BDX Options History — March 2010

In March 2010, BDX traded between $59.79 and $61.47. ATM implied volatility averaged 15.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.5% (HV 20d: 11.6%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.07.

Notable Days

  • 2010-03-05: Highest Volume — 6,357 contracts
  • 2010-03-09: Largest IV spike — 20.0% change
  • 2010-03-15: Highest IV Rank — 16.1%
  • 2010-03-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.52$59.79$61.47$60.61$60.39
Max Pain$59.86$57.52$61.36$57.52$61.36
ATM IV15.1%12.1%16.6%16.1%14.2%
Expected Move4.4%4.1%4.8%4.6%4.1%
HV 20d11.6%9.2%16.0%16.0%9.2%
HV 60d14.6%13.2%15.7%15.7%13.2%
IV Rank9.8%0.0%16.1%5.6%8.5%
IV Percentile3.4%0.0%7.1%3.6%1.2%
Term Structure2.1%0.5%3.0%1.6%2.8%
VWIV16.4%14.2%19.9%16.1%14.2%
Skew 25d4.6%2.4%6.0%3.9%3.4%
Skew 10d9.9%4.9%22.7%22.7%5.5%
Call IV 25d13.4%10.8%16.0%14.9%13.7%
Put IV 25d18.0%16.5%19.1%18.8%17.0%
Bid-Ask Spread %17.469.1528.4810.9720.37
Gamma HHI0.440.320.690.430.34
Net GEX1.4M92.3K5.3M910.7K934.4K
Net DEX-3.4M-10.3M1.1M-9.4M-2.9M
Net VEX-149.1K-172.1K-126.2K-157.1K-166.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.0210.150.020.35
Total Volume865.0431076,357375934
Total OI21,697.04313,25324,77124,24318,835

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$60.61$57.5216.1%4.6%16.0%5.6%16.1%3.9%1.6%910.7K-9.4M-157.1K0.0210.97N/AN/A369610,02514,218
2010-03-02$60.70$57.5216.6%4.8%16.0%7.6%18.1%3.5%0.5%1.3M-10.3M-159.6K0.3611.26N/AN/A49117810,23114,218
2010-03-03$60.35$57.5215.9%4.6%15.2%5.0%19.9%2.9%0.7%996.2K-6.9M-158.9K0.339.15N/AN/A51516810,26914,351
2010-03-04$60.21$57.5215.1%4.3%15.1%2.1%18.2%2.4%1.5%616.3K-6.4M-154.2K0.2911.45N/AN/A2015910,06914,435
2010-03-05$60.29$57.5213.8%4.6%11.4%0.0%16.0%5.6%2.2%1.0M-5.1M-150.8K0.0219.99N/AN/A6,20415310,17514,455
2010-03-08$59.79$57.5212.1%4.6%12.0%0.0%16.5%4.3%2.0%452.1K678.3K-143.3K2.5716.84N/AN/A1343428,93214,526
2010-03-09$60.19$57.5214.5%4.5%12.0%8.2%16.0%5.6%2.5%1.0M-836.8K-144.2K0.1217.15N/AN/A402488,89414,707
2010-03-10$60.53$57.5213.8%4.5%11.9%6.0%15.8%5.6%2.5%2.1M-4.8M-141.4K0.1319.65N/AN/A202278,94914,709
2010-03-11$60.18$57.5215.8%4.5%11.6%12.8%18.2%5.4%2.4%640.6K-807.0K-146.8K10.1519.78N/AN/A606098,96114,736
2010-03-12$60.11$61.3616.1%4.6%11.5%16.0%18.3%4.6%1.6%935.7K1.1M-143.9K0.4924.76N/AN/A174868,95515,297
2010-03-15$60.59$61.3616.1%4.6%11.5%16.1%18.9%6.0%1.7%2.1M-3.1M-138.6K1.4218.89N/AN/A1311868,84315,364
2010-03-16$60.62$61.3616.0%4.6%10.6%15.5%15.9%5.5%1.9%3.1M-2.1M-136.6K1.1228.48N/AN/A85958,91015,512
2010-03-17$60.78$61.3615.8%4.5%10.5%14.9%17.8%5.8%2.7%3.9M-3.2M-135.5K0.5114.63N/AN/A183948,87915,583
2010-03-18$60.89$61.3615.5%4.5%10.2%13.8%15.7%6.0%2.9%5.3M-2.8M-130.5K0.7915.00N/AN/A2902298,89415,512
2010-03-19$60.67$61.3615.3%4.4%10.0%12.6%16.8%5.0%3.0%2.8M110.1K-135.8K1.0915.77N/AN/A1681839,05415,717
2010-03-22$61.47$61.3614.5%4.1%10.9%9.5%14.5%5.8%2.3%92.3K-2.3M-126.2K0.1517.23N/AN/A1,5932385,0648,189
2010-03-23$61.14$61.3614.6%4.2%11.1%10.1%14.6%5.9%2.4%389.3K-3.1M-141.2K1.3515.03N/AN/A3084156,3008,354
2010-03-24$60.60$61.3614.9%4.3%10.9%11.3%14.9%4.3%2.3%211.4K-469.6K-144.7K0.0619.06N/AN/A3,1291986,3898,732
2010-03-25$60.49$61.3615.5%4.5%10.8%13.8%15.5%3.9%2.2%820.6K-4.8M-172.1K1.2118.65N/AN/A1261539,4188,807
2010-03-26$60.22$61.3615.1%4.3%10.5%12.0%15.1%3.4%2.8%652.4K-1.5M-167.8K0.0519.12N/AN/A364199,4068,913
2010-03-29$60.59$61.3615.3%4.4%9.3%13.0%15.4%4.4%2.3%969.8K-4.7M-169.7K0.5217.62N/AN/A70379,6668,929
2010-03-30$60.63$61.3614.9%4.3%9.3%11.1%14.8%3.8%2.7%1.0M-4.8M-163.6K1.5620.80N/AN/A941469,6968,954
2010-03-31$60.39$61.3614.2%4.1%9.2%8.5%14.2%3.4%2.8%934.4K-2.9M-166.4K0.3520.37N/AN/A6912439,7449,091