BDX Options History — November 2010

In November 2010, BDX traded between $57.75 and $60.03. ATM implied volatility averaged 18.3%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.8% (HV 20d: 15.5%). Max pain ranged from $53.69 to $57.52. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.71.

Notable Days

2010-11-05: Highest Volume — 20,641 contracts
2010-11-04: Largest IV drop — 25.8% change
2010-11-02: Highest IV Rank — 61.6%
2010-11-02: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.31	$57.75	$60.03	$57.75	$59.77
Max Pain	$55.70	$53.69	$57.52	$57.52	$57.52
ATM IV	18.3%	16.0%	22.6%	20.7%	18.4%
Expected Move	5.2%	4.6%	6.5%	5.9%	5.3%
HV 20d	15.5%	9.5%	18.0%	11.1%	17.3%
HV 60d	14.8%	13.7%	15.8%	14.6%	13.7%
IV Rank	37.3%	24.6%	61.6%	51.2%	37.9%
IV Percentile	41.0%	18.7%	86.5%	65.9%	40.1%
Term Structure	1.4%	-2.1%	3.9%	-2.1%	0.3%
VWIV	19.4%	15.9%	22.8%	20.7%	19.5%
Skew 25d	3.8%	0.3%	5.2%	5.2%	3.4%
Skew 10d	9.0%	1.3%	12.4%	8.6%	10.6%
Call IV 25d	17.1%	14.4%	21.7%	18.9%	18.4%
Put IV 25d	20.9%	18.1%	25.5%	24.1%	21.7%
Bid-Ask Spread %	21.48	11.61	52.13	28.21	17.01
Gamma HHI	0.48	0.34	0.67	0.39	0.64
Net GEX	948.6K	-3.4M	3.4M	1.4M	3.0M
Net DEX	-27.3M	-36.2M	-14.4M	-19.4M	-27.0M
Net VEX	-178.6K	-229.0K	-149.5K	-154.4K	-157.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.71	0.05	66.00	0.29	1.99
Total Volume	1,979.286	183	20,641	509	1,287
Total OI	36,422.905	22,178	45,322	22,756	34,987

Daily Data (21 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
2010-11-01	$57.75	$57.52	20.7%	5.9%	11.1%	51.2%	20.7%	5.2%	-2.1%	1.4M	-19.4M	-154.4K	0.29	28.21	N/A	N/A	396	113	11,907	10,849
2010-11-02	$57.82	$57.52	22.6%	6.5%	9.6%	61.6%	22.6%	4.6%	-1.7%	1.4M	-20.4M	-153.9K	14.73	25.00	N/A	N/A	181	2,669	11,926	10,252
2010-11-03	$57.94	$57.52	21.9%	6.3%	9.5%	58.0%	22.8%	2.9%	-0.6%	422.0K	-14.4M	-166.0K	1.20	40.69	N/A	N/A	617	739	11,891	12,603
2010-11-04	$60.02	$57.52	16.3%	4.7%	15.2%	26.1%	19.9%	0.3%	-0.4%	824.3K	-33.1M	-149.5K	0.35	29.40	N/A	N/A	1,353	476	11,789	13,033
2010-11-05	$59.47	$53.69	16.5%	4.8%	15.7%	27.4%	19.1%	4.2%	2.4%	711.7K	-29.5M	-152.0K	2.11	20.48	N/A	N/A	6,640	14,001	11,748	12,987
2010-11-08	$59.49	$53.69	18.3%	4.8%	15.8%	37.2%	17.0%	4.9%	2.9%	-162.9K	-30.2M	-229.0K	0.38	18.47	N/A	N/A	247	93	18,261	25,341
2010-11-09	$59.66	$53.69	16.2%	4.8%	15.6%	25.7%	18.2%	4.2%	2.4%	-7.1K	-32.7M	-219.7K	0.55	18.74	N/A	N/A	118	65	18,299	25,426
2010-11-10	$59.96	$53.69	17.0%	4.7%	15.5%	29.8%	16.0%	4.7%	3.5%	7.7K	-36.2M	-214.4K	0.06	13.47	N/A	N/A	1,422	84	18,246	25,435
2010-11-11	$60.03	$53.69	16.3%	4.7%	15.5%	25.9%	18.9%	4.8%	3.2%	256.0K	-32.4M	-208.8K	1.01	11.61	N/A	N/A	219	220	17,578	25,463
2010-11-12	$59.27	$53.69	20.0%	5.7%	16.3%	46.9%	17.2%	4.0%	1.1%	-733.4K	-25.7M	-202.0K	0.76	13.74	N/A	N/A	471	357	17,700	25,469
2010-11-15	$59.36	$53.69	19.8%	5.7%	16.0%	45.7%	17.8%	3.7%	1.6%	12.2K	-23.8M	-197.0K	0.32	18.96	N/A	N/A	597	190	18,057	25,436
2010-11-16	$58.76	$53.69	19.4%	5.6%	16.3%	43.5%	21.3%	4.1%	2.4%	-3.4M	-17.8M	-196.4K	0.39	21.19	N/A	N/A	469	183	18,302	25,533
2010-11-17	$58.89	$53.69	19.4%	5.6%	16.1%	43.8%	19.6%	4.1%	1.9%	-2.0M	-22.0M	-191.4K	66.00	13.19	N/A	N/A	15	1,033	18,247	25,534
2010-11-18	$59.59	$53.69	17.4%	5.0%	16.7%	32.4%	19.8%	3.9%	3.6%	2.0M	-33.5M	-180.8K	15.54	21.31	N/A	N/A	107	1,661	18,244	26,417
2010-11-19	$59.70	$57.52	16.0%	4.6%	16.4%	24.6%	15.9%	3.6%	3.9%	2.6M	-36.1M	-180.3K	0.05	15.03	N/A	N/A	1,470	70	18,328	26,994
2010-11-22	$59.53	$57.52	17.3%	4.9%	16.3%	31.5%	19.5%	3.3%	2.3%	2.4M	-30.6M	-149.6K	3.11	52.13	N/A	N/A	156	486	16,166	17,831
2010-11-23	$58.78	$57.52	19.7%	5.6%	16.9%	45.2%	19.5%	4.1%	-0.4%	1.5M	-17.9M	-165.5K	7.57	23.16	N/A	N/A	126	957	16,168	18,187
2010-11-24	$59.92	$57.52	16.4%	4.7%	18.0%	26.6%	20.3%	3.2%	1.5%	3.1M	-30.6M	-165.0K	0.46	16.99	N/A	N/A	880	403	16,189	18,550
2010-11-26	$59.95	$57.52	16.7%	4.8%	18.0%	28.3%	20.2%	3.7%	1.4%	3.4M	-29.5M	-162.2K	2.15	16.12	N/A	N/A	79	168	16,124	18,593
2010-11-29	$59.86	$57.52	17.8%	5.1%	17.4%	34.7%	22.1%	3.1%	0.5%	3.2M	-29.6M	-155.7K	0.98	16.16	N/A	N/A	377	370	16,166	18,625
2010-11-30	$59.77	$57.52	18.4%	5.3%	17.3%	37.9%	19.5%	3.4%	0.3%	3.0M	-27.0M	-157.1K	1.99	17.01	N/A	N/A	430	857	16,236	18,751