24.8%24.7%1.4%-0.3%-78.6K7.6M-98.5K1.5638.84N/AN/A36056115,2778,236
2009-08-07$49.41$49.8524.0%7.2%39.2%24.9%24.2%2.0%0.3%193.6K4.3M-103.8K0.0415.28N/AN/A5,54622115,4488,254
2009-08-10$50.40$49.8523.9%7.5%39.2%24.7%25.0%4.2%0.2%2.1M-9.7M-119.3K0.7924.76N/AN/A41332720,6888,229
2009-08-11$50.62$49.8523.3%7.2%39.1%23.6%21.9%3.2%1.0%1.9M-12.8M-119.2K0.3929.29N/AN/A46217918,5138,349
2009-08-12$51.60$49.8524.0%7.1%39.3%24.9%22.7%4.4%1.7%2.5M-21.8M-121.8K0.4152.58N/AN/A3,3701,37118,4828,257
2009-08-13$50.46$49.8524.0%6.9%39.9%25.0%24.3%2.0%1.3%2.0M-13.1M-149.0K1.2925.94N/AN/A44958021,3079,544
2009-08-14$50.92$49.8524.1%6.9%39.6%25.2%23.5%3.7%1.6%2.1M-15.7M-152.2K1.0713.44N/AN/A25126821,3319,993
2009-08-17$50.85$49.8525.4%7.3%39.6%28.0%24.8%1.4%1.6%2.0M-17.5M-149.2K1.0824.15N/AN/A60464921,44610,151
2009-08-18$50.35$49.8524.3%7.0%39.6%25.7%24.2%1.5%2.3%1.9M-11.5M-147.3K3.5330.02N/AN/A5712,01421,64710,243
2009-08-19$50.36$49.8524.8%7.1%39.6%26.7%24.7%2.7%2.5%1.8M-6.6M-149.8K0.899.61N/AN/A1,12399521,63811,419
2009-08-20$51.96$49.8524.1%6.9%40.5%25.2%24.8%4.1%1.6%2.4M-25.0M-155.4K0.7214.03N/AN/A1,9471,41121,50811,526
2009-08-21$52.81$49.8523.0%6.6%41.0%23.0%23.0%6.4%3.3%3.3M-36.5M-164.0K0.0921.89N/AN/A6,78561422,78811,456
2009-08-24$52.66$49.8522.7%6.5%40.9%22.3%23.5%0.9%1.5%2.1M-25.3M-173.1K0.8012.53N/AN/A1,03582717,3728,961
2009-08-25$52.86$49.8521.7%6.2%40.9%20.1%21.5%6.1%1.6%2.5M-28.1M-182.7K0.4913.67N/AN/A1,14956518,3879,459
2009-08-26$53.56$49.8522.0%6.3%40.4%20.8%22.2%3.7%1.4%2.7M-35.2M-193.2K0.3921.11N/AN/A1,94475318,9359,992
2009-08-27$53.61$49.8520.9%6.0%24.7%18.5%21.4%8.6%2.5%3.3M-38.5M-203.4K0.6216.59N/AN/A1,8901,16320,46010,385
2009-08-28$54.08$49.8521.4%6.1%20.9%19.4%21.4%3.5%0.3%3.3M-42.5M-204.7K2.5720.50N/AN/A6461,66320,55711,190
2009-08-31$53.40$49.8522.6%6.5%21.7%19.5%22.6%8.0%0.3%2.6M-31.1M-203.9K1.1115.18N/AN/A83893020,43512,305