BDX Options History — September 2010

In September 2010, BDX traded between $53.32 and $57.39. ATM implied volatility averaged 18.1%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.6% (HV 20d: 17.5%). Max pain ranged from $53.69 to $53.69. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2010-09-20: Highest Volume — 2,513 contracts
  • 2010-09-15: Largest IV drop — 20.5% change
  • 2010-09-02: Highest IV Rank — 56.2%
  • 2010-09-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.48$53.32$57.39$53.32$56.83
Max Pain$53.69$53.69$53.69$53.69$53.69
ATM IV18.1%14.5%21.6%19.2%15.3%
Expected Move5.2%4.2%6.5%5.5%4.4%
HV 20d17.5%12.1%19.6%18.9%12.1%
HV 60d18.6%17.1%19.1%19.0%17.1%
IV Rank36.3%15.9%56.2%42.5%20.7%
IV Percentile33.7%4.4%68.3%38.9%9.5%
Term Structure1.9%-0.3%3.8%1.8%3.8%
VWIV19.1%14.7%23.8%19.3%15.6%
Skew 25d5.2%1.2%7.2%1.2%6.8%
Skew 10d11.1%3.4%13.3%4.2%10.5%
Call IV 25d16.7%12.7%22.1%21.6%14.0%
Put IV 25d21.9%19.2%25.8%22.8%20.8%
Bid-Ask Spread %25.0517.4531.6317.4528.43
Gamma HHI0.360.250.520.400.37
Net GEX-682.6K-3.2M1.6M-3.2M1.0M
Net DEX-5.9M-21.9M21.5M21.5M-20.0M
Net VEX-150.1K-162.9K-133.6K-162.1K-152.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.092.810.090.19
Total Volume948.8571052,5131,053661
Total OI31,340.23820,03540,15135,85024,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$53.32$53.6919.2%5.5%18.9%42.5%19.3%1.2%1.8%-3.2M21.5M-162.1K0.0917.45N/AN/A9639014,19821,652
2010-09-02$53.90$53.6921.6%6.2%19.2%56.2%21.7%2.2%0.7%-2.5M14.3M-162.9K0.3623.25N/AN/A1,67560514,60321,686
2010-09-03$54.16$53.6918.7%5.7%19.3%39.5%19.7%4.2%2.6%-2.9M9.9M-159.7K1.5730.75N/AN/A15123814,93722,081
2010-09-07$53.56$53.6921.1%6.0%19.6%53.0%23.8%6.2%2.0%-2.8M14.6M-162.3K0.6527.55N/AN/A27918114,89822,229
2010-09-08$53.47$53.6920.5%6.5%19.4%50.1%22.6%5.2%0.9%-3.1M15.1M-160.1K1.8422.58N/AN/A7361,35514,87622,100
2010-09-09$54.33$53.6921.6%6.2%19.4%56.2%21.8%5.3%-0.3%-2.2M5.0M-161.2K0.1422.35N/AN/A3424715,13423,180
2010-09-10$54.66$53.6921.4%6.1%19.5%54.9%21.2%5.2%0.8%-2.0M-565.8K-154.7K0.9526.67N/AN/A32230715,24123,180
2010-09-13$54.60$53.6921.3%6.1%19.5%54.3%21.0%5.8%1.3%-2.1M-1.6M-145.7K2.7527.22N/AN/A19754115,30923,223
2010-09-14$54.91$53.6920.6%5.9%19.5%50.7%21.4%4.8%0.5%-1.7M-3.9M-143.2K0.5429.23N/AN/A23712615,32323,479
2010-09-15$55.65$53.6916.4%4.7%18.9%26.8%19.5%5.3%2.3%-228.4K-13.0M-133.6K1.6320.69N/AN/A6161,00515,40923,410
2010-09-16$55.80$53.6918.0%5.2%18.8%35.5%19.3%4.0%1.0%-90.0K-13.4M-139.4K0.4118.80N/AN/A51921215,53924,214
2010-09-17$56.36$53.6917.0%4.9%18.3%29.8%17.6%4.6%1.9%1.6M-18.5M-138.4K0.6418.55N/AN/A50932715,88524,266
2010-09-20$56.44$53.6916.0%4.6%18.1%24.5%16.8%5.8%2.7%262.3K-12.3M-135.7K0.6330.49N/AN/A1,5459688,15111,884
2010-09-21$56.53$53.6915.9%4.6%18.1%23.7%14.7%5.4%2.0%495.1K-14.5M-149.6K0.5231.63N/AN/A2321219,26512,467
2010-09-22$56.36$53.6914.5%4.2%15.3%15.9%15.4%5.0%2.8%515.6K-14.9M-148.6K0.9329.71N/AN/A7486979,43212,492
2010-09-23$56.07$53.6916.8%4.8%15.5%28.9%17.5%5.1%2.1%447.2K-13.6M-154.9K2.8130.10N/AN/A34959,83912,592
2010-09-24$56.97$53.6915.6%4.5%15.0%21.9%15.6%6.5%3.6%867.8K-18.0M-144.4K0.7521.74N/AN/A6875139,85712,674
2010-09-27$56.93$53.6915.8%4.5%14.7%23.5%15.9%6.4%2.8%1.0M-19.7M-146.8K1.1423.51N/AN/A18621110,27112,733
2010-09-28$57.39$53.6916.2%4.7%14.4%25.8%16.2%7.0%2.9%1.2M-21.9M-145.3K0.3720.66N/AN/A762910,36612,771
2010-09-29$56.89$53.6916.8%4.8%13.3%28.7%23.7%7.2%2.7%991.7K-19.2M-150.2K2.6424.75N/AN/A4241,11910,42712,756
2010-09-30$56.83$53.6915.3%4.4%12.1%20.7%15.6%6.8%3.8%1.0M-20.0M-152.9K0.1928.43N/AN/A55510610,69813,418