BDX Options History — June 2011

In June 2011, BDX traded between $65.07 and $66.84. ATM implied volatility averaged 17.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.0% (HV 20d: 13.1%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2011-06-06: Highest Volume — 13,858 contracts
  • 2011-06-30: Largest IV drop — 9.5% change
  • 2011-06-17: Highest IV Rank — 44.4%
  • 2011-06-17: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.72$65.07$66.84$66.84$66.09
Max Pain$64.85$61.36$65.19$61.36$65.19
ATM IV17.1%15.4%18.9%16.8%15.4%
Expected Move5.0%4.4%5.4%4.8%4.4%
HV 20d13.1%11.8%15.0%11.9%13.5%
HV 60d11.9%11.0%12.3%11.9%12.1%
IV Rank33.8%23.7%44.4%32.0%23.7%
IV Percentile39.2%11.9%65.5%34.1%11.9%
Term Structure2.1%1.0%3.6%1.4%2.9%
VWIV17.4%15.4%20.2%16.4%15.4%
Skew 25d2.9%-0.6%8.2%1.4%4.0%
Skew 10d5.2%-2.6%12.8%-0.4%4.2%
Call IV 25d15.6%10.8%18.0%15.9%10.8%
Put IV 25d18.4%14.7%21.0%17.3%14.7%
Bid-Ask Spread %40.6713.6399.8421.1633.82
Gamma HHI0.390.310.600.430.33
Net GEX1.9M550.0K4.1M3.1M620.8K
Net DEX-12.2M-30.2M-4.8M-30.2M-8.3M
Net VEX-134.5K-152.6K-121.1K-137.2K-150.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.018.470.803.03
Total Volume1,209.18214113,858211157
Total OI19,611.90911,63323,59623,29916,254

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$66.84$61.3616.8%4.8%11.9%32.0%16.4%1.4%1.4%3.1M-30.2M-137.2K0.8021.16N/AN/A1179413,7369,563
2011-06-02$66.22$61.3616.5%4.7%12.3%29.9%16.0%3.3%1.2%2.7M-23.4M-135.6K0.4531.57N/AN/A36016313,6649,625
2011-06-03$65.78$65.1915.5%5.0%12.3%24.3%17.0%2.9%2.4%2.4M-19.8M-132.6K1.8982.02N/AN/A15128513,7119,691
2011-06-06$65.36$65.1916.2%4.9%12.3%28.3%18.8%2.4%2.5%2.2M-16.1M-128.1K0.0125.76N/AN/A13,7649413,7359,861
2011-06-07$65.17$65.1916.8%4.9%12.1%31.6%17.0%2.2%2.4%2.1M-9.6M-128.6K4.2230.81N/AN/A7130312,4669,918
2011-06-08$65.59$65.1916.5%4.7%11.8%30.1%16.9%1.9%3.4%2.2M-10.7M-129.8K0.1234.04N/AN/A6327912,51310,177
2011-06-09$66.19$65.1917.3%5.0%12.3%34.9%17.1%2.1%2.7%2.6M-16.7M-133.1K0.8236.00N/AN/A29424212,88310,201
2011-06-10$65.13$65.1917.8%5.1%13.0%38.0%17.8%2.2%1.8%2.3M-9.0M-134.8K1.0733.94N/AN/A31333613,04310,231
2011-06-13$65.24$65.1917.3%4.9%12.9%34.6%18.7%2.5%2.9%2.6M-9.7M-126.7K0.9424.49N/AN/A22120913,08910,098
2011-06-14$66.15$65.1917.5%5.0%14.1%36.0%17.8%2.9%2.3%2.6M-18.8M-127.5K6.7986.03N/AN/A5033613,1929,979
2011-06-15$65.13$65.1917.8%5.1%15.0%38.0%20.2%2.1%3.6%2.6M-11.3M-128.2K1.0538.67N/AN/A26828213,19310,032
2011-06-16$65.10$65.1918.9%5.4%13.3%44.3%19.0%3.0%2.0%3.5M-8.9M-125.1K0.3739.82N/AN/A2659913,09310,129
2011-06-17$65.29$65.1918.9%5.4%13.4%44.4%19.0%3.8%1.3%4.1M-11.5M-125.7K0.7144.93N/AN/A34624713,26410,191
2011-06-20$65.93$65.1918.2%5.2%13.9%40.1%17.8%3.4%3.0%692.1K-8.9M-121.1K3.5036.09N/AN/A3691,2916,7434,890
2011-06-21$66.37$65.1917.5%5.0%13.1%36.2%17.1%3.1%1.8%750.9K-10.4M-131.1K2.9013.63N/AN/A1173417,0325,627
2011-06-22$66.26$65.1916.0%4.6%12.8%27.2%15.9%-0.0%2.3%726.7K-9.8M-131.5K0.0899.84N/AN/A1,8371507,1055,930
2011-06-23$65.72$65.1916.7%4.8%13.1%31.1%16.9%2.7%1.6%913.9K-9.1M-144.2K3.4964.65N/AN/A1324598,8965,967
2011-06-24$65.07$65.1916.8%4.8%13.5%31.8%16.1%6.9%1.9%741.4K-6.0M-138.6K8.4724.20N/AN/A978188,2956,246
2011-06-27$65.39$65.1917.8%5.1%13.5%37.8%17.8%8.2%1.1%591.3K-4.8M-146.9K1.6725.65N/AN/A1131908,3277,056
2011-06-28$66.05$65.1917.4%5.0%13.9%35.2%17.4%2.4%1.4%752.9K-8.0M-150.9K2.3034.07N/AN/A2335368,3987,220
2011-06-29$65.84$65.1917.1%4.9%13.8%33.5%15.8%-0.6%1.0%550.0K-7.1M-152.6K0.3833.47N/AN/A102398,6147,584
2011-06-30$66.09$65.1915.4%4.4%13.5%23.7%15.4%4.0%2.9%620.8K-8.3M-150.4K3.0333.82N/AN/A391188,6507,604