BDX Options History — February 2011

In February 2011, BDX traded between $60.65 and $65.68. ATM implied volatility averaged 18.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.7% (HV 20d: 20.8%). Max pain ranged from $57.52 to $65.19. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-02-08: Highest Volume — 4,415 contracts
  • 2011-02-08: Largest IV drop — 18.2% change
  • 2011-02-07: Highest IV Rank — 56.4%
  • 2011-02-24: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.50$60.65$65.68$64.29$61.36
Max Pain$60.55$57.52$65.19$65.19$61.36
ATM IV18.1%16.2%21.0%16.8%18.4%
Expected Move5.1%4.7%5.6%4.8%5.3%
HV 20d20.8%12.0%24.6%13.4%24.3%
HV 60d17.1%13.9%18.5%14.1%17.8%
IV Rank38.9%28.0%56.4%31.4%41.1%
IV Percentile48.4%29.4%75.0%37.3%53.2%
Term Structure-0.1%-1.9%1.1%-1.0%-0.5%
VWIV18.9%16.3%24.0%16.8%17.9%
Skew 25d4.9%3.9%7.3%4.7%6.9%
Skew 10d11.3%8.3%17.0%11.3%13.7%
Call IV 25d16.2%14.6%18.9%14.8%14.8%
Put IV 25d21.1%19.5%23.3%19.5%21.6%
Bid-Ask Spread %24.7913.3940.8831.2235.78
Gamma HHI0.310.210.490.420.25
Net GEX748.3K-773.0K2.2M1.9M792.0K
Net DEX-8.2M-27.8M-151.5K-18.9M-4.1M
Net VEX-109.4K-120.5K-98.2K-119.2K-104.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.173.040.240.99
Total Volume834.1581834,415287458
Total OI22,143.73720,24524,27520,24522,092

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$64.29$65.1916.8%4.8%13.4%31.4%16.8%4.7%-1.0%1.9M-18.9M-119.2K0.2431.22N/AN/A2325510,7649,481
2011-02-02$64.21$65.1916.2%4.7%12.0%28.0%19.3%5.2%-0.8%2.0M-18.9M-120.5K1.6328.54N/AN/A10617210,8649,508
2011-02-03$64.55$65.1917.1%4.9%12.2%33.3%18.4%5.3%-1.9%2.2M-20.9M-118.0K0.7222.65N/AN/A1077610,8939,521
2011-02-04$64.81$57.5218.0%4.9%12.2%38.7%17.2%5.1%0.8%2.1M-21.8M-117.0K0.2626.48N/AN/A66017210,9359,512
2011-02-07$65.68$57.5221.0%5.1%13.0%56.4%20.1%5.1%0.9%2.2M-27.8M-116.9K1.1318.02N/AN/A9171,03310,9919,567
2011-02-08$62.15$57.5217.2%5.2%24.0%33.8%19.6%5.1%0.0%578.1K-3.3M-98.2K3.0419.51N/AN/A1,0943,32111,51310,109
2011-02-09$62.42$57.5216.9%5.2%23.7%32.1%18.4%4.7%-0.3%206.4K-3.7M-112.5K1.1235.75N/AN/A17319511,81711,678
2011-02-10$62.28$57.5218.4%5.3%23.6%40.6%18.9%5.0%-0.5%359.2K-5.6M-111.6K0.9928.18N/AN/A13613511,88611,664
2011-02-11$62.35$57.5218.5%5.3%23.6%41.6%20.8%4.8%-0.4%155.4K-4.2M-108.5K1.4222.80N/AN/A9313211,91511,631
2011-02-14$62.58$57.5217.8%5.1%23.6%37.2%16.3%4.1%0.5%173.9K-5.1M-102.3K0.2023.34N/AN/A1,05721211,93411,713
2011-02-15$61.70$61.3617.1%4.9%23.3%32.9%17.6%4.6%1.1%-329.3K-1.0M-99.4K0.8126.86N/AN/A24219611,91911,839
2011-02-16$61.36$61.3617.5%5.0%23.0%35.6%17.8%4.0%0.6%-351.9K-2.1M-104.7K1.7418.59N/AN/A34560011,90011,705
2011-02-17$61.56$61.3618.2%5.2%23.1%39.8%19.6%4.0%-0.4%-773.0K-1.3M-101.5K0.5017.15N/AN/A50925412,05911,900
2011-02-18$62.34$61.3618.2%5.2%23.6%39.9%17.8%4.8%-0.0%641.1K-8.6M-105.9K0.8020.86N/AN/A62850212,38911,886
2011-02-22$61.11$61.3618.9%5.4%24.4%43.8%20.4%3.9%-0.5%586.6K-3.3M-109.1K2.2721.30N/AN/A12227710,8649,961
2011-02-23$60.66$61.3619.3%5.5%23.9%46.1%19.5%4.3%-0.1%501.3K-1.0M-109.4K0.1719.67N/AN/A71912110,88310,065
2011-02-24$60.65$61.3619.5%5.6%23.9%47.3%24.0%7.3%0.5%481.8K-151.5K-111.1K1.0513.39N/AN/A15115911,48510,135
2011-02-25$61.49$61.3618.1%5.2%24.6%39.1%19.3%4.4%-0.2%804.9K-4.8M-107.8K1.1940.88N/AN/A22326511,54610,207
2011-02-28$61.36$61.3618.4%5.3%24.3%41.1%17.9%6.9%-0.5%792.0K-4.1M-104.9K0.9935.78N/AN/A23022811,64010,452