BDX Options History — November 2009

In November 2009, BDX traded between $52.55 and $58.01. ATM implied volatility averaged 18.5%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.6% (HV 20d: 17.9%). Max pain ranged from $49.85 to $53.69. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-11-25: Highest Volume — 3,134 contracts
  • 2009-11-04: Largest IV drop — 41.3% change
  • 2009-11-03: Highest IV Rank — 30.0%
  • 2009-11-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.67$52.55$58.01$52.88$57.37
Max Pain$52.35$49.85$53.69$53.69$53.69
ATM IV18.5%15.3%26.8%25.6%17.6%
Expected Move5.4%4.4%7.7%7.4%5.0%
HV 20d17.9%14.7%20.0%14.7%16.8%
HV 60d18.1%17.2%19.0%18.7%17.3%
IV Rank9.7%2.2%30.0%27.2%8.7%
IV Percentile9.0%0.8%50.4%46.4%6.0%
Term Structure2.7%-0.9%5.8%-0.3%-0.9%
VWIV19.5%15.6%27.6%25.3%18.1%
Skew 25d4.4%2.1%10.4%6.4%2.2%
Skew 10d9.8%2.9%17.3%17.3%2.9%
Call IV 25d17.0%11.2%20.5%20.5%18.4%
Put IV 25d21.5%18.0%28.4%26.9%20.5%
Bid-Ask Spread %22.2311.3054.4729.9732.31
Gamma HHI0.510.270.770.270.75
Net GEX2.7M1.2M3.6M1.2M3.2M
Net DEX-32.9M-45.6M-9.6M-13.3M-34.1M
Net VEX-129.7K-154.6K-105.1K-152.3K-123.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.012.890.011.62
Total Volume1,452.85933,1342,604407
Total OI27,668.7522,96429,49827,39426,637

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$52.88$53.6925.6%7.4%14.7%27.2%25.3%6.4%-0.3%1.2M-13.3M-152.3K0.0129.97N/AN/A2,5713315,39611,998
2009-11-03$53.62$53.6926.8%7.7%15.4%30.0%27.6%10.4%-0.7%1.6M-18.4M-154.6K0.4628.95N/AN/A1,99791115,92411,991
2009-11-04$52.55$53.6915.7%4.5%17.2%2.9%16.5%5.5%5.8%1.7M-11.6M-135.7K0.5654.47N/AN/A1,04759014,69812,337
2009-11-05$52.81$53.6918.9%5.4%16.9%10.6%19.9%4.3%2.0%1.3M-9.6M-137.7K1.0532.81N/AN/A58361314,62412,502
2009-11-06$54.10$49.8520.0%6.2%18.9%13.4%21.7%3.4%2.9%1.9M-21.4M-138.2K1.1715.18N/AN/A32337914,43112,724
2009-11-09$54.95$49.8520.0%6.0%19.5%13.4%19.3%3.2%2.5%2.4M-28.4M-130.3K0.4213.15N/AN/A2,06286414,42312,562
2009-11-10$55.12$49.8516.2%6.1%19.5%4.0%19.0%4.0%2.1%2.8M-32.3M-132.9K0.2211.30N/AN/A78017215,85712,857
2009-11-11$55.85$49.8517.8%5.5%19.7%8.1%18.6%2.8%4.1%3.2M-36.9M-132.9K0.3112.75N/AN/A1,90958515,96712,902
2009-11-12$55.38$49.8520.5%5.9%20.0%14.6%20.4%3.3%2.9%2.9M-35.3M-136.2K1.1821.28N/AN/A15618416,47112,883
2009-11-13$55.78$49.8518.8%5.4%19.7%10.4%18.8%3.4%4.6%2.9M-38.3M-136.3K0.2414.81N/AN/A2706416,43412,962
2009-11-16$56.21$49.8517.9%5.1%19.6%8.3%20.2%4.8%3.9%3.1M-42.8M-124.8K0.3314.66N/AN/A84227716,46212,978
2009-11-17$56.61$53.6917.5%5.0%17.6%7.2%19.8%3.0%4.5%3.3M-45.6M-123.2K0.7920.69N/AN/A79462816,47013,028
2009-11-18$56.43$53.6917.3%5.0%17.7%6.7%20.1%5.5%4.9%3.5M-44.7M-120.2K0.6315.23N/AN/A28918116,43912,726
2009-11-19$56.34$53.6918.2%5.2%17.8%9.0%20.6%3.1%4.3%3.6M-41.5M-116.9K0.6719.68N/AN/A60340216,38612,701
2009-11-20$56.53$53.6917.4%5.0%17.2%7.0%18.7%4.7%4.9%3.1M-43.1M-116.3K0.5612.96N/AN/A714116,02712,776
2009-11-23$57.72$53.6916.7%4.8%18.1%5.5%16.5%2.1%2.6%3.4M-42.4M-105.1K2.8920.43N/AN/A7222,09013,4679,497
2009-11-24$58.01$53.6915.5%4.4%17.9%2.7%15.6%2.5%1.1%3.2M-43.0M-117.1K1.2134.87N/AN/A1,0841,30613,56011,131
2009-11-25$57.93$53.6915.3%4.4%16.8%2.2%16.2%7.2%0.4%3.3M-41.7M-130.4K0.9422.52N/AN/A1,6151,51914,34612,212
2009-11-27$57.31$53.6915.6%4.5%16.8%3.1%17.1%6.7%2.1%3.2M-34.3M-129.2K2.2316.64N/AN/A296414,24412,345
2009-11-30$57.37$53.6917.6%5.0%16.8%8.7%18.1%2.2%-0.9%3.2M-34.1M-123.8K1.6232.31N/AN/A15525214,24812,389