BDX Options History — November 2011

In November 2011, BDX traded between $54.28 and $58.38. ATM implied volatility averaged 25.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.4% (HV 20d: 31.5%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2011-11-02: Highest Volume — 3,958 contracts
  • 2011-11-30: Largest IV drop — 21.8% change
  • 2011-11-01: Highest IV Rank — 47.6%
  • 2011-11-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.16$54.28$58.38$58.38$56.59
Max Pain$57.71$57.52$61.36$57.52$57.52
ATM IV25.1%20.1%31.0%31.0%20.1%
Expected Move7.2%5.8%8.9%8.9%5.8%
HV 20d31.5%27.5%34.3%27.5%28.7%
HV 60d28.9%28.2%30.2%29.3%28.8%
IV Rank33.4%21.0%47.6%47.6%21.0%
IV Percentile74.2%58.7%92.5%92.5%58.7%
Term Structure0.6%-2.6%2.5%-2.6%2.5%
VWIV25.9%22.4%32.0%32.0%22.4%
Skew 25d5.2%3.8%8.0%8.0%6.0%
Skew 10d12.9%7.4%21.7%21.7%15.9%
Call IV 25d23.1%18.3%27.1%27.1%18.3%
Put IV 25d28.3%24.3%35.1%35.1%24.3%
Bid-Ask Spread %22.2216.1134.9434.9420.81
Gamma HHI0.290.200.470.200.38
Net GEX-751.4K-1.2M-315.4K-315.4K-952.9K
Net DEX14.1M1.5M24.6M10.2M15.1M
Net VEX-108.5K-124.6K-77.4K-89.9K-106.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.4610.383.690.72
Total Volume989.7621603,958991499
Total OI20,609.52415,03922,84815,03921,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$58.38$57.5231.0%8.9%27.5%47.6%32.0%8.0%-2.6%-315.4K10.2M-89.9K3.6934.94N/AN/A2117807,2587,781
2011-11-02$55.68$57.5226.5%7.6%32.5%36.6%29.6%3.8%-1.6%-849.9K18.7M-77.4K1.4728.92N/AN/A1,6042,3547,2408,003
2011-11-03$55.51$57.5227.1%7.8%32.5%38.1%26.8%3.8%0.0%-945.8K20.0M-83.1K0.4628.67N/AN/A2,4161,1058,3169,390
2011-11-04$55.74$61.3623.2%6.7%32.5%28.7%26.8%6.0%1.2%-668.7K14.7M-108.7K2.5324.60N/AN/A26566910,36210,034
2011-11-07$57.09$57.5224.5%6.8%32.7%31.9%25.0%4.2%0.4%-581.8K8.9M-114.5K0.7123.89N/AN/A88762710,48610,544
2011-11-08$57.30$57.5222.9%6.7%32.3%28.0%23.0%4.2%1.6%-450.5K6.1M-121.3K1.6818.86N/AN/A39366111,16310,712
2011-11-09$55.69$57.5226.5%7.4%33.7%36.7%26.6%6.4%0.2%-680.0K14.8M-118.1K0.9722.59N/AN/A50148311,08910,764
2011-11-10$56.42$57.5224.4%7.0%34.1%31.5%26.7%6.2%0.8%-626.1K10.8M-124.6K3.3917.77N/AN/A3712311,33910,989
2011-11-11$56.85$57.5223.0%6.6%34.1%28.1%24.1%4.6%2.0%-640.0K8.8M-121.3K3.0623.43N/AN/A18656711,34011,022
2011-11-14$56.99$57.5223.6%6.8%33.3%29.5%26.1%4.8%1.6%-755.4K8.6M-119.8K0.5716.11N/AN/A1599211,35911,355
2011-11-15$58.02$57.5224.0%6.9%33.7%30.6%24.7%4.9%1.4%-576.4K1.5M-121.3K0.7716.80N/AN/A31424311,33611,314
2011-11-16$57.04$57.5224.0%6.9%34.3%30.6%25.5%4.4%1.4%-789.0K7.8M-116.0K1.8121.28N/AN/A15327611,42111,323
2011-11-17$56.55$57.5224.7%7.1%34.3%32.2%26.0%5.3%1.7%-769.7K10.2M-116.1K0.9617.53N/AN/A18417611,45311,393
2011-11-18$56.11$57.5223.9%6.9%31.1%30.4%24.8%5.3%1.9%-500.2K12.6M-111.4K7.2920.60N/AN/A9871411,42911,419
2011-11-21$55.10$57.5227.6%7.9%30.1%39.3%25.3%5.5%-1.2%-644.2K17.8M-104.7K0.8125.05N/AN/A3512849,5169,292
2011-11-22$55.32$57.5226.6%7.6%29.6%36.9%25.6%5.5%-1.7%-654.8K18.0M-104.5K1.7718.60N/AN/A1602849,5299,521
2011-11-23$54.28$57.5226.0%7.5%30.1%35.4%25.9%5.2%1.5%-795.6K22.4M-101.7K10.3831.27N/AN/A1621,6789,6029,785
2011-11-25$54.54$57.5226.3%7.5%28.3%36.1%25.0%4.9%0.6%-1.2M24.6M-106.4K0.6220.50N/AN/A158989,64711,014
2011-11-28$55.22$57.5226.5%7.6%28.3%36.6%26.9%5.9%0.6%-1.2M21.8M-105.5K2.4517.28N/AN/A1563839,79411,092
2011-11-29$55.05$57.5225.7%7.4%27.9%34.6%25.3%4.5%-0.5%-1.2M22.1M-104.6K0.6917.06N/AN/A1741209,91411,229
2011-11-30$56.59$57.5220.1%5.8%28.7%21.0%22.4%6.0%2.5%-952.9K15.1M-106.8K0.7220.81N/AN/A2902099,96511,266