BDX Options History — May 2010

In May 2010, BDX traded between $54.20 and $58.46. ATM implied volatility averaged 22.7%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.8% (HV 20d: 16.9%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 5.28.

Notable Days

  • 2010-05-27: Highest Volume — 3,537 contracts
  • 2010-05-20: Largest IV spike — 19.6% change
  • 2010-05-20: Highest IV Rank — 94.8%
  • 2010-05-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.41$54.20$58.46$58.46$54.69
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV22.7%18.8%28.4%18.8%22.1%
Expected Move6.5%5.4%8.2%5.4%6.4%
HV 20d16.9%12.5%20.3%12.5%20.3%
HV 60d13.0%11.3%14.7%11.3%14.7%
IV Rank62.1%38.1%94.8%38.1%59.2%
IV Percentile68.2%34.9%99.2%34.9%68.3%
Term Structure0.2%-1.8%2.2%1.9%0.9%
VWIV22.4%19.1%27.9%19.8%20.0%
Skew 25d3.0%-5.5%7.7%2.5%3.7%
Skew 10d6.9%-8.7%19.4%5.3%7.3%
Call IV 25d21.4%17.8%25.3%17.8%20.3%
Put IV 25d24.5%16.4%32.3%20.3%24.0%
Bid-Ask Spread %25.2111.8663.8928.5920.10
Gamma HHI0.420.370.500.390.41
Net GEX-2.5M-3.2M-1.8M-1.8M-2.7M
Net DEX32.5M14.8M50.3M14.8M43.2M
Net VEX-142.3K-175.0K-92.8K-175.0K-112.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.280.0549.850.080.14
Total Volume1,254.052343,5372,506800
Total OI26,624.5521,49328,99628,17024,434

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$58.46$57.5218.8%5.4%12.5%38.1%19.8%2.5%1.9%-1.8M14.8M-175.0K0.0828.59N/AN/A2,33017612,62215,548
2010-05-04$57.86$57.5219.7%5.6%12.9%42.6%19.1%-3.4%1.9%-2.3M20.4M-171.9K1.0837.37N/AN/A43447112,13715,602
2010-05-05$57.99$57.5219.2%5.5%12.9%41.9%19.1%-2.4%2.2%-2.4M19.9M-170.8K0.5425.72N/AN/A36319612,00615,639
2010-05-06$57.43$57.5221.1%6.1%13.1%52.4%21.6%-5.5%0.9%-2.5M23.5M-169.4K0.3763.89N/AN/A1,42152912,27615,560
2010-05-07$56.50$57.5223.9%7.0%13.8%68.1%25.2%3.7%-0.4%-2.4M31.7M-165.5K9.7824.91N/AN/A1481,44113,52115,475
2010-05-10$57.96$57.5223.3%6.6%17.2%65.6%23.4%4.6%-1.0%-2.3M19.6M-163.8K1.6825.37N/AN/A25943511,73315,282
2010-05-11$57.33$57.5222.6%6.6%17.5%61.5%23.1%3.6%-0.3%-2.7M24.9M-159.0K15.1423.34N/AN/A991,50111,76515,399
2010-05-12$57.60$57.5220.6%6.3%17.7%50.4%21.7%4.1%-0.3%-2.9M24.1M-163.2K0.9017.20N/AN/A59153211,83615,993
2010-05-13$57.12$57.5221.3%6.1%17.8%54.3%21.5%2.9%-0.1%-3.0M28.5M-152.6K49.8513.10N/AN/A613,05512,17915,905
2010-05-14$56.19$57.5222.6%6.5%18.4%61.7%23.1%4.7%-0.3%-3.1M38.5M-147.1K1.9624.62N/AN/A16933212,19616,059
2010-05-17$56.59$57.5223.3%6.7%18.3%65.7%23.3%3.9%-0.3%-3.2M35.0M-141.9K4.5913.86N/AN/A4219212,16716,009
2010-05-18$56.99$57.5223.1%6.6%17.4%64.4%22.7%2.9%0.4%-3.2M29.7M-147.4K1.0112.54N/AN/A37437912,20116,109
2010-05-19$56.55$57.5223.8%6.8%17.0%68.4%24.2%2.9%-0.3%-3.1M35.5M-144.0K4.6711.86N/AN/A9042012,40116,227
2010-05-20$54.95$57.5228.4%8.2%18.8%94.8%27.9%6.0%-1.7%-2.6M46.7M-133.0K2.6618.75N/AN/A21156212,42516,123
2010-05-21$54.83$57.5228.4%8.1%18.6%94.6%27.9%7.7%-1.8%-2.2M50.3M-120.1K7.8935.03N/AN/A1561,23512,41316,214
2010-05-24$54.71$57.5226.7%7.7%18.1%84.8%24.9%5.6%-0.8%-2.1M39.6M-109.8K0.3229.64N/AN/A239758,56712,950
2010-05-25$54.79$57.5225.3%7.2%18.2%76.8%20.0%7.1%0.9%-2.2M41.2M-107.3K1.8132.73N/AN/A4468068,53312,960
2010-05-26$54.20$57.5220.6%5.9%17.8%50.2%20.4%3.8%1.3%-2.0M44.0M-92.8K0.0521.73N/AN/A926488,81512,834
2010-05-27$55.38$57.5220.0%5.7%20.0%47.0%19.9%2.0%1.6%-2.3M39.0M-99.9K1.1623.77N/AN/A1,6401,8979,51112,865
2010-05-28$54.69$57.5222.1%6.4%20.3%59.2%20.0%3.7%0.9%-2.7M43.2M-112.2K0.1420.10N/AN/A702989,80714,627