BDX Options History — April 2010

In April 2010, BDX traded between $58.32 and $61.10. ATM implied volatility averaged 16.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.0% (HV 20d: 9.8%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2010-04-26: Highest Volume — 3,709 contracts
  • 2010-04-22: Largest IV spike — 25.3% change
  • 2010-04-28: Highest IV Rank — 50.1%
  • 2010-04-27: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.81$58.32$61.10$60.56$58.57
Max Pain$58.44$57.52$61.36$61.36$57.52
ATM IV16.8%11.7%22.3%14.1%18.3%
Expected Move5.2%4.0%6.4%4.0%5.3%
HV 20d9.8%7.7%12.7%9.2%12.6%
HV 60d12.7%12.2%13.2%13.1%12.5%
IV Rank21.3%0.0%50.1%8.0%35.4%
IV Percentile21.9%0.0%66.7%1.2%30.6%
Term Structure0.4%-0.5%2.8%2.8%1.7%
VWIV18.8%16.0%22.7%16.0%17.5%
Skew 25d3.2%-1.2%7.1%2.6%-1.0%
Skew 10d7.1%-3.7%13.6%4.8%-3.7%
Call IV 25d16.8%12.0%21.2%13.5%17.5%
Put IV 25d20.1%16.1%23.5%16.1%16.5%
Bid-Ask Spread %22.1315.1736.4427.2619.55
Gamma HHI0.340.310.380.350.38
Net GEX529.2K-1.6M1.7M1.2M-1.6M
Net DEX-2.2M-15.1M11.0M-4.6M10.7M
Net VEX-179.0K-194.3K-166.7K-172.3K-189.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.009.163.620.01
Total Volume901.191123,7094761,156
Total OI23,436.85719,59528,62119,59528,621

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$60.56$61.3614.1%4.0%9.2%8.0%16.0%2.6%2.8%1.2M-4.6M-172.3K3.6227.26N/AN/A10337310,3889,207
2010-04-05$60.22$61.3614.6%5.0%9.4%10.0%18.0%3.1%0.1%1.1M-2.9M-166.7K4.4618.20N/AN/A9341310,4339,436
2010-04-06$60.15$61.3615.0%5.0%8.9%11.5%19.7%3.6%0.4%937.8K-1.2M-166.8K0.9519.78N/AN/A18117210,4489,770
2010-04-07$60.21$61.3615.5%5.2%8.6%13.7%20.3%3.3%-0.1%978.4K-2.1M-171.3K0.3317.93N/AN/A1,79458610,5979,942
2010-04-08$60.31$61.3614.1%5.2%8.4%8.1%18.6%3.8%-0.4%1.2M-3.1M-170.6K0.4218.98N/AN/A2129010,5979,942
2010-04-09$60.52$57.5211.7%5.2%8.2%0.0%17.9%2.9%-0.0%1.6M-9.9M-186.3K7.5623.27N/AN/A4533512,09910,467
2010-04-12$60.59$57.5212.4%5.2%8.2%2.9%18.2%3.6%0.0%1.7M-10.5M-182.1K0.0719.98N/AN/A5954112,09210,801
2010-04-13$60.38$57.5212.9%5.2%7.7%4.9%18.2%2.9%-0.4%1.5M-8.5M-177.0K1.6623.34N/AN/A19031412,13910,840
2010-04-14$60.20$57.5216.1%5.1%7.8%17.5%17.6%3.0%0.2%1.2M-6.7M-180.9K0.0028.22N/AN/A298112,26211,033
2010-04-15$59.86$57.5217.2%4.9%7.9%21.7%18.9%3.7%0.5%847.1K-5.3M-176.4K0.4224.52N/AN/A793312,26711,035
2010-04-16$59.63$57.5217.4%5.0%8.0%22.4%18.5%4.5%-0.0%233.3K-2.4M-175.6K0.9417.39N/AN/A16515612,27711,051
2010-04-19$60.18$57.5217.1%4.9%8.7%21.3%17.5%5.5%0.5%527.1K-6.3M-173.1K0.3721.33N/AN/A69825811,28010,743
2010-04-20$61.10$57.5216.6%4.8%9.1%19.3%16.6%7.1%0.4%1.2M-15.1M-173.6K0.2727.03N/AN/A59115911,88610,881
2010-04-21$60.25$57.5216.9%4.9%10.2%20.6%17.0%5.9%0.5%906.7K-9.1M-183.2K0.3936.44N/AN/A38414912,37411,040
2010-04-22$59.27$57.5221.2%6.1%11.3%37.4%19.5%4.5%0.2%339.3K-1.3M-180.5K2.4017.10N/AN/A24057512,55611,111
2010-04-23$59.48$57.5218.0%5.2%11.4%24.8%21.2%4.9%0.2%450.4K-2.3M-185.5K3.3319.61N/AN/A19866012,68311,547
2010-04-26$58.60$57.5221.4%6.1%12.4%38.1%22.5%2.9%-0.3%-211.8K5.4M-178.6K9.1615.17N/AN/A3653,34412,69711,958
2010-04-27$58.32$57.5222.3%6.4%12.2%46.6%22.7%2.3%-0.5%-951.3K11.0M-193.4K1.3618.34N/AN/A64988112,89614,731
2010-04-28$58.83$57.5221.8%6.3%12.7%50.1%20.9%-1.2%0.1%-820.1K8.0M-194.3K0.2134.04N/AN/A64213912,88015,146
2010-04-29$58.75$57.5218.0%5.2%12.7%33.9%18.0%0.3%1.9%-1.2M9.6M-181.8K0.3117.21N/AN/A1,19337512,82215,199
2010-04-30$58.57$57.5218.3%5.3%12.6%35.4%17.5%-1.0%1.7%-1.6M10.7M-189.3K0.0119.55N/AN/A1,1411513,08015,541