BDX Options History — May 2011

In May 2011, BDX traded between $65.92 and $68.71. ATM implied volatility averaged 16.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.8% (HV 20d: 10.6%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2011-05-16: Highest Volume — 3,440 contracts
  • 2011-05-12: Largest IV spike — 24.6% change
  • 2011-05-24: Highest IV Rank — 47.3%
  • 2011-05-24: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.13$65.92$68.71$66.61$67.15
Max Pain$62.09$61.36$65.19$65.19$61.36
ATM IV16.4%12.8%19.4%18.4%14.9%
Expected Move4.8%4.2%5.6%5.3%4.3%
HV 20d10.6%8.5%12.3%10.3%11.8%
HV 60d13.7%12.1%17.8%17.8%12.1%
IV Rank29.0%7.8%47.3%40.9%20.6%
IV Percentile26.6%0.8%65.1%46.4%7.1%
Term Structure1.4%-2.6%3.4%-1.0%1.6%
VWIV17.2%15.2%18.5%18.4%16.4%
Skew 25d3.5%1.2%10.5%10.5%1.2%
Skew 10d7.1%-1.7%12.9%12.9%-0.1%
Call IV 25d15.0%8.6%16.4%8.6%14.9%
Put IV 25d18.5%16.1%20.3%19.1%16.1%
Bid-Ask Spread %31.9118.7252.4135.9534.61
Gamma HHI0.410.360.540.400.45
Net GEX3.1M2.6M4.3M2.8M3.2M
Net DEX-42.5M-62.0M-26.1M-39.2M-31.1M
Net VEX-153.0K-173.9K-138.1K-164.0K-138.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.059.320.150.26
Total Volume645.7141483,440537545
Total OI24,977.66721,97927,31525,00123,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$66.61$65.1918.4%5.3%10.3%40.9%18.4%10.5%-1.0%2.8M-39.2M-164.0K0.1535.95N/AN/A4686914,49410,507
2011-05-03$66.60$65.1918.1%5.2%10.3%39.3%18.1%3.9%0.7%2.7M-39.8M-171.2K2.5922.72N/AN/A20252414,42410,554
2011-05-04$66.28$65.1917.2%4.9%9.9%33.7%17.2%3.0%1.5%2.7M-36.8M-173.0K0.4334.05N/AN/A23310014,49410,840
2011-05-05$65.92$65.1918.7%5.4%10.3%42.6%18.4%4.0%-0.4%2.6M-32.4M-173.9K1.0639.99N/AN/A14815614,62310,851
2011-05-06$66.28$61.3617.4%5.3%10.3%34.8%18.5%3.3%1.2%2.8M-37.9M-171.8K0.6118.72N/AN/A986014,65710,859
2011-05-09$66.69$61.3614.1%5.1%10.1%15.8%18.5%3.3%0.9%3.0M-42.4M-158.4K1.2821.03N/AN/A19024314,63910,872
2011-05-10$67.30$61.3612.8%4.5%10.1%7.8%16.4%2.6%1.9%3.0M-48.6M-148.9K0.3429.25N/AN/A2147114,68810,862
2011-05-11$67.55$61.3613.2%4.6%9.9%10.1%17.9%2.7%2.5%2.9M-51.4M-151.4K0.0527.64N/AN/A7993914,75110,848
2011-05-12$68.04$61.3616.4%4.7%10.0%29.2%16.9%4.3%2.1%3.2M-54.4M-150.2K0.3131.00N/AN/A2106515,08210,869
2011-05-13$67.58$61.3616.4%4.7%10.6%29.0%16.6%2.4%2.5%3.1M-52.9M-149.6K0.2222.98N/AN/A1212715,19110,914
2011-05-16$67.43$61.3614.5%4.2%8.8%17.9%16.7%7.2%3.4%3.1M-51.3M-151.2K0.3527.82N/AN/A2,54889215,22610,911
2011-05-17$67.50$61.3617.1%4.9%8.5%33.4%17.5%2.4%2.1%3.5M-50.7M-150.2K9.3223.76N/AN/A8376616,00711,141
2011-05-18$68.62$61.3616.2%4.7%9.8%28.2%16.5%6.0%2.4%4.1M-62.0M-149.1K0.2152.41N/AN/A3086416,02111,094
2011-05-19$68.71$61.3616.7%4.8%9.7%31.0%16.8%1.8%1.9%4.3M-61.8M-149.5K0.1439.58N/AN/A80511415,96510,990
2011-05-20$68.19$61.3615.9%4.6%10.4%26.2%16.7%1.5%3.2%3.6M-58.5M-148.0K0.8532.89N/AN/A41635216,28811,027
2011-05-23$67.09$61.3617.5%5.0%12.3%36.0%16.7%2.0%-0.2%3.0M-31.9M-147.4K0.7622.18N/AN/A31924313,2268,753
2011-05-24$66.53$61.3619.4%5.6%12.3%47.3%17.5%2.3%-2.6%2.9M-28.0M-144.1K0.4837.84N/AN/A2009513,3738,842
2011-05-25$66.54$61.3616.6%4.8%12.1%30.5%16.3%3.7%1.4%3.0M-27.8M-141.4K0.9047.30N/AN/A11810713,4068,880
2011-05-26$66.44$61.3617.0%4.9%12.2%33.3%17.1%3.4%1.2%2.8M-26.1M-139.4K0.9225.83N/AN/A59354413,3988,912
2011-05-27$66.76$61.3615.0%4.3%12.2%21.2%15.2%1.2%2.4%3.0M-28.0M-142.1K3.5042.58N/AN/A9231913,5309,409
2011-05-31$67.15$61.3614.9%4.3%11.8%20.6%16.4%1.2%1.6%3.2M-31.1M-138.1K0.2634.61N/AN/A43411113,5569,557