BDX Options History — July 2010

In July 2010, BDX traded between $51.30 and $53.90. ATM implied volatility averaged 20.0%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.0% (HV 20d: 19.0%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.21.

Notable Days

  • 2010-07-16: Highest Volume — 15,507 contracts
  • 2010-07-30: Largest IV spike — 42.1% change
  • 2010-07-01: Highest IV Rank — 76.2%
  • 2010-07-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.50$51.30$53.90$51.61$52.77
Max Pain$53.69$53.69$53.69$53.69$53.69
ATM IV20.0%14.1%25.2%25.2%20.0%
Expected Move6.0%4.0%7.2%7.2%5.7%
HV 20d19.0%15.9%21.4%19.0%20.8%
HV 60d19.5%18.2%20.7%18.2%20.7%
IV Rank46.9%13.4%76.2%76.2%46.8%
IV Percentile46.2%2.4%92.5%92.5%43.3%
Term Structure0.3%-1.3%2.1%0.7%-0.6%
VWIV21.6%16.9%25.9%17.4%20.3%
Skew 25d4.7%1.6%7.8%3.5%1.6%
Skew 10d9.5%2.6%15.6%2.6%5.0%
Call IV 25d18.9%17.1%21.8%21.8%18.5%
Put IV 25d23.7%20.0%27.0%25.3%20.0%
Bid-Ask Spread %31.5317.2870.1236.0270.12
Gamma HHI0.450.330.640.370.55
Net GEX-3.2M-5.4M-2.2M-2.7M-3.0M
Net DEX33.7M24.3M44.2M44.2M28.4M
Net VEX-162.2K-214.6K-132.5K-165.1K-214.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.0813.451.962.07
Total Volume1,921.28610515,507105600
Total OI28,163.42923,35838,45425,99138,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$51.61$53.6925.2%7.2%19.0%76.2%17.4%3.5%0.7%-2.7M44.2M-165.1K1.9636.02N/AN/A36697,64618,345
2010-07-02$52.13$53.6916.0%4.6%16.3%24.5%22.8%3.1%2.1%-2.6M35.5M-144.8K2.2621.79N/AN/A41927,65515,709
2010-07-06$52.29$53.6918.4%6.1%15.9%37.8%21.6%5.8%0.8%-2.7M35.4M-139.1K0.4926.02N/AN/A140677,67715,681
2010-07-07$53.90$53.6915.3%6.1%19.3%20.3%19.7%5.9%0.1%-4.5M24.3M-140.3K0.1430.70N/AN/A257377,77315,693
2010-07-08$53.66$53.6918.6%6.1%19.3%39.0%22.7%4.9%0.3%-3.4M25.2M-140.2K1.0920.18N/AN/A5395887,87915,691
2010-07-09$53.28$53.6919.0%6.0%18.6%41.2%20.9%4.3%-0.5%-3.5M28.0M-138.8K1.2920.54N/AN/A3043937,99115,897
2010-07-12$52.98$53.6919.8%6.0%18.7%45.7%25.9%4.5%-0.4%-3.7M31.9M-133.2K7.1922.30N/AN/A1741,2578,23116,172
2010-07-13$53.32$53.6919.0%5.8%18.7%41.3%20.6%4.2%0.2%-4.4M29.1M-132.5K0.9619.95N/AN/A5014788,05317,083
2010-07-14$53.37$53.6920.4%6.1%18.0%49.2%24.0%4.3%-0.1%-3.5M27.5M-143.7K3.9922.62N/AN/A1877448,49717,390
2010-07-15$53.20$53.6920.1%5.8%17.2%47.6%24.9%4.3%0.1%-5.4M32.3M-140.8K7.8525.30N/AN/A342668,57717,851
2010-07-16$51.96$53.6920.8%6.0%18.8%51.5%21.8%7.1%2.0%-2.2M40.6M-137.2K13.4541.48N/AN/A1,07414,4338,58717,930
2010-07-19$52.20$53.6919.6%5.6%18.9%44.8%20.1%5.7%-0.1%-2.5M34.1M-171.0K0.4117.28N/AN/A8553498,54918,646
2010-07-20$52.25$53.6920.3%5.8%18.9%48.9%20.8%5.2%0.4%-2.5M34.0M-171.3K0.8125.41N/AN/A2762249,24618,848
2010-07-21$51.33$53.6922.3%6.4%19.6%59.7%19.7%4.2%1.4%-2.5M39.4M-163.4K0.2327.87N/AN/A308719,47518,813
2010-07-22$51.70$53.6923.5%6.7%19.4%66.9%23.5%4.7%0.4%-2.5M36.5M-168.0K10.7624.49N/AN/A2572,7639,71618,833
2010-07-23$51.30$53.6922.1%6.3%19.3%58.7%21.8%3.0%-0.2%-3.2M43.7M-174.9K1.2321.61N/AN/A2473039,85720,852
2010-07-26$52.58$53.6920.6%5.9%21.4%50.4%23.5%6.0%0.1%-2.9M32.4M-174.2K10.4840.38N/AN/A3403,5539,93320,914
2010-07-27$52.36$53.6921.5%6.2%21.4%55.7%21.9%5.1%-1.0%-3.4M36.1M-190.9K0.0841.20N/AN/A1,49512610,07323,970
2010-07-28$52.41$53.6923.2%6.6%19.4%65.1%23.6%7.8%-1.3%-3.1M32.5M-206.8K0.5046.26N/AN/A3,1141,56811,28323,795
2010-07-29$51.80$53.6914.1%4.0%19.8%13.4%16.9%4.1%2.1%-2.9M36.3M-214.5K0.2060.69N/AN/A1,81936813,90424,550
2010-07-30$52.77$53.6920.0%5.7%20.8%46.8%20.3%1.6%-0.6%-3.0M28.4M-214.6K2.0770.12N/AN/A19640413,36024,807