BDX Options History — April 2011

In April 2011, BDX traded between $61.66 and $65.92. ATM implied volatility averaged 18.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.3% (HV 20d: 11.1%). 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 12 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2011-04-25: Highest Volume — 7,173 contracts
  • 2011-04-25: Largest IV spike — 39.0% change
  • 2011-04-25: Highest IV Rank — 79.2%
  • 2011-04-25: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.46$61.66$65.92$61.80$65.92
Max Pain$62.13$61.36$65.19$61.36$65.19
ATM IV18.4%15.9%24.9%16.4%16.3%
Expected Move5.4%4.7%7.1%4.7%4.7%
HV 20d11.1%9.2%13.7%13.7%10.4%
HV 60d17.9%17.5%18.1%17.9%17.7%
IV Rank40.9%26.3%79.2%28.8%28.5%
IV Percentile44.8%14.7%96.8%25.4%22.2%
Term Structure-0.1%-3.3%2.6%2.6%0.6%
VWIV19.0%16.5%25.6%20.1%16.5%
Skew 25d3.9%0.9%8.0%7.3%7.8%
Skew 10d9.8%5.4%12.5%12.3%12.2%
Call IV 25d16.8%10.3%23.9%12.4%10.3%
Put IV 25d20.8%18.1%27.5%19.8%18.1%
Bid-Ask Spread %30.9616.3860.7323.9538.52
Gamma HHI0.280.220.410.230.41
Net GEX1.5M808.2K2.7M992.5K2.7M
Net DEX-16.4M-33.9M-4.9M-6.3M-33.9M
Net VEX-148.6K-192.8K-130.1K-134.2K-176.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.018.215.940.31
Total Volume1,208.75597,173163277
Total OI20,827.9518,28127,45718,35225,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$61.80$61.3616.4%4.7%13.7%28.8%0.0%7.3%2.6%992.5K-6.3M-134.2K5.9423.95N/AN/A2314010,6407,712
2011-04-04$62.14$61.3616.4%5.4%13.3%29.2%20.1%3.0%0.0%1.0M-7.5M-131.8K1.1819.95N/AN/A15017710,6567,846
2011-04-05$61.66$61.3616.6%5.3%13.5%30.4%18.6%3.1%0.4%890.9K-4.9M-130.1K0.0116.38N/AN/A473510,7597,879
2011-04-06$62.12$61.3618.0%5.6%13.6%38.5%19.5%3.4%0.0%1.2M-8.7M-133.8K0.0117.73N/AN/A1,4061411,1207,876
2011-04-07$62.10$61.3616.6%5.5%12.0%30.5%19.7%3.1%-0.0%1.3M-9.7M-140.7K0.7920.53N/AN/A433412,3357,871
2011-04-08$61.94$61.3615.9%5.5%11.9%26.3%17.7%3.1%0.6%1.3M-9.7M-138.6K0.0726.24N/AN/A55412,3597,875
2011-04-11$62.51$61.3618.8%5.7%10.5%43.0%18.2%3.2%-0.0%1.4M-13.3M-139.4K0.1131.23N/AN/A3874212,3887,877
2011-04-12$62.41$61.3619.8%5.6%9.7%48.8%17.6%3.2%0.1%1.5M-13.0M-139.4K0.0641.99N/AN/A6093612,6317,875
2011-04-13$62.79$61.3621.6%5.6%9.2%59.7%17.8%4.2%0.8%1.6M-15.3M-139.7K0.0931.08N/AN/A5084612,7297,838
2011-04-14$62.75$61.3619.6%5.6%9.2%47.8%18.5%3.2%0.1%1.5M-15.5M-138.9K4.3527.86N/AN/A6227212,8427,875
2011-04-15$64.01$61.3618.9%5.4%10.9%44.1%18.9%0.9%-1.3%2.6M-21.5M-141.2K0.7146.01N/AN/A18813412,8717,850
2011-04-18$63.71$61.3617.9%5.1%10.8%38.1%19.6%2.7%-0.0%1.8M-17.0M-140.6K1.6241.59N/AN/A46976211,5946,687
2011-04-19$63.93$61.3617.8%5.1%10.8%37.2%18.0%2.7%0.5%1.8M-17.9M-142.2K0.2842.11N/AN/A1363811,7287,124
2011-04-20$64.41$61.3617.5%5.0%10.4%35.5%17.7%2.7%0.4%2.0M-21.6M-143.4K0.5860.73N/AN/A38922611,8317,136
2011-04-21$64.43$61.3617.9%5.1%10.4%38.1%18.0%2.4%-0.0%2.0M-22.0M-140.2K0.4524.12N/AN/A42019111,8317,155
2011-04-25$64.37$61.3624.9%7.1%10.4%79.2%25.6%3.6%-3.3%1.8M-21.8M-148.6K3.2522.99N/AN/A1,6895,48412,1047,276
2011-04-26$65.11$65.1923.1%6.6%10.7%68.2%24.2%3.3%-3.2%808.2K-17.0M-187.6K0.9323.99N/AN/A2,0441,90713,08912,050
2011-04-27$65.58$65.1917.2%4.9%10.4%33.5%17.5%7.3%0.1%1.3M-24.4M-192.0K8.2127.55N/AN/A5204,27314,29112,492
2011-04-28$65.62$65.1917.0%4.9%10.4%32.4%17.0%8.0%-1.1%1.4M-26.7M-192.8K3.3334.67N/AN/A12541714,49712,960
2011-04-29$65.92$65.1916.3%4.7%10.4%28.5%16.5%7.8%0.6%2.7M-33.9M-176.6K0.3138.52N/AN/A2116614,48710,523