BDX Options History — December 2010

In December 2010, BDX traded between $61.22 and $65.44. ATM implied volatility averaged 17.1%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 15.6%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-12-07: Highest Volume — 18,758 contracts
  • 2010-12-14: Largest IV drop — 59.4% change
  • 2010-12-13: Highest IV Rank — 93.5%
  • 2010-12-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.75$61.22$65.44$61.22$64.83
Max Pain$59.96$57.52$61.36$57.52$61.36
ATM IV17.1%11.5%28.2%18.2%16.2%
Expected Move4.7%4.1%5.6%5.2%4.6%
HV 20d15.6%13.8%19.3%19.0%13.9%
HV 60d14.4%14.0%14.9%14.1%14.7%
IV Rank31.1%0.0%93.5%36.9%26.2%
IV Percentile28.5%0.0%98.8%36.9%23.4%
Term Structure1.7%-0.3%2.8%0.1%2.2%
VWIV17.3%13.9%20.1%18.7%16.3%
Skew 25d4.6%2.4%9.2%5.9%6.4%
Skew 10d9.0%5.8%14.8%9.0%9.3%
Call IV 25d14.1%10.9%17.2%15.3%12.5%
Put IV 25d18.6%16.2%21.4%21.2%18.9%
Bid-Ask Spread %28.0712.5948.9912.9212.59
Gamma HHI0.550.280.820.800.28
Net GEX3.1M1.2M5.3M4.9M1.4M
Net DEX-44.0M-77.1M-20.2M-48.4M-24.2M
Net VEX-127.3K-155.3K-98.5K-155.3K-137.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.013.171.300.40
Total Volume1,549.72710518,758839285
Total OI27,218.68213,94937,29935,58917,071

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$61.22$57.5218.2%5.2%19.0%36.9%18.7%5.9%0.1%4.9M-48.4M-155.3K1.3012.92N/AN/A36547416,44719,142
2010-12-02$61.94$57.5218.7%5.4%19.3%39.7%20.0%7.0%-0.3%5.1M-59.6M-149.5K0.3617.03N/AN/A34012116,55619,164
2010-12-03$62.53$57.5219.5%5.6%15.4%44.3%19.8%9.2%-0.3%4.9M-66.9M-141.9K2.6137.61N/AN/A5701,48816,66119,271
2010-12-06$62.01$57.5219.2%5.1%15.4%42.6%19.6%3.5%2.5%5.3M-55.3M-147.3K0.9130.74N/AN/A23321216,48020,477
2010-12-07$62.42$57.5220.3%5.2%15.4%49.0%18.2%3.3%1.9%5.0M-61.0M-139.9K0.0129.50N/AN/A18,53822016,35820,538
2010-12-08$62.16$57.5219.4%5.2%15.6%43.4%20.1%3.8%1.8%5.3M-41.2M-141.0K1.5826.51N/AN/A22535713,27320,611
2010-12-09$62.48$57.5218.7%5.0%15.6%39.6%17.6%3.2%2.0%5.3M-46.9M-134.3K0.1326.07N/AN/A6077613,35320,591
2010-12-10$62.92$57.5218.2%5.1%15.7%36.8%18.9%3.0%2.0%4.6M-54.7M-126.8K0.8731.69N/AN/A31327213,50720,633
2010-12-13$63.22$61.3628.2%5.3%14.6%93.5%17.0%2.8%1.6%4.0M-54.5M-119.0K1.8729.32N/AN/A30557013,56320,669
2010-12-14$63.96$61.3611.5%4.6%14.9%0.0%16.2%2.7%1.6%2.9M-62.9M-110.4K0.2137.57N/AN/A4298913,82721,175
2010-12-15$63.69$61.3616.0%4.6%14.3%25.3%18.7%2.4%1.7%3.2M-61.2M-114.4K3.0032.30N/AN/A3410213,99221,129
2010-12-16$65.03$61.3616.0%4.6%15.5%25.5%17.1%3.1%1.8%2.0M-71.8M-98.5K0.2148.99N/AN/A2,06143014,00721,200
2010-12-17$65.36$61.3616.0%4.6%15.3%25.1%16.1%2.7%1.2%3.3M-77.1M-117.4K0.2432.41N/AN/A53812815,92021,379
2010-12-20$64.31$61.3614.3%4.1%16.9%15.7%17.3%2.9%2.4%1.2M-21.3M-116.6K3.1733.68N/AN/A2598237,6966,253
2010-12-21$64.28$61.3614.2%4.1%16.8%15.5%16.4%4.0%1.6%1.2M-20.2M-115.9K1.3925.89N/AN/A3294597,7766,768
2010-12-22$64.72$61.3614.3%4.1%15.7%16.1%14.3%5.2%2.2%1.2M-21.1M-121.0K0.3626.85N/AN/A131478,0037,137
2010-12-23$64.92$61.3614.5%4.1%14.7%16.7%14.5%5.6%2.2%1.3M-22.9M-121.7K1.0135.36N/AN/A1311328,0877,160
2010-12-27$64.51$61.3615.3%4.4%15.1%21.7%0.0%4.9%1.8%1.3M-22.2M-121.3K0.2133.50N/AN/A146318,2097,216
2010-12-28$65.44$61.3615.4%4.4%15.5%22.1%13.9%6.8%2.8%1.4M-25.8M-119.6K3.0915.17N/AN/A1905848,2597,224
2010-12-29$65.18$61.3615.4%4.4%15.6%22.0%15.4%6.3%1.9%1.3M-24.8M-124.4K1.0217.75N/AN/A52538,3337,649
2010-12-30$65.30$61.3616.2%4.6%13.8%26.2%16.2%6.4%1.8%1.3M-25.0M-126.7K0.0324.15N/AN/A1,311348,3687,679
2010-12-31$64.83$61.3616.2%4.6%13.9%26.2%16.3%6.4%2.2%1.4M-24.2M-137.7K0.4012.59N/AN/A204819,4057,666