BDX Options History — December 2009

In December 2009, BDX traded between $57.42 and $61.14. ATM implied volatility averaged 18.7%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.4% (HV 20d: 15.3%). Max pain ranged from $53.69 to $61.36. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2009-12-09: Highest Volume — 14,207 contracts
  • 2009-12-08: Largest IV spike — 36.1% change
  • 2009-12-08: Highest IV Rank — 34.4%
  • 2009-12-16: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.57$57.42$61.14$58.29$60.48
Max Pain$57.87$53.69$61.36$53.69$61.36
ATM IV18.7%15.0%23.8%18.1%17.8%
Expected Move5.3%4.3%5.9%5.2%5.1%
HV 20d15.3%12.4%18.2%17.3%17.3%
HV 60d16.8%16.2%17.4%17.2%16.4%
IV Rank15.2%1.9%34.4%10.2%12.1%
IV Percentile13.6%0.4%41.7%7.9%10.7%
Term Structure1.8%-1.1%3.5%-0.4%2.4%
VWIV18.7%17.0%21.6%18.9%18.2%
Skew 25d4.7%1.2%9.0%3.0%5.5%
Skew 10d9.9%0.8%15.4%5.9%8.3%
Call IV 25d16.0%11.7%18.6%18.4%15.7%
Put IV 25d20.8%18.7%22.2%21.4%21.2%
Bid-Ask Spread %30.9810.1259.4827.3812.01
Gamma HHI0.540.330.740.740.53
Net GEX2.1M750.0K4.7M3.2M1.9M
Net DEX-28.7M-58.8M-2.8M-44.7M-12.2M
Net VEX-138.2K-182.9K-107.8K-120.1K-182.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.109.321.021.49
Total Volume1,954.59114214,2071,446516
Total OI24,433.86417,01029,92826,70421,752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$58.29$53.6918.1%5.2%17.3%10.2%18.9%3.0%-0.4%3.2M-44.7M-120.1K1.0227.38N/AN/A71772914,32412,380
2009-12-02$58.67$53.6918.4%5.3%17.0%14.3%18.8%9.0%0.8%3.0M-49.2M-116.7K0.5428.34N/AN/A1488014,41012,487
2009-12-03$59.30$53.6919.3%5.5%14.3%17.4%19.2%1.2%-1.1%2.7M-55.6M-109.3K0.1418.20N/AN/A1,82824914,38412,501
2009-12-04$59.86$57.5215.6%5.0%14.4%4.0%17.5%2.1%2.5%2.4M-58.8M-107.8K0.4655.53N/AN/A1,51469114,51012,492
2009-12-07$59.83$57.5217.5%4.8%12.9%11.0%17.5%3.8%3.5%2.3M-57.3M-108.3K0.1655.55N/AN/A5659014,92312,968
2009-12-08$59.34$57.5223.8%5.8%13.1%34.4%20.1%5.1%1.5%2.4M-48.4M-113.7K0.2059.48N/AN/A4408614,32812,986
2009-12-09$59.04$57.5223.3%5.8%13.4%32.6%18.4%5.0%2.3%2.5M-46.3M-110.1K0.3457.76N/AN/A10,6253,58214,32412,888
2009-12-10$59.56$57.5219.3%5.5%13.1%17.7%19.3%3.4%0.7%1.1M-30.6M-142.1K4.4235.50N/AN/A5002,20811,31616,205
2009-12-11$59.40$57.5220.5%5.9%12.6%22.1%17.7%5.0%2.0%795.9K-23.0M-136.9K0.4352.51N/AN/A994310,22315,590
2009-12-14$59.49$57.5217.7%5.1%12.5%11.5%20.1%5.4%2.6%784.4K-23.8M-130.3K0.1949.42N/AN/A2945510,19315,571
2009-12-15$59.56$57.5218.4%5.3%12.4%14.2%18.2%4.6%2.8%768.8K-23.6M-130.5K0.1024.63N/AN/A3,06631310,20815,616
2009-12-16$59.17$57.5220.6%5.9%12.7%22.5%21.6%3.4%1.5%1.7M-26.7M-143.7K1.1914.69N/AN/A8910613,09815,737
2009-12-17$57.89$57.5219.4%5.6%15.2%17.8%18.6%3.1%1.2%2.5M-15.7M-140.0K0.9027.92N/AN/A91382413,13815,810
2009-12-18$57.42$57.5219.8%5.7%15.6%19.4%19.8%4.0%2.3%4.7M-2.8M-140.0K2.6826.59N/AN/A6171,65413,67416,254
2009-12-21$58.44$57.5219.8%5.7%16.7%19.6%18.7%4.4%0.9%750.0K-4.0M-139.0K0.2320.41N/AN/A5101188,7238,287
2009-12-22$60.12$57.5215.0%4.3%18.0%1.9%18.0%6.3%2.4%1.6M-14.3M-142.1K0.3131.78N/AN/A4851498,9648,307
2009-12-23$60.71$57.5216.8%4.8%18.2%8.4%17.0%5.3%2.3%2.0M-18.5M-147.7K0.9026.02N/AN/A2,3022,0849,3118,324
2009-12-24$60.75$61.3617.0%4.9%18.1%9.1%17.1%5.5%1.8%2.1M-17.7M-170.0K0.8710.12N/AN/A837110,3719,251
2009-12-28$61.02$61.3617.2%4.9%17.4%9.7%21.3%6.1%2.9%2.4M-19.6M-162.1K9.3213.16N/AN/A1601,49510,4169,265
2009-12-29$61.14$61.3617.7%5.1%17.4%11.8%17.7%6.2%1.9%2.2M-20.0M-169.7K1.9919.33N/AN/A29458410,46310,312
2009-12-30$61.12$61.3617.8%5.1%16.8%12.0%17.6%6.6%2.4%2.2M-17.8M-176.8K5.2915.31N/AN/A3221,70310,43010,831
2009-12-31$60.48$61.3617.8%5.1%17.3%12.1%18.2%5.5%2.4%1.9M-12.2M-182.9K1.4912.01N/AN/A20730910,47711,275