BDX Options History — September 2011

In September 2011, BDX traded between $56.18 and $61.70. ATM implied volatility averaged 30.4%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.3% (HV 20d: 27.1%). Max pain ranged from $61.36 to $65.19. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.69.

Notable Days

  • 2011-09-09: Highest Volume — 2,707 contracts
  • 2011-09-09: Largest IV spike — 13.6% change
  • 2011-09-12: Highest IV Rank — 60.5%
  • 2011-09-09: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.43$56.18$61.70$61.70$56.24
Max Pain$61.72$61.36$65.19$65.19$61.36
ATM IV30.4%27.6%36.3%28.3%31.4%
Expected Move8.5%7.9%9.6%8.1%9.0%
HV 20d27.1%22.5%33.1%32.6%28.0%
HV 60d26.6%25.2%27.8%25.2%27.8%
IV Rank46.1%39.4%60.5%41.1%48.6%
IV Percentile92.1%84.1%98.8%91.7%94.0%
Term Structure-0.1%-2.5%2.8%-1.4%2.0%
VWIV29.8%24.2%35.9%29.5%33.4%
Skew 25d7.4%2.6%10.2%2.6%8.3%
Skew 10d15.3%4.9%21.3%4.9%15.1%
Call IV 25d26.7%23.8%29.7%28.5%29.7%
Put IV 25d34.1%31.1%37.9%31.1%37.9%
Bid-Ask Spread %33.2018.5364.8264.8226.93
Gamma HHI0.270.170.410.340.23
Net GEX-916.2K-2.0M-91.9K-1.2M-385.0K
Net DEX25.8M11.2M44.6M22.6M16.4M
Net VEX-109.0K-144.5K-92.3K-144.5K-99.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.1410.922.290.63
Total Volume680.4291032,707103815
Total OI20,339.09512,56827,48424,40815,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$61.70$65.1928.3%8.1%32.6%41.1%29.5%2.6%-1.4%-1.2M22.6M-144.5K2.2964.82N/AN/A327111,38713,021
2011-09-02$60.20$65.1928.8%8.2%33.1%42.2%30.0%3.2%-1.1%-1.4M32.8M-130.2K0.5538.33N/AN/A36320011,39613,052
2011-09-06$60.15$61.3632.0%8.1%30.3%50.0%31.2%7.3%-0.2%-1.4M33.8M-122.8K0.7345.22N/AN/A56741211,62113,130
2011-09-07$61.39$61.3630.4%8.0%29.1%46.3%28.7%7.5%-1.5%-1.5M25.0M-131.6K3.7729.94N/AN/A15157011,79013,189
2011-09-08$60.23$61.3630.6%8.0%27.7%46.7%31.3%7.9%-1.0%-1.6M30.7M-128.1K1.1036.89N/AN/A626911,86313,456
2011-09-09$58.31$61.3634.8%9.6%28.1%56.9%31.1%7.3%-2.5%-1.4M41.5M-111.0K2.6443.07N/AN/A7441,96311,85513,496
2011-09-12$58.58$61.3636.3%9.1%27.1%60.5%30.2%7.0%-0.3%-2.0M44.2M-111.6K1.2935.48N/AN/A30339212,27414,929
2011-09-13$58.63$61.3631.3%8.9%26.7%48.5%30.9%7.7%-1.0%-1.9M44.6M-108.6K0.9029.64N/AN/A15614112,41115,073
2011-09-14$59.26$61.3633.6%8.8%27.0%54.0%25.7%7.8%-0.8%-1.9M40.2M-110.6K10.9231.47N/AN/A941,02512,41715,012
2011-09-15$59.44$61.3630.1%8.6%27.0%45.4%25.5%8.2%-0.9%-2.0M40.1M-109.2K0.4549.35N/AN/A1275712,42414,943
2011-09-16$59.25$61.3628.7%8.2%24.8%42.0%26.0%6.5%0.3%-91.9K40.1M-102.0K8.9622.56N/AN/A6155012,44514,957
2011-09-19$57.95$61.3628.7%8.2%25.9%42.0%26.9%7.7%0.2%-202.7K11.5M-96.8K1.7327.80N/AN/A2334036,3016,267
2011-09-20$57.86$61.3627.9%8.0%25.9%40.0%24.2%6.7%2.2%-236.7K12.2M-99.3K1.3028.08N/AN/A5577246,4646,571
2011-09-21$56.53$61.3628.0%8.0%24.6%40.2%28.8%7.7%2.8%-315.3K15.5M-95.1K0.8722.41N/AN/A2442116,8746,911
2011-09-22$56.30$61.3630.6%8.8%24.3%46.7%34.7%8.1%-2.1%-309.3K16.2M-97.0K1.7231.41N/AN/A1652847,0517,035
2011-09-23$56.56$61.3629.8%8.6%23.8%44.8%30.3%8.3%-0.5%-344.1K16.3M-98.3K0.1425.53N/AN/A193286,9907,224
2011-09-26$56.83$61.3629.5%8.5%22.5%44.0%30.2%8.1%0.2%-326.1K15.6M-98.7K5.9418.53N/AN/A221327,0917,273
2011-09-27$58.41$61.3629.5%8.5%24.3%43.9%28.3%8.7%0.4%-209.1K11.2M-104.7K0.2732.35N/AN/A6771847,1307,290
2011-09-28$56.18$61.3627.6%7.9%27.4%39.4%33.1%8.8%1.9%-283.1K16.0M-92.3K2.7231.77N/AN/A842267,3607,180
2011-09-29$57.02$61.3630.2%8.7%28.0%45.6%35.9%10.2%0.2%-240.5K14.8M-97.6K7.5025.69N/AN/A1178807,4067,314
2011-09-30$56.24$61.3631.4%9.0%28.0%48.6%33.4%8.3%2.0%-385.0K16.4M-99.9K0.6326.93N/AN/A5003157,3787,870