BDX Options History — October 2011

In October 2011, BDX traded between $54.33 and $61.08. ATM implied volatility averaged 26.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 2.6% (HV 20d: 28.9%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2011-10-07: Highest Volume — 3,845 contracts
  • 2011-10-25: Largest IV spike — 31.4% change
  • 2011-10-03: Highest IV Rank — 63.9%
  • 2011-10-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.37$54.33$61.08$54.33$60.00
Max Pain$58.25$57.52$61.36$61.36$57.52
ATM IV26.4%21.2%37.7%37.7%23.7%
Expected Move7.7%6.1%10.8%10.8%6.8%
HV 20d28.9%25.8%32.0%29.2%25.8%
HV 60d29.4%28.5%30.5%28.5%29.7%
IV Rank36.3%23.7%63.9%63.9%29.9%
IV Percentile80.3%67.9%99.2%99.2%72.6%
Term Structure-0.2%-4.1%3.0%-0.8%-1.4%
VWIV28.9%21.8%42.6%36.4%29.0%
Skew 25d8.1%5.9%10.7%8.8%9.6%
Skew 10d18.5%10.2%25.1%25.1%20.3%
Call IV 25d23.8%14.5%32.0%32.0%19.0%
Put IV 25d31.9%25.2%40.8%40.8%28.6%
Bid-Ask Spread %27.8717.8740.9430.8224.28
Gamma HHI0.370.200.670.290.20
Net GEX-811.6K-2.0M214.8K-617.9K7.9K
Net DEX15.1M1.3M23.1M21.8M4.3M
Net VEX-88.0K-100.3K-77.5K-85.6K-90.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.2514.522.141.71
Total Volume722.714933,845454409
Total OI17,547.61913,53420,62215,34414,951

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$54.33$61.3637.7%10.8%29.2%63.9%36.4%8.8%-0.8%-617.9K21.8M-85.6K2.1430.82N/AN/A1453097,1848,160
2011-10-04$55.48$61.3633.9%9.7%30.6%54.7%29.8%6.6%-4.1%-632.0K20.2M-89.5K0.8240.94N/AN/A2351927,1338,230
2011-10-05$55.93$61.3628.5%8.2%29.6%41.6%24.5%5.9%1.9%-609.5K19.1M-88.8K1.8632.42N/AN/A1933596,9878,211
2011-10-06$56.15$61.3626.7%7.6%29.2%37.1%30.7%7.9%3.0%-605.8K18.4M-86.8K6.6428.14N/AN/A3152,0947,0778,206
2011-10-07$55.88$57.5226.2%8.5%27.2%35.9%33.0%8.6%-0.1%-1.1M20.7M-93.9K14.5223.81N/AN/A2483,5977,1469,782
2011-10-10$57.10$57.5225.0%8.1%28.3%33.0%28.5%8.3%-0.5%-1.4M18.6M-100.3K0.9728.00N/AN/A1201167,32813,027
2011-10-11$56.31$57.5224.9%8.1%28.7%32.7%31.2%8.6%0.2%-1.7M22.0M-99.1K1.4017.87N/AN/A1772497,39813,070
2011-10-12$56.91$57.5222.4%7.6%28.7%26.7%29.3%7.6%0.1%-1.4M18.9M-95.0K0.9024.25N/AN/A4183777,49213,130
2011-10-13$56.66$57.5226.1%7.5%28.6%35.6%42.6%8.0%0.1%-1.5M20.0M-92.2K0.7118.54N/AN/A1871347,44912,954
2011-10-14$56.98$57.5225.3%7.2%28.8%33.7%28.6%7.4%0.1%-1.4M18.9M-87.5K1.2638.20N/AN/A74947,43612,955
2011-10-17$55.83$57.5226.2%7.5%28.6%35.9%26.4%9.0%0.1%-2.0M23.1M-81.6K3.1727.75N/AN/A1444557,43612,929
2011-10-18$56.37$57.5225.7%7.4%28.9%34.6%30.6%8.0%0.1%-1.7M21.0M-82.3K3.0025.17N/AN/A23707,44613,015
2011-10-19$56.65$57.5226.6%7.6%27.8%37.0%26.4%8.2%-0.0%-1.2M18.1M-78.5K0.5721.35N/AN/A3742147,45812,924
2011-10-20$56.35$57.5226.7%7.7%27.8%37.2%27.2%7.4%-0.6%-586.1K16.0M-77.5K1.8726.63N/AN/A901687,60012,593
2011-10-21$58.62$57.5225.4%7.3%31.1%33.9%25.0%7.1%0.2%-367.6K8.0M-80.5K3.3228.31N/AN/A1354467,62412,737
2011-10-24$60.00$57.5222.2%6.4%32.0%26.1%23.2%6.4%-0.4%-178.8K5.9M-83.2K0.7934.97N/AN/A6735326,3137,221
2011-10-25$58.84$57.5229.1%8.4%31.6%43.1%25.0%9.7%1.7%-244.3K8.0M-89.1K0.7425.74N/AN/A2591936,7527,420
2011-10-26$58.84$57.5227.3%7.8%28.0%38.6%32.6%7.4%-1.1%-269.4K9.1M-88.2K1.3231.78N/AN/A991316,9407,496
2011-10-27$60.34$57.5222.7%6.5%28.8%27.5%24.8%9.5%-1.2%12.3K4.0M-90.1K1.8721.38N/AN/A2214156,9967,561
2011-10-28$61.08$57.5221.2%6.1%28.3%23.7%21.8%10.7%-0.6%214.8K1.3M-88.5K0.2535.01N/AN/A394997,0917,642
2011-10-31$60.00$57.5223.7%6.8%25.8%29.9%29.0%9.6%-1.4%7.9K4.3M-90.0K1.7124.28N/AN/A1512587,2727,679