BDX Options History — October 2010

In October 2010, BDX traded between $56.50 and $59.06. ATM implied volatility averaged 17.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.0% (HV 20d: 11.5%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.21.

Notable Days

  • 2010-10-29: Highest Volume — 2,374 contracts
  • 2010-10-14: Largest IV spike — 40.4% change
  • 2010-10-29: Highest IV Rank — 48.4%
  • 2010-10-29: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.11$56.50$59.06$56.99$57.92
Max Pain$56.06$53.69$57.52$53.69$57.52
ATM IV17.5%13.2%20.2%14.9%20.2%
Expected Move5.4%4.3%5.8%4.3%5.8%
HV 20d11.5%10.6%12.4%11.8%11.5%
HV 60d16.1%14.4%17.4%17.1%14.6%
IV Rank32.9%8.6%48.4%18.1%48.4%
IV Percentile32.6%1.6%59.9%6.3%59.9%
Term Structure0.3%-1.4%4.2%4.2%-1.4%
VWIV18.5%15.1%23.0%15.1%22.4%
Skew 25d4.5%3.4%6.3%6.3%5.3%
Skew 10d9.8%7.7%11.3%9.7%8.7%
Call IV 25d16.7%13.7%18.4%13.7%17.9%
Put IV 25d21.2%20.0%23.7%20.0%23.2%
Bid-Ask Spread %28.2816.2052.6023.6822.01
Gamma HHI0.420.340.500.390.38
Net GEX1.8M928.6K2.2M1.1M1.7M
Net DEX-28.3M-34.5M-18.4M-21.4M-24.1M
Net VEX-149.7K-156.9K-139.1K-154.2K-153.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.1234.040.8934.04
Total Volume606.6192292,3744792,374
Total OI23,444.14319,87527,31324,56221,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$56.99$53.6914.9%4.3%11.8%18.1%15.1%6.3%4.2%1.1M-21.4M-154.2K0.8923.68N/AN/A25422511,13513,427
2010-10-04$56.50$53.6915.0%5.5%12.4%19.1%23.0%5.4%0.6%928.6K-18.4M-156.9K1.8518.54N/AN/A17031711,29413,543
2010-10-05$57.42$53.6916.1%5.4%12.3%24.8%19.6%4.5%0.9%1.4M-24.5M-153.2K0.3119.09N/AN/A2728511,29413,712
2010-10-06$57.62$53.6916.3%5.4%12.2%26.1%19.1%4.4%0.3%1.7M-26.8M-147.1K0.8616.20N/AN/A55347411,44413,680
2010-10-07$57.16$53.6915.7%5.5%12.0%23.0%21.4%4.5%0.3%1.5M-24.2M-154.1K1.3020.91N/AN/A15420011,67813,977
2010-10-08$57.33$53.6915.1%5.3%11.9%19.2%18.5%4.1%0.6%1.7M-25.1M-151.5K2.6116.76N/AN/A16743511,78114,127
2010-10-11$57.46$53.6916.3%5.4%11.8%26.4%18.8%4.1%0.2%2.0M-26.2M-149.7K0.1323.72N/AN/A7059211,79914,498
2010-10-12$57.95$53.6915.9%5.4%12.0%23.8%18.7%4.7%0.4%2.2M-30.3M-152.6K2.5428.68N/AN/A16341512,29314,585
2010-10-13$58.31$57.5213.2%5.3%11.4%8.6%15.8%4.6%-0.1%2.1M-33.4M-151.2K0.1229.20N/AN/A2513112,31814,809
2010-10-14$58.35$57.5218.5%5.3%11.4%38.7%18.1%4.0%0.3%1.9M-33.8M-152.5K0.9932.86N/AN/A23323212,47114,833
2010-10-15$58.39$57.5218.4%5.3%11.0%37.8%18.2%4.6%0.6%2.1M-34.5M-148.8K0.5834.23N/AN/A24214012,54114,772
2010-10-18$58.92$57.5218.9%5.4%11.3%40.7%19.3%4.4%0.3%1.8M-31.0M-146.8K1.5441.53N/AN/A9013911,3468,529
2010-10-19$58.56$57.5219.4%5.6%11.7%43.5%16.5%4.9%-0.5%1.7M-28.9M-148.5K1.5529.54N/AN/A20030911,3888,572
2010-10-20$58.98$57.5218.8%5.4%11.7%40.3%16.6%3.9%0.8%1.8M-31.3M-146.7K0.3933.19N/AN/A38315011,4878,736
2010-10-21$59.06$57.5218.6%5.3%11.4%39.0%17.5%3.6%0.6%1.9M-32.7M-145.4K0.2338.69N/AN/A50111411,6068,746
2010-10-22$58.60$57.5218.4%5.3%10.8%38.2%18.5%3.4%0.6%1.9M-30.0M-145.8K3.4132.97N/AN/A9231211,6538,764
2010-10-25$58.99$57.5218.9%5.4%10.9%41.0%18.6%4.1%0.0%2.0M-32.1M-139.1K11.1852.60N/AN/A6471511,6468,937
2010-10-26$58.85$57.5219.4%5.6%10.8%43.5%19.3%4.3%-0.4%1.9M-30.4M-147.6K0.6627.83N/AN/A32121111,6649,340
2010-10-27$58.41$57.5219.5%5.6%10.6%44.3%16.8%5.2%-0.2%1.8M-26.8M-151.4K1.2227.51N/AN/A25130711,7479,363
2010-10-28$58.59$57.5220.1%5.8%10.6%47.5%16.3%4.6%-1.0%1.9M-28.8M-148.4K1.0024.05N/AN/A19819811,8219,450
2010-10-29$57.92$57.5220.2%5.8%11.5%48.4%22.4%5.3%-1.4%1.7M-24.1M-153.0K34.0422.01N/AN/A672,30711,8889,633