BDX Options History — July 2011

In July 2011, BDX traded between $63.61 and $68.83. ATM implied volatility averaged 19.9%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.0% (HV 20d: 18.8%). Max pain ranged from $65.19 to $65.19. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.89.

Notable Days

  • 2011-07-22: Highest Volume — 2,810 contracts
  • 2011-07-13: Largest IV drop — 38.8% change
  • 2011-07-29: Highest IV Rank — 89.4%
  • 2011-07-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.89$63.61$68.83$68.49$64.13
Max Pain$65.19$65.19$65.19$65.19$65.19
ATM IV19.9%13.5%26.4%19.0%26.4%
Expected Move5.8%4.7%7.6%5.4%7.6%
HV 20d18.8%17.2%21.5%18.3%21.5%
HV 60d14.7%13.9%16.1%14.0%16.1%
IV Rank50.1%12.1%89.4%45.0%89.4%
IV Percentile63.0%2.4%99.6%70.2%99.6%
Term Structure-0.5%-2.8%1.3%-0.0%-2.8%
VWIV21.0%16.1%31.2%17.7%31.2%
Skew 25d4.7%0.0%7.9%0.0%6.3%
Skew 10d8.7%1.6%14.2%1.6%11.8%
Call IV 25d18.3%13.8%25.4%16.4%25.4%
Put IV 25d23.0%16.4%31.6%16.4%31.6%
Bid-Ask Spread %38.2520.5872.3844.4737.89
Gamma HHI0.380.250.530.410.26
Net GEX932.4K-968.0K2.2M1.3M-813.9K
Net DEX-9.8M-26.4M18.4M-20.8M15.6M
Net VEX-161.0K-182.3K-138.1K-138.1K-177.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.890.0022.500.222.86
Total Volume682.451492,8101,215328
Total OI18,903.216,26722,30816,26722,308

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$68.49$65.1919.0%5.4%18.3%45.0%17.7%0.0%-0.0%1.3M-20.8M-138.1K0.2244.47N/AN/A9972188,6647,603
2011-07-05$68.39$65.1914.5%4.7%18.1%18.4%17.5%3.1%0.6%2.0M-23.7M-149.5K0.7972.38N/AN/A7535919,3527,694
2011-07-06$68.48$65.1915.9%4.8%18.0%26.6%17.8%3.5%0.1%2.0M-23.8M-156.8K0.5727.13N/AN/A141819,6137,883
2011-07-07$68.83$65.1914.1%4.8%18.0%16.0%16.3%3.4%0.0%2.2M-26.4M-153.1K1.0026.37N/AN/A88889,6537,851
2011-07-08$68.49$65.1913.5%4.9%18.0%12.1%16.8%2.8%0.2%2.2M-24.4M-150.8K0.0033.91N/AN/A14909,6887,852
2011-07-11$67.01$65.1918.6%5.7%18.8%42.6%16.1%3.7%0.5%1.2M-15.2M-151.4K4.3848.09N/AN/A2129319,6897,852
2011-07-12$67.17$65.1923.5%5.0%18.8%71.7%18.4%3.1%-1.1%1.3M-15.0M-156.5K0.7831.99N/AN/A114909,7378,295
2011-07-13$67.32$65.1914.4%4.9%18.2%17.3%18.9%3.8%-0.3%1.4M-15.9M-155.7K0.6236.19N/AN/A1681049,8228,300
2011-07-14$67.14$65.1918.3%5.3%17.2%41.0%17.7%3.8%0.1%1.2M-13.7M-157.7K22.5042.19N/AN/A621,4089,8408,360
2011-07-15$66.80$65.1921.6%6.2%17.4%60.7%22.8%5.0%-0.7%1.0M-11.8M-158.8K14.2535.41N/AN/A851,2079,8738,835
2011-07-18$66.47$65.1921.1%6.1%17.5%57.6%21.4%4.0%0.4%859.6K-6.2M-157.6K9.6440.04N/AN/A434159,2688,594
2011-07-19$67.41$65.1918.0%5.1%17.9%38.8%18.1%4.1%0.4%1.0M-12.2M-160.3K1.5738.60N/AN/A1652619,2888,950
2011-07-20$67.25$65.1917.7%5.1%17.8%37.4%19.6%6.1%1.3%1.1M-12.1M-160.2K0.8153.43N/AN/A1681379,4129,114
2011-07-21$68.24$65.1918.1%5.2%18.4%39.4%18.1%7.9%0.6%1.4M-18.0M-162.8K0.0444.92N/AN/A18889,5649,217
2011-07-22$66.85$65.1923.8%6.8%19.7%73.8%23.8%6.9%-1.6%983.3K-9.3M-164.7K5.5935.14N/AN/A4262,3849,6429,223
2011-07-25$66.44$65.1924.5%7.0%19.5%78.0%24.3%6.6%-2.3%191.0K-3.2M-182.3K4.3220.58N/AN/A502149,95111,326
2011-07-26$65.16$65.1924.0%6.9%20.8%74.7%26.7%7.8%-1.5%-293.9K5.5M-179.6K6.9335.70N/AN/A1097599,95011,452
2011-07-27$64.04$65.1925.2%7.2%21.2%81.9%28.5%6.0%-2.5%-795.0K15.4M-175.1K0.5430.28N/AN/A22412110,02512,046
2011-07-28$63.61$65.1925.0%7.2%21.3%80.7%28.3%6.4%-1.4%-968.0K18.4M-172.1K0.3230.29N/AN/A1233910,14912,129
2011-07-29$64.13$65.1926.4%7.6%21.5%89.4%31.2%6.3%-2.8%-813.9K15.6M-177.3K2.8637.89N/AN/A8524310,17612,132