BDX Options History — February 2010

In February 2010, BDX traded between $57.25 and $60.45. ATM implied volatility averaged 20.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.0% (HV 20d: 16.3%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.82.

Notable Days

  • 2010-02-08: Highest Volume — 5,144 contracts
  • 2010-02-18: Largest IV drop — 10.4% change
  • 2010-02-05: Highest IV Rank — 28.7%
  • 2010-02-08: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.73$57.25$60.45$58.07$59.73
Max Pain$57.93$57.52$61.36$61.36$57.52
ATM IV20.3%17.3%22.3%20.9%17.3%
Expected Move5.9%5.0%6.6%6.0%5.0%
HV 20d16.3%13.2%17.5%13.2%16.4%
HV 60d15.9%15.6%16.3%16.3%15.7%
IV Rank21.2%10.3%28.7%23.6%10.3%
IV Percentile28.3%7.9%45.2%31.3%7.9%
Term Structure0.4%-0.5%2.3%0.9%0.4%
VWIV20.5%17.6%23.7%18.7%17.6%
Skew 25d3.1%1.6%5.3%3.3%1.6%
Skew 10d6.4%2.2%10.3%5.5%9.6%
Call IV 25d19.2%16.9%21.8%19.3%16.9%
Put IV 25d22.3%18.4%24.8%22.6%18.4%
Bid-Ask Spread %21.1413.0733.7424.2415.54
Gamma HHI0.450.350.570.480.38
Net GEX-2.0M-4.0M336.2K-2.9M180.9K
Net DEX11.2M-5.8M28.2M21.5M-3.0M
Net VEX-173.7K-197.0K-155.7K-197.0K-165.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.1610.741.390.38
Total Volume810.737555,144730201
Total OI26,676.57922,43529,42127,30424,148

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$58.07$61.3620.9%6.0%13.2%23.6%18.7%3.3%0.9%-2.9M21.5M-197.0K1.3924.24N/AN/A3054259,24518,059
2010-02-02$59.07$61.3621.6%6.2%14.9%26.0%21.2%3.7%-0.4%-2.1M10.6M-190.9K1.4728.43N/AN/A2393519,24717,812
2010-02-03$58.78$57.5221.2%6.1%14.6%24.7%21.2%4.9%-0.1%-2.3M12.7M-190.7K2.8533.74N/AN/A601709,40517,811
2010-02-04$57.30$57.5221.9%6.3%17.1%27.2%22.1%1.9%-0.5%-3.2M26.8M-188.6K0.6529.69N/AN/A122809,46117,929
2010-02-05$57.44$57.5222.3%6.5%17.1%28.7%22.6%2.9%-0.1%-3.3M28.2M-185.6K0.7824.46N/AN/A1451139,43317,942
2010-02-08$57.28$57.5221.3%6.6%17.0%25.1%22.2%2.8%-0.2%-3.6M28.2M-180.6K10.7423.30N/AN/A4384,7069,49317,931
2010-02-09$57.72$57.5221.5%6.3%17.1%25.6%21.3%3.8%0.1%-3.5M22.6M-180.9K0.7522.01N/AN/A3352529,82218,061
2010-02-10$57.25$57.5221.3%6.3%16.6%25.0%20.9%3.7%-0.0%-3.6M27.4M-177.6K1.2921.47N/AN/A25833210,00917,982
2010-02-11$57.69$57.5221.2%6.1%16.8%24.5%21.0%4.1%0.3%-4.0M24.2M-176.5K4.5419.26N/AN/A944269,90618,125
2010-02-12$58.17$57.5221.2%6.1%17.1%24.6%21.9%5.3%0.6%-3.9M17.8M-173.3K0.9922.22N/AN/A1321319,92518,076
2010-02-16$58.99$57.5221.6%6.2%17.5%26.3%23.7%4.0%-0.3%-2.8M7.1M-161.5K4.0519.83N/AN/A1817349,88618,206
2010-02-17$59.33$57.5220.5%5.9%17.0%21.9%19.8%2.5%0.7%-2.1M2.7M-165.0K1.8717.44N/AN/A2494669,95018,721
2010-02-18$59.79$57.5218.3%5.3%17.0%14.0%20.9%3.1%2.3%-937.7K-2.5M-164.6K0.9615.55N/AN/A32631210,09318,980
2010-02-19$59.47$57.5218.6%5.3%16.9%15.2%20.3%2.5%1.8%-711.6K-2.1M-164.7K0.5623.28N/AN/A361910,27119,150
2010-02-22$59.44$57.5219.8%5.7%15.9%19.5%17.8%3.1%0.2%-478.1K1.9M-157.6K0.1613.07N/AN/A572948,67613,759
2010-02-23$59.73$57.5218.7%5.4%15.7%15.3%19.0%2.3%-0.4%-165.7K-55.5K-159.8K0.6117.06N/AN/A4272598,98213,829
2010-02-24$60.45$57.5217.8%5.1%16.1%12.1%19.6%1.7%0.9%336.2K-5.8M-155.7K0.2313.98N/AN/A9722289,07613,874
2010-02-25$60.22$57.5218.2%5.2%16.1%13.5%18.2%1.8%0.9%321.7K-5.6M-163.8K0.3217.04N/AN/A9212939,68513,895
2010-02-26$59.73$57.5217.3%5.0%16.4%10.3%17.6%1.6%0.4%180.9K-3.0M-165.4K0.3815.54N/AN/A146559,97514,173