BDX Options History — March 2011

In March 2011, BDX traded between $58.68 and $62.18. ATM implied volatility averaged 18.5%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.1% (HV 20d: 18.4%). Max pain ranged from $61.36 to $61.36. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.10.

Notable Days

  • 2011-03-07: Highest Volume — 10,973 contracts
  • 2011-03-21: Largest IV drop — 21.6% change
  • 2011-03-16: Highest IV Rank — 80.1%
  • 2011-03-16: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.30$58.68$62.18$60.75$61.07
Max Pain$61.36$61.36$61.36$61.36$61.36
ATM IV18.5%14.8%25.1%18.0%17.3%
Expected Move5.3%4.3%7.2%5.2%5.0%
HV 20d18.4%13.5%25.4%24.4%13.5%
HV 60d18.0%17.7%18.6%17.8%17.7%
IV Rank41.7%19.9%80.1%38.7%34.2%
IV Percentile49.1%7.1%97.2%46.4%37.3%
Term Structure0.9%-3.2%3.4%0.4%1.0%
VWIV19.7%15.2%24.9%21.7%17.3%
Skew 25d4.1%2.4%7.0%7.0%5.2%
Skew 10d9.5%6.2%15.8%14.9%8.4%
Call IV 25d17.2%13.5%20.6%15.6%14.1%
Put IV 25d21.3%18.2%26.8%22.5%19.3%
Bid-Ask Spread %28.8320.6740.1434.9322.03
Gamma HHI0.260.190.540.240.22
Net GEX249.6K-2.0M1.2M628.5K726.8K
Net DEX2.4M-10.1M14.9M-1.1M-2.6M
Net VEX-113.5K-133.1K-102.2K-104.5K-133.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.0317.371.400.32
Total Volume1,130.8268410,973254124
Total OI21,067.95713,89226,87722,21518,356

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$60.75$61.3618.0%5.2%24.4%38.7%21.7%7.0%0.4%628.5K-1.1M-104.5K1.4034.93N/AN/A10614811,68210,533
2011-03-02$60.95$61.3619.1%5.5%24.0%45.2%20.5%2.7%-1.0%672.3K-1.9M-105.4K0.1528.16N/AN/A1,17817311,71510,650
2011-03-03$62.18$61.3617.6%5.0%25.3%36.0%17.6%4.0%0.2%1.2M-10.1M-117.2K0.2332.54N/AN/A48010912,62510,765
2011-03-04$61.52$61.3617.9%5.2%25.4%37.9%20.7%3.1%1.2%1.0M-6.6M-119.3K0.0731.08N/AN/A5613812,92910,780
2011-03-07$60.91$61.3619.5%5.2%25.4%47.4%23.5%3.5%1.6%1.0M-4.3M-117.2K0.0327.56N/AN/A10,64432913,31910,809
2011-03-08$61.31$61.3618.7%5.6%24.9%42.6%21.0%2.6%0.1%1.0M-1.4M-116.6K1.7431.64N/AN/A26646312,27010,891
2011-03-09$61.09$61.3618.5%5.4%15.7%41.3%0.0%3.2%0.6%910.3K220.0K-118.6K4.4229.35N/AN/A156912,42611,298
2011-03-10$60.08$61.3619.3%5.5%16.5%45.8%21.5%2.4%0.7%351.5K6.3M-113.1K0.2428.53N/AN/A1,11826812,42511,314
2011-03-11$60.49$61.3619.2%5.5%16.8%45.6%19.3%3.2%0.7%873.8K2.3M-121.7K0.1031.35N/AN/A1871913,09411,389
2011-03-14$59.57$61.3619.8%5.7%17.5%49.1%21.0%3.1%0.3%113.5K8.4M-112.0K0.9329.30N/AN/A17916713,14211,407
2011-03-15$59.03$61.3622.5%6.5%17.5%65.1%20.9%4.0%-0.5%-487.9K11.8M-104.3K12.7040.14N/AN/A1592,02113,17011,485
2011-03-16$58.70$61.3625.1%7.2%17.0%80.1%24.9%6.7%-3.2%-1.5M14.9M-106.0K17.3732.13N/AN/A3967913,18413,320
2011-03-17$58.68$61.3622.7%6.5%17.0%66.1%22.8%4.2%-0.2%-2.0M14.4M-109.5K2.7931.25N/AN/A5013913,21613,623
2011-03-18$58.98$61.3621.6%6.2%17.1%59.9%20.5%5.0%0.7%-681.8K11.6M-108.0K0.8926.50N/AN/A16915113,22213,655
2011-03-21$59.76$61.3617.0%4.9%17.1%32.5%17.1%4.2%2.4%-13.5K4.1M-102.2K0.3227.88N/AN/A9823107,9315,961
2011-03-22$59.86$61.3617.0%4.9%15.8%32.3%19.4%4.1%2.0%154.8K2.9M-109.6K0.5530.14N/AN/A2041128,7236,229
2011-03-23$59.53$61.3616.0%4.6%15.7%26.8%18.2%3.0%2.3%49.9K4.3M-107.5K0.1624.96N/AN/A307508,8906,328
2011-03-24$59.81$61.3616.1%4.6%15.8%27.0%20.4%4.4%2.6%167.9K3.2M-108.5K0.9326.13N/AN/A2202059,0966,359
2011-03-25$60.32$61.3614.8%4.3%15.3%19.9%15.2%4.9%3.4%342.2K1.1M-110.5K0.5627.98N/AN/A151859,1916,510
2011-03-28$60.30$61.3617.1%4.9%15.3%33.4%17.2%4.4%1.8%367.3K326.5K-114.9K2.0120.67N/AN/A5481,0999,2816,581
2011-03-29$60.97$61.3616.0%4.6%15.5%26.8%16.1%4.8%2.4%374.5K45.7K-123.3K0.2724.84N/AN/A5561489,4907,636
2011-03-30$60.97$61.3615.6%4.5%15.4%24.2%16.4%5.3%2.0%534.4K-1.4M-127.7K0.0923.91N/AN/A904809,9837,680
2011-03-31$61.07$61.3617.3%5.0%13.5%34.2%17.3%5.2%1.0%726.8K-2.6M-133.1K0.3222.03N/AN/A933110,6487,708