BDX Options History — January 2010

In January 2010, BDX traded between $57.59 and $60.29. ATM implied volatility averaged 21.6%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.0% (HV 20d: 15.6%). Max pain ranged from $61.36 to $61.36. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 3.66.

Notable Days

  • 2010-01-04: Highest Volume — 9,098 contracts
  • 2010-01-12: Largest IV spike — 58.6% change
  • 2010-01-12: Highest IV Rank — 54.9%
  • 2010-01-12: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.96$57.59$60.29$60.29$57.81
Max Pain$61.36$61.36$61.36$61.36$61.36
ATM IV21.6%16.5%29.4%20.3%21.1%
Expected Move6.3%5.8%6.7%6.2%6.0%
HV 20d15.6%12.2%17.8%17.1%13.3%
HV 60d16.5%16.1%16.9%16.5%16.4%
IV Rank26.0%7.3%54.9%21.4%24.1%
IV Percentile35.5%4.4%73.8%24.6%32.9%
Term Structure-0.5%-1.3%0.5%-1.3%0.4%
VWIV22.1%20.0%25.8%24.6%20.5%
Skew 25d4.1%2.7%5.6%4.8%3.6%
Skew 10d8.2%4.3%10.9%8.5%5.5%
Call IV 25d20.2%18.8%22.3%20.5%19.5%
Put IV 25d24.3%22.5%26.1%25.3%23.0%
Bid-Ask Spread %23.2617.3533.5317.3522.80
Gamma HHI0.460.430.570.510.47
Net GEX-1.6M-3.3M1.7M1.7M-2.7M
Net DEX13.8M-9.3M25.8M-9.3M22.8M
Net VEX-203.9K-216.8K-179.5K-179.5K-203.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0826.691.740.17
Total Volume1,774.4742909,0989,098290
Total OI27,516.15821,99331,20821,99327,146

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$60.29$61.3620.3%6.2%17.1%21.4%24.6%4.8%-1.3%1.7M-9.3M-179.5K1.7417.35N/AN/A3,3245,77410,54011,453
2010-01-05$59.73$61.3616.7%6.0%17.1%8.0%24.8%5.6%-0.3%-203.0K3.4M-201.9K26.6924.70N/AN/A2717,23910,67516,288
2010-01-06$59.56$61.3620.4%6.1%17.1%21.6%25.8%5.3%-0.3%-602.7K8.9M-213.5K4.3518.21N/AN/A11248710,87417,574
2010-01-07$59.55$61.3616.5%6.1%16.9%7.3%23.7%5.3%-0.8%-566.6K9.4M-212.0K3.4117.75N/AN/A27393410,92617,977
2010-01-08$59.76$61.3618.9%5.8%16.8%16.1%20.3%5.0%0.5%-410.3K6.5M-208.2K0.2626.28N/AN/A3749810,98218,134
2010-01-11$60.14$61.3618.5%5.9%16.7%14.7%20.4%4.7%0.1%172.5K3.2M-199.0K0.6123.60N/AN/A26616311,11918,151
2010-01-12$59.25$61.3629.4%6.7%17.5%54.9%23.0%4.8%0.0%-1.4M12.3M-194.3K2.7032.81N/AN/A16544811,15818,193
2010-01-13$59.44$61.3627.0%6.6%17.5%46.0%21.0%4.3%-1.0%-1.2M11.6M-193.9K0.9228.55N/AN/A34131411,10318,486
2010-01-14$59.09$61.3622.0%6.3%17.7%27.5%21.6%3.9%0.0%-2.2M15.5M-190.5K11.6231.99N/AN/A1631,89411,11518,659
2010-01-15$58.51$61.3621.5%6.2%17.8%25.7%20.0%4.1%0.0%-3.3M22.3M-198.9K0.7633.53N/AN/A58044011,13520,073
2010-01-19$59.28$61.3621.7%6.2%16.6%26.5%20.9%3.5%-1.1%-2.0M11.2M-198.3K2.5630.73N/AN/A4491,1467,36217,209
2010-01-20$58.90$61.3620.8%6.0%16.5%23.3%20.2%3.7%-0.4%-2.3M15.2M-207.1K1.4520.03N/AN/A3935697,61918,006
2010-01-21$58.41$61.3622.1%6.4%15.6%28.2%20.8%2.7%-1.3%-2.4M19.3M-211.0K0.4018.88N/AN/A6672637,71618,210
2010-01-22$57.59$61.3622.7%6.5%12.3%30.3%22.5%3.3%-1.1%-2.6M25.8M-212.0K1.1818.37N/AN/A1,1561,3698,03918,183
2010-01-25$58.12$61.3623.2%6.6%12.2%32.0%23.2%3.4%-0.5%-2.5M21.8M-216.8K5.1920.43N/AN/A814208,70818,354
2010-01-26$57.96$61.3622.8%6.5%12.2%30.5%22.2%3.8%-0.7%-2.7M23.7M-209.5K3.9419.37N/AN/A1024018,39318,368
2010-01-27$58.29$61.3623.1%6.6%12.3%31.7%23.0%3.2%-0.9%-2.6M22.4M-211.1K0.0818.90N/AN/A883698,45218,672
2010-01-28$58.66$61.3621.1%6.1%12.6%24.5%20.7%3.8%0.2%-2.4M16.2M-212.0K1.5717.69N/AN/A6981,0999,10218,653
2010-01-29$57.81$61.3621.1%6.0%13.3%24.1%20.5%3.6%0.4%-2.7M22.8M-203.7K0.1722.80N/AN/A247439,11818,028