BDX Options History — June 2010

In June 2010, BDX traded between $51.73 and $55.53. ATM implied volatility averaged 21.4%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.5% (HV 20d: 21.9%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.54.

Notable Days

2010-06-15: Highest Volume — 3,545 contracts
2010-06-30: Largest IV drop — 36.3% change
2010-06-29: Highest IV Rank — 86.8%
2010-06-29: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.82	$51.73	$55.53	$54.23	$51.86
Max Pain	$54.21	$53.69	$57.52	$57.52	$53.69
ATM IV	21.4%	17.2%	27.1%	24.4%	17.2%
Expected Move	6.2%	4.9%	7.8%	7.0%	4.9%
HV 20d	21.9%	19.1%	24.7%	20.4%	19.1%
HV 60d	17.1%	14.8%	18.3%	14.8%	18.3%
IV Rank	55.2%	31.3%	86.8%	72.1%	31.3%
IV Percentile	57.2%	19.8%	98.0%	88.9%	19.8%
Term Structure	1.2%	-0.7%	2.6%	-0.7%	2.6%
VWIV	21.5%	16.8%	25.1%	24.3%	20.3%
Skew 25d	5.4%	1.4%	9.5%	4.2%	5.6%
Skew 10d	9.5%	-3.9%	15.6%	7.1%	6.1%
Call IV 25d	19.1%	13.8%	23.4%	22.7%	20.0%
Put IV 25d	24.5%	20.1%	29.3%	27.0%	25.7%
Bid-Ask Spread %	30.53	19.73	64.67	27.21	41.49
Gamma HHI	0.59	0.42	0.83	0.43	0.46
Net GEX	-2.7M	-4.6M	-1.5M	-2.3M	-2.0M
Net DEX	41.9M	13.1M	64.6M	46.5M	31.5M
Net VEX	-110.7K	-133.8K	-86.0K	-102.8K	-118.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.54	0.40	36.19	2.51	36.19
Total Volume	1,283	113	3,545	795	3,394
Total OI	25,257.955	16,300	34,579	25,022	20,100

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-06-01	$54.23	$57.52	24.4%	7.0%	20.4%	72.1%	24.3%	4.2%	-0.7%	-2.3M	46.5M	-102.8K	2.51	27.21	N/A	N/A	226	569	10,348	14,674
2010-06-02	$55.53	$57.52	22.0%	6.3%	22.4%	58.2%	21.4%	1.4%	0.2%	-3.0M	39.4M	-115.3K	2.43	40.09	N/A	N/A	120	293	10,502	15,120
2010-06-03	$55.52	$57.52	21.9%	6.3%	22.4%	57.7%	20.4%	1.8%	0.6%	-3.2M	40.6M	-109.0K	10.33	32.14	N/A	N/A	51	525	10,523	15,375
2010-06-04	$53.75	$53.69	23.3%	7.1%	24.7%	65.8%	24.6%	6.0%	0.1%	-2.5M	54.5M	-96.0K	0.72	22.89	N/A	N/A	271	196	10,494	15,833
2010-06-07	$53.14	$53.69	23.0%	6.7%	24.4%	63.9%	24.3%	5.7%	0.4%	-2.5M	57.0M	-86.0K	11.89	23.67	N/A	N/A	137	1,627	10,461	15,929
2010-06-08	$52.86	$53.69	23.0%	6.7%	22.0%	63.7%	24.7%	5.7%	0.8%	-3.0M	64.2M	-88.6K	3.18	24.20	N/A	N/A	468	1,488	10,469	17,197
2010-06-09	$52.65	$53.69	24.6%	7.0%	21.8%	72.8%	25.1%	5.9%	0.6%	-2.8M	64.6M	-97.0K	3.31	22.52	N/A	N/A	449	1,484	10,746	17,950
2010-06-10	$53.51	$53.69	22.6%	6.5%	22.8%	61.8%	22.5%	4.6%	1.2%	-3.5M	60.6M	-99.9K	0.40	20.96	N/A	N/A	177	70	10,906	18,252
2010-06-11	$53.45	$53.69	22.2%	6.4%	22.8%	59.3%	24.4%	4.7%	1.0%	-3.8M	61.7M	-95.9K	0.53	22.74	N/A	N/A	74	39	10,982	18,242
2010-06-14	$53.83	$53.69	21.6%	6.2%	22.5%	56.2%	23.2%	4.2%	1.8%	-3.8M	56.1M	-94.2K	2.52	25.77	N/A	N/A	693	1,752	11,012	18,256
2010-06-15	$54.54	$53.69	21.0%	6.0%	22.9%	52.7%	20.9%	3.5%	1.1%	-4.6M	49.3M	-91.3K	14.19	29.80	N/A	N/A	233	3,312	11,247	18,344
2010-06-16	$55.26	$53.69	20.2%	5.8%	23.3%	47.9%	19.1%	4.3%	2.0%	-1.9M	44.2M	-98.6K	17.54	19.73	N/A	N/A	160	2,814	11,300	20,900
2010-06-17	$55.16	$53.69	19.4%	5.6%	23.2%	43.9%	19.3%	4.0%	2.4%	-4.5M	49.3M	-132.8K	0.96	35.51	N/A	N/A	215	206	11,340	22,572
2010-06-18	$54.70	$53.69	20.0%	5.7%	21.1%	46.7%	18.9%	4.4%	1.3%	-3.3M	50.9M	-120.3K	0.50	24.19	N/A	N/A	205	102	11,300	23,279
2010-06-21	$54.82	$53.69	18.4%	5.3%	21.1%	38.0%	18.0%	3.8%	2.1%	-1.6M	13.1M	-119.8K	1.14	33.22	N/A	N/A	1,542	1,752	5,906	10,394
2010-06-22	$54.58	$53.69	20.1%	5.8%	21.1%	47.6%	16.8%	5.2%	1.3%	-1.5M	13.8M	-131.3K	1.42	28.33	N/A	N/A	530	750	6,778	11,501
2010-06-23	$53.73	$53.69	19.8%	5.7%	21.8%	46.1%	19.4%	9.5%	1.6%	-1.9M	20.1M	-133.8K	0.72	64.67	N/A	N/A	153	109	7,107	12,037
2010-06-24	$53.24	$53.69	19.8%	5.7%	21.7%	45.8%	19.4%	8.6%	2.2%	-1.9M	23.1M	-131.0K	1.97	27.78	N/A	N/A	191	375	7,175	12,095
2010-06-25	$52.96	$53.69	19.9%	5.7%	20.0%	46.5%	23.3%	8.9%	1.3%	-2.1M	24.5M	-127.4K	8.13	27.31	N/A	N/A	31	244	7,212	12,275
2010-06-28	$53.04	$53.69	20.5%	5.9%	19.7%	49.8%	20.5%	8.8%	1.4%	-2.2M	24.9M	-126.9K	0.73	39.35	N/A	N/A	449	326	7,226	12,401
2010-06-29	$51.73	$53.69	27.1%	7.8%	21.3%	86.8%	21.4%	7.4%	1.0%	-1.9M	32.4M	-118.1K	0.57	38.09	N/A	N/A	270	154	7,421	12,494
2010-06-30	$51.86	$53.69	17.2%	4.9%	19.1%	31.3%	20.3%	5.6%	2.6%	-2.0M	31.5M	-118.6K	36.19	41.49	N/A	N/A	92	3,302	7,601	12,499