BDX Options History — September 2009

In September 2009, BDX traded between $52.37 and $54.72. ATM implied volatility averaged 22.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 19.7%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2009-09-18: Highest Volume — 7,639 contracts
  • 2009-09-09: Largest IV spike — 9.6% change
  • 2009-09-09: Highest IV Rank — 21.9%
  • 2009-09-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.60$52.37$54.72$52.37$53.50
Max Pain$53.69$53.69$53.69$53.69$53.69
ATM IV22.2%20.4%24.3%22.4%20.5%
Expected Move6.4%5.9%6.9%6.4%5.9%
HV 20d19.7%16.4%23.1%23.1%17.9%
HV 60d28.4%27.6%29.0%28.7%27.6%
IV Rank17.2%13.2%21.9%19.2%13.4%
IV Percentile15.0%8.3%27.0%16.3%8.7%
Term Structure2.4%0.5%4.1%0.5%3.0%
VWIV22.2%20.0%25.0%22.9%20.5%
Skew 25d3.4%0.7%7.4%4.7%6.4%
Skew 10d6.3%-1.8%26.9%14.7%10.6%
Call IV 25d20.6%14.7%23.5%19.8%16.8%
Put IV 25d24.0%21.2%26.2%24.5%23.3%
Bid-Ask Spread %25.389.6451.3019.1234.87
Gamma HHI0.500.420.870.420.49
Net GEX3.7M2.0M16.4M2.0M3.3M
Net DEX-31.7M-57.1M-18.6M-20.4M-25.6M
Net VEX-187.1K-211.6K-171.3K-206.4K-174.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.027.161.430.12
Total Volume1,302.1431027,6391,7701,348
Total OI31,276.38123,16938,60933,64725,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$52.37$53.6922.4%6.4%23.1%19.2%22.9%4.7%0.5%2.0M-20.4M-206.4K1.4319.12N/AN/A7301,04020,74512,902
2009-09-02$52.42$53.6922.4%6.4%23.0%17.7%22.5%4.5%0.8%2.1M-19.8M-211.6K1.4115.61N/AN/A47667221,29313,795
2009-09-03$52.92$53.6922.0%6.3%21.2%16.7%22.4%5.2%1.5%2.3M-21.9M-209.7K2.399.64N/AN/A12630321,43614,021
2009-09-04$53.92$53.6921.4%6.6%21.7%15.3%20.0%1.9%2.8%2.8M-32.6M-205.5K0.2051.30N/AN/A3597120,30414,152
2009-09-08$53.06$53.6922.2%6.9%22.1%17.1%25.0%2.7%2.4%2.5M-21.1M-196.6K1.0320.25N/AN/A52053620,24314,081
2009-09-09$53.96$53.6924.3%6.7%22.6%21.9%23.1%2.9%2.7%2.8M-34.1M-198.2K2.3924.53N/AN/A36386620,55914,343
2009-09-10$54.42$53.6923.8%6.8%22.0%20.8%23.5%3.4%2.0%3.3M-42.0M-195.2K7.1629.31N/AN/A1681,20320,55714,255
2009-09-11$54.72$53.6923.7%6.8%19.9%20.5%23.7%3.0%1.8%2.7M-47.2M-189.0K0.7127.25N/AN/A36626120,56615,073
2009-09-14$54.27$53.6923.1%6.6%20.2%19.1%22.5%3.0%3.1%3.7M-45.0M-179.3K6.1336.03N/AN/A1861,13520,65614,081
2009-09-15$54.07$53.6924.1%6.9%20.3%21.5%24.9%2.4%0.8%3.5M-38.4M-178.3K0.4220.05N/AN/A1687020,62314,824
2009-09-16$54.02$53.6922.9%6.6%19.8%18.6%21.7%3.0%1.6%4.5M-37.4M-174.1K0.1817.46N/AN/A4628320,65914,727
2009-09-17$53.65$53.6923.6%6.8%20.1%20.2%23.4%2.5%2.0%5.2M-32.2M-173.5K0.0520.06N/AN/A3,63417220,82314,788
2009-09-18$53.89$53.6922.4%6.4%17.2%17.7%22.4%2.9%1.8%16.4M-57.1M-171.3K0.1914.13N/AN/A6,4431,19623,71914,890
2009-09-21$54.10$53.6921.7%6.2%16.4%16.0%21.4%3.1%3.3%2.6M-30.9M-179.6K0.1026.39N/AN/A1,04910315,5607,609
2009-09-22$53.86$53.6921.3%6.1%16.5%15.1%21.3%2.5%3.5%2.8M-30.2M-184.9K0.4528.20N/AN/A2109416,4657,669
2009-09-23$53.18$53.6920.7%5.9%17.1%13.9%20.7%2.7%2.5%2.8M-25.8M-178.3K0.4625.67N/AN/A55025416,5617,682
2009-09-24$52.70$53.6920.9%6.0%16.7%14.2%21.6%0.7%2.7%2.6M-20.0M-176.8K1.3325.33N/AN/A42957216,9347,856
2009-09-25$52.54$53.6920.4%5.9%16.7%13.2%20.1%2.9%3.8%2.5M-18.6M-179.8K0.0219.30N/AN/A432917,1758,188
2009-09-28$54.07$53.6921.2%6.1%19.6%14.9%21.4%3.0%4.1%3.2M-32.8M-183.7K0.6139.26N/AN/A36322117,4058,195
2009-09-29$53.97$53.6921.0%6.0%19.0%14.4%21.0%7.4%3.0%3.3M-31.8M-182.8K0.7729.27N/AN/A574517,4758,211
2009-09-30$53.50$53.6920.5%5.9%17.9%13.4%20.5%6.4%3.0%3.3M-25.6M-174.4K0.1234.87N/AN/A1,20614217,5178,187