BDX Options History — January 2011

In January 2011, BDX traded between $63.32 and $64.99. ATM implied volatility averaged 15.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.2% (HV 20d: 13.4%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2011-01-07: Highest Volume — 1,086 contracts
  • 2011-01-13: Largest IV spike — 43.4% change
  • 2011-01-18: Highest IV Rank — 40.7%
  • 2011-01-18: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.01$63.32$64.99$64.99$63.62
Max Pain$64.43$61.36$65.19$61.36$65.19
ATM IV15.6%11.6%18.4%15.8%15.9%
Expected Move4.7%3.8%5.3%4.5%4.6%
HV 20d13.4%12.1%14.7%13.6%12.8%
HV 60d15.2%14.5%15.6%14.5%15.6%
IV Rank24.1%0.6%40.7%24.1%26.3%
IV Percentile20.0%0.4%44.0%16.3%23.4%
Term Structure0.4%-2.8%2.4%2.4%-2.8%
VWIV17.6%14.9%21.7%21.7%18.6%
Skew 25d4.5%2.1%7.2%2.1%2.6%
Skew 10d10.2%3.1%15.1%3.1%10.4%
Call IV 25d15.1%12.1%17.7%16.5%17.7%
Put IV 25d19.7%18.1%21.7%18.7%20.3%
Bid-Ask Spread %30.3718.8548.9730.3948.97
Gamma HHI0.350.290.430.290.33
Net GEX1.5M1.2M2.0M1.5M1.4M
Net DEX-19.2M-24.8M-15.5M-24.8M-15.5M
Net VEX-128.0K-139.4K-110.6K-133.3K-110.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.085.420.080.85
Total Volume428.7231,086460804
Total OI18,794.317,11220,07117,11219,753

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$64.99$61.3615.8%4.5%13.6%24.1%21.7%2.1%2.4%1.5M-24.8M-133.3K0.0830.39N/AN/A424369,4237,689
2011-01-04$63.93$61.3615.6%4.5%14.7%23.3%16.3%3.4%2.4%1.3M-19.5M-135.1K1.0424.30N/AN/A3083219,4607,689
2011-01-05$63.94$61.3615.2%4.4%14.6%21.0%15.4%3.4%2.4%1.2M-18.0M-138.1K0.7132.04N/AN/A1411009,6487,961
2011-01-06$63.85$61.3615.5%4.4%14.5%22.4%0.0%2.8%1.7%1.3M-18.2M-136.2K0.5032.17N/AN/A1589,6867,992
2011-01-07$63.84$65.1915.0%5.2%14.4%19.9%18.3%4.1%-0.3%1.2M-17.5M-134.3K0.2724.98N/AN/A8572299,6937,993
2011-01-10$63.71$65.1915.8%5.2%14.3%24.2%0.0%4.3%-0.5%1.4M-17.7M-139.4K3.0321.68N/AN/A5015010,4218,155
2011-01-11$64.41$65.1914.9%4.9%14.7%19.3%20.2%3.5%0.3%1.9M-23.3M-138.1K0.3624.32N/AN/A2408610,4378,180
2011-01-12$64.15$65.1911.6%4.7%14.2%0.6%17.8%4.2%0.6%1.8M-20.2M-135.6K0.1822.59N/AN/A2334310,5728,215
2011-01-13$63.76$65.1916.6%4.8%14.3%30.2%17.7%4.3%0.8%1.6M-18.2M-133.2K5.4247.88N/AN/A4323310,5328,221
2011-01-14$63.43$65.1916.6%4.8%12.1%30.3%16.7%5.6%0.6%1.3M-16.3M-129.4K0.7620.14N/AN/A332410,5568,325
2011-01-18$64.40$65.1918.4%5.3%13.3%40.7%20.0%6.8%-0.3%2.0M-21.1M-123.4K0.9431.07N/AN/A17316310,5419,213
2011-01-19$63.66$65.1917.1%4.9%12.7%33.4%17.1%5.1%0.1%1.4M-17.1M-119.7K0.5843.71N/AN/A23213610,6029,322
2011-01-20$63.73$65.1917.2%4.9%12.7%33.6%17.3%4.9%-0.5%1.4M-17.1M-125.6K0.2518.85N/AN/A1794510,6669,368
2011-01-21$63.81$65.1915.9%4.6%12.5%26.0%15.7%6.9%0.9%1.5M-18.0M-119.5K4.2329.91N/AN/A12151310,6879,384
2011-01-24$64.17$65.1916.4%4.7%12.6%29.0%17.0%5.7%0.5%1.6M-19.2M-120.0K0.3625.42N/AN/A4121489,8838,645
2011-01-25$64.89$65.1916.3%4.7%13.1%28.3%18.9%7.2%0.4%1.8M-23.6M-122.3K0.9221.47N/AN/A35132310,0748,762
2011-01-26$64.53$65.1914.9%4.3%12.1%20.0%14.9%6.4%0.9%1.8M-21.1M-122.4K0.5329.04N/AN/A32216910,3278,975
2011-01-27$64.08$65.1914.5%4.2%12.3%17.8%15.2%5.6%0.5%1.8M-21.2M-120.3K0.4537.49N/AN/A1677410,4218,966
2011-01-28$63.32$65.1913.4%3.8%12.8%11.1%18.2%2.1%-1.2%1.5M-16.9M-122.8K3.2040.95N/AN/A15950910,4748,975
2011-01-31$63.62$65.1915.9%4.6%12.8%26.3%18.6%2.6%-2.8%1.4M-15.5M-110.6K0.8548.97N/AN/A43437010,4839,270