BDX Options History — August 2010

In August 2010, BDX traded between $52.30 and $55.52. ATM implied volatility averaged 20.9%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.8% (HV 20d: 19.1%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.07.

Notable Days

  • 2010-08-04: Highest Volume — 4,407 contracts
  • 2010-08-11: Largest IV spike — 24.9% change
  • 2010-08-19: Highest IV Rank — 63.4%
  • 2010-08-19: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.24$52.30$55.52$54.00$52.30
Max Pain$53.69$53.69$53.69$53.69$53.69
ATM IV20.9%16.7%22.9%19.6%21.9%
Expected Move6.1%5.1%6.6%5.6%6.3%
HV 20d19.1%16.9%22.0%22.0%17.8%
HV 60d19.9%18.4%21.2%21.2%18.6%
IV Rank52.1%28.6%63.4%44.5%57.5%
IV Percentile60.0%18.7%83.7%38.9%69.4%
Term Structure1.0%-0.5%2.6%0.2%1.1%
VWIV21.0%14.4%25.6%19.6%22.6%
Skew 25d5.1%1.1%9.5%2.6%2.6%
Skew 10d7.9%0.6%16.1%4.7%2.4%
Call IV 25d18.5%12.5%22.1%19.5%21.1%
Put IV 25d23.5%18.4%26.2%22.1%23.8%
Bid-Ask Spread %27.3212.4652.4040.4921.75
Gamma HHI0.330.280.450.380.45
Net GEX-1.2M-3.1M-14.8K-2.1M-3.1M
Net DEX4.4M-16.6M31.5M12.5M31.5M
Net VEX-179.9K-212.0K-160.8K-202.7K-170.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0613.740.411.67
Total Volume948.818934,407722448
Total OI37,404.22731,20541,12437,79235,697

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$54.00$53.6919.6%5.6%22.0%44.5%19.6%2.6%0.2%-2.1M12.5M-202.7K0.4140.49N/AN/A51121112,87524,917
2010-08-03$54.04$53.6918.4%5.3%22.0%38.1%18.3%8.2%1.8%-1.8M9.6M-200.4K0.1346.26N/AN/A3334212,98825,053
2010-08-04$54.60$53.6919.0%5.5%19.5%41.6%14.4%9.2%2.1%-1.5M3.4M-196.1K8.4631.08N/AN/A4663,94113,08425,063
2010-08-05$54.92$53.6918.0%5.1%19.5%35.5%17.5%1.1%2.6%-1.8M4.6M-212.0K0.2841.33N/AN/A1955313,34227,782
2010-08-06$54.98$53.6916.8%5.8%19.3%28.8%17.5%4.9%0.8%-506.2K-5.1M-179.3K0.4719.00N/AN/A96045313,43123,833
2010-08-09$55.13$53.6919.9%5.6%19.1%46.3%18.5%3.9%1.7%-534.1K-6.9M-178.9K0.2119.66N/AN/A1352914,32324,040
2010-08-10$55.52$53.6916.7%5.9%19.1%28.6%19.7%4.9%0.6%-203.4K-13.0M-174.2K0.4115.75N/AN/A2339714,40524,050
2010-08-11$54.53$53.6920.9%6.4%20.4%52.1%20.5%4.2%0.7%-989.9K1.7M-181.7K0.2522.40N/AN/A2,35358614,42324,010
2010-08-12$54.50$53.6922.1%6.3%20.3%59.0%25.6%5.6%1.1%-636.7K1.8M-191.6K1.7619.16N/AN/A9316315,57224,391
2010-08-13$54.43$53.6922.3%6.4%18.2%60.0%22.8%5.1%1.3%-474.1K-2.4M-189.6K1.9823.37N/AN/A24448315,57724,373
2010-08-16$54.17$53.6922.5%6.5%18.3%61.3%25.1%4.7%1.3%-995.6K5.5M-182.4K0.3624.47N/AN/A692415,80324,743
2010-08-17$55.21$53.6922.6%6.5%19.3%61.8%19.8%4.9%0.1%-14.8K-11.4M-179.2K0.2014.39N/AN/A2945915,80624,743
2010-08-18$55.48$53.6922.9%6.6%17.7%63.2%20.2%5.4%-0.3%-31.0K-16.6M-170.1K0.2113.56N/AN/A4329015,80124,765
2010-08-19$54.69$53.6922.9%6.6%18.8%63.4%22.3%4.6%0.9%-321.3K-6.4M-176.2K2.8652.40N/AN/A8624715,77924,773
2010-08-20$54.32$53.6921.3%6.1%18.7%54.2%19.5%4.4%2.4%-470.9K-4.4M-170.1K0.0626.97N/AN/A9175915,82924,939
2010-08-23$54.46$53.6921.9%6.3%16.9%57.7%24.1%6.1%0.9%-693.0K2.5M-164.7K0.9028.45N/AN/A21419213,87917,332
2010-08-24$53.15$53.6922.8%6.5%19.2%63.1%24.0%4.2%-0.5%-1.7M15.9M-162.9K1.9431.29N/AN/A35568713,92517,280
2010-08-25$53.51$53.6922.3%6.4%19.3%60.1%21.2%9.5%-0.1%-1.6M14.2M-166.5K0.0938.69N/AN/A2252014,03317,850
2010-08-26$52.79$53.6921.9%6.3%19.5%58.0%25.0%4.2%0.4%-2.0M18.5M-160.8K13.7434.45N/AN/A2333,20513,97517,860
2010-08-27$53.47$53.6921.1%6.1%18.9%53.5%21.0%4.6%1.7%-2.5M19.3M-176.7K8.2723.75N/AN/A11494914,04421,001
2010-08-30$53.12$53.6922.1%6.3%17.1%58.8%22.9%6.6%0.6%-2.7M22.5M-171.9K0.7912.46N/AN/A20916514,05321,451
2010-08-31$52.30$53.6921.9%6.3%17.8%57.5%22.6%2.6%1.1%-3.1M31.5M-170.8K1.6721.75N/AN/A16828014,16621,531