BDX Options History — August 2011

In August 2011, BDX traded between $58.61 and $63.12. ATM implied volatility averaged 32.6%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.5% (HV 20d: 30.1%). Max pain ranged from $65.19 to $65.19. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 3.11.

Notable Days

2011-08-11: Highest Volume — 2,404 contracts
2011-08-08: Largest IV spike — 64.8% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.76	$58.61	$63.12	$63.12	$62.42
Max Pain	$65.19	$65.19	$65.19	$65.19	$65.19
ATM IV	32.6%	24.0%	52.5%	30.0%	28.8%
Expected Move	9.0%	6.9%	10.9%	8.6%	8.3%
HV 20d	30.1%	17.0%	35.9%	17.0%	34.5%
HV 60d	22.2%	16.3%	25.2%	16.3%	25.2%
IV Rank	61.8%	41.3%	100.0%	100.0%	42.3%
IV Percentile	97.6%	92.9%	100.0%	100.0%	92.9%
Term Structure	-3.0%	-8.3%	3.9%	2.8%	-1.9%
VWIV	31.6%	28.0%	38.4%	28.6%	28.2%
Skew 25d	5.2%	2.6%	8.5%	8.5%	3.4%
Skew 10d	7.9%	-3.4%	13.0%	8.5%	5.3%
Call IV 25d	29.7%	25.2%	35.5%	26.7%	28.2%
Put IV 25d	34.9%	30.5%	42.1%	35.1%	31.6%
Bid-Ask Spread %	46.51	28.17	82.00	42.54	49.33
Gamma HHI	0.26	0.21	0.33	0.24	0.32
Net GEX	-1.1M	-1.5M	-827.1K	-994.9K	-1.0M
Net DEX	32.8M	18.1M	47.1M	20.9M	18.1M
Net VEX	-149.7K	-170.4K	-128.8K	-167.6K	-146.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.11	0.23	42.83	2.08	0.33
Total Volume	899.826	243	2,404	2,299	991
Total OI	24,494.304	21,622	26,680	22,535	24,120

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$63.12	$65.19	30.0%	8.6%	17.0%	100.0%	28.6%	8.5%	2.8%	-994.9K	20.9M	-167.6K	2.08	42.54	N/A	N/A	747	1,552	10,217	12,318
2011-08-02	$61.34	$65.19	28.5%	8.2%	19.0%	91.8%	28.3%	4.2%	-2.2%	-1.4M	33.8M	-156.4K	1.32	82.00	N/A	N/A	457	603	10,483	13,345
2011-08-03	$61.50	$65.19	26.7%	7.7%	19.1%	82.0%	31.1%	5.3%	-0.1%	-1.5M	36.6M	-156.5K	2.62	42.06	N/A	N/A	200	523	10,788	13,705
2011-08-04	$59.53	$65.19	24.0%	6.9%	21.0%	67.5%	33.3%	5.9%	3.9%	-1.3M	41.7M	-148.3K	2.10	45.27	N/A	N/A	201	421	10,783	13,748
2011-08-05	$60.77	$65.19	31.9%	9.3%	23.2%	100.0%	32.2%	5.4%	-6.0%	-1.3M	36.9M	-164.4K	1.37	37.11	N/A	N/A	509	698	10,699	13,996
2011-08-08	$58.61	$65.19	52.5%	10.9%	25.0%	100.0%	37.5%	6.6%	-5.4%	-1.1M	42.9M	-153.6K	1.19	47.15	N/A	N/A	677	805	10,912	14,113
2011-08-09	$60.45	$65.19	33.2%	9.6%	28.2%	52.9%	32.8%	2.6%	-3.3%	-1.3M	41.8M	-154.5K	0.69	56.18	N/A	N/A	636	441	11,121	14,221
2011-08-10	$58.61	$65.19	48.2%	9.8%	29.4%	89.5%	32.8%	7.6%	-3.2%	-1.1M	44.4M	-148.3K	3.57	31.18	N/A	N/A	225	805	11,325	14,295
2011-08-11	$60.34	$65.19	35.7%	10.2%	32.1%	59.0%	34.7%	5.6%	-7.2%	-1.4M	39.4M	-166.3K	1.07	31.11	N/A	N/A	1,161	1,243	11,311	14,885
2011-08-12	$61.57	$65.19	32.1%	9.2%	33.3%	50.2%	32.6%	4.9%	-4.5%	-1.2M	32.0M	-170.4K	0.49	42.71	N/A	N/A	170	84	11,944	14,319
2011-08-15	$62.20	$65.19	29.5%	8.4%	33.7%	43.9%	28.0%	5.4%	-3.5%	-1.1M	30.3M	-160.2K	0.59	38.04	N/A	N/A	450	263	11,948	14,319
2011-08-16	$61.57	$65.19	30.2%	8.7%	33.1%	45.6%	30.8%	3.8%	-4.5%	-1.1M	32.4M	-156.8K	0.23	45.33	N/A	N/A	305	70	12,188	14,330
2011-08-17	$61.21	$65.19	28.4%	8.1%	33.1%	41.3%	28.7%	4.3%	-3.0%	-827.1K	35.6M	-149.2K	3.29	28.17	N/A	N/A	126	416	12,293	14,352
2011-08-18	$59.42	$65.19	35.1%	10.1%	33.4%	57.7%	38.4%	7.4%	-6.0%	-1.1M	45.0M	-133.2K	1.38	44.54	N/A	N/A	209	287	12,195	14,365
2011-08-19	$59.00	$65.19	36.3%	10.4%	33.1%	60.6%	32.8%	7.2%	-8.3%	-1.1M	47.1M	-128.8K	42.83	41.13	N/A	N/A	15	670	12,182	14,498
2011-08-22	$58.94	$65.19	34.5%	9.9%	33.1%	56.2%	32.7%	5.5%	-2.2%	-877.6K	31.0M	-130.1K	0.71	54.93	N/A	N/A	365	261	10,096	11,526
2011-08-23	$60.65	$65.19	29.4%	8.4%	34.9%	43.9%	29.7%	4.4%	-4.2%	-1.0M	26.7M	-137.2K	1.13	42.25	N/A	N/A	633	715	10,097	11,683
2011-08-24	$61.08	$65.19	30.4%	8.7%	34.7%	46.3%	30.5%	4.2%	-1.8%	-969.6K	24.1M	-146.0K	0.52	47.37	N/A	N/A	159	84	10,433	12,032
2011-08-25	$59.95	$65.19	31.8%	9.1%	35.1%	49.5%	32.3%	5.7%	-2.6%	-997.5K	29.1M	-136.7K	1.05	44.46	N/A	N/A	301	315	10,424	12,079
2011-08-26	$61.15	$65.19	31.0%	8.9%	35.9%	47.5%	29.8%	3.3%	-0.3%	-1.1M	25.4M	-140.7K	0.85	70.00	N/A	N/A	343	291	10,625	12,211
2011-08-29	$62.00	$65.19	31.6%	9.1%	35.9%	49.2%	31.1%	3.7%	-3.6%	-888.9K	18.8M	-148.8K	0.96	47.92	N/A	N/A	307	295	10,853	12,417
2011-08-30	$61.92	$65.19	29.3%	8.4%	34.4%	43.5%	30.5%	3.9%	-2.6%	-1.1M	20.7M	-142.3K	1.09	58.93	N/A	N/A	318	349	10,994	12,581
2011-08-31	$62.42	$65.19	28.8%	8.3%	34.5%	42.3%	28.2%	3.4%	-1.9%	-1.0M	18.1M	-146.9K	0.33	49.33	N/A	N/A	747	244	11,237	12,883