BDX Options History — December 2011

In December 2011, BDX traded between $54.19 and $57.37. ATM implied volatility averaged 19.3%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.1% (HV 20d: 20.5%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2011-12-19: Highest Volume — 1,977 contracts
  • 2011-12-13: Largest IV spike — 27.5% change
  • 2011-12-13: Highest IV Rank — 30.0%
  • 2011-12-15: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.12$54.19$57.37$56.86$57.31
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV19.3%15.8%23.8%20.1%17.0%
Expected Move5.6%4.5%6.8%5.8%4.9%
HV 20d20.5%18.2%23.5%23.1%18.2%
HV 60d27.1%24.9%28.5%28.5%24.9%
IV Rank19.1%10.3%30.0%21.1%13.2%
IV Percentile44.5%10.7%66.7%58.7%26.2%
Term Structure2.6%-0.1%3.3%1.5%3.1%
VWIV20.2%15.9%24.6%20.6%18.5%
Skew 25d5.1%4.1%6.6%5.1%6.3%
Skew 10d10.9%6.5%15.0%13.6%10.2%
Call IV 25d17.2%12.3%20.8%18.3%13.0%
Put IV 25d22.3%18.1%25.9%23.5%19.3%
Bid-Ask Spread %20.0512.1727.0916.9714.25
Gamma HHI0.380.210.600.350.31
Net GEX-342.4K-2.1M978.2K-879.2K836.5K
Net DEX9.3M-5.9M23.1M13.5M-5.6M
Net VEX-103.3K-111.8K-88.9K-108.1K-111.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.1611.481.342.43
Total Volume775.5711341,977333206
Total OI19,122.47613,26823,77921,31515,383

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$56.86$57.5220.1%5.8%23.1%21.1%20.6%5.1%1.5%-879.2K13.5M-108.1K1.3416.97N/AN/A14219110,08711,228
2011-12-02$56.48$57.5220.5%5.9%23.3%22.0%20.9%5.1%1.6%-932.6K14.8M-107.6K0.9218.40N/AN/A13112010,09511,195
2011-12-05$57.07$57.5220.6%6.0%23.5%22.3%21.7%4.7%2.6%-789.5K12.1M-98.5K0.4723.52N/AN/A72834510,09311,185
2011-12-06$56.66$57.5220.3%6.1%22.1%21.5%23.1%4.5%2.5%-916.8K14.7M-103.3K0.6622.41N/AN/A815310,34611,392
2011-12-07$56.85$57.5220.9%6.2%22.1%23.1%24.6%4.5%2.2%-853.6K13.6M-103.9K1.5120.10N/AN/A63595710,38511,429
2011-12-08$55.63$57.5222.3%6.2%21.0%26.3%23.0%5.0%2.5%-966.7K18.5M-103.5K1.8516.59N/AN/A46485610,65411,286
2011-12-09$55.93$57.5218.6%5.8%20.6%17.4%22.1%4.3%2.9%-702.0K16.6M-102.6K0.3421.47N/AN/A2458311,09111,172
2011-12-12$55.62$57.5218.6%5.8%20.4%17.5%21.5%4.8%2.8%-814.6K18.1M-96.1K11.4827.09N/AN/A1121,28711,14511,049
2011-12-13$55.07$57.5223.8%6.4%20.6%30.0%21.7%5.4%2.5%-1.2M22.6M-96.3K0.7923.56N/AN/A23919011,24412,107
2011-12-14$54.86$57.5222.8%6.4%19.3%27.4%22.1%4.5%2.8%-1.3M23.0M-96.5K8.4122.87N/AN/A2218711,28112,164
2011-12-15$54.57$57.5223.8%6.8%18.6%29.9%21.4%5.2%-0.1%-1.1M22.1M-92.0K3.5620.46N/AN/A15856211,30212,212
2011-12-16$54.19$57.5221.4%6.1%18.5%24.1%20.0%4.1%3.1%-2.1M23.1M-92.6K0.5821.27N/AN/A1,21970911,31312,466
2011-12-19$54.20$57.5220.0%5.7%18.4%20.7%19.6%4.5%2.9%-116.3K7.9M-88.9K0.5116.24N/AN/A1,3096686,9266,342
2011-12-20$56.01$57.5217.0%4.9%21.1%13.3%17.5%4.1%3.1%372.0K889.7K-108.7K0.3419.71N/AN/A9133087,7186,903
2011-12-21$56.47$57.5216.0%4.6%21.2%10.8%17.4%5.0%3.3%512.3K-1.2M-111.5K0.2923.34N/AN/A4921427,8016,944
2011-12-22$56.57$57.5216.2%4.6%19.9%11.2%18.1%5.3%2.9%590.1K-2.0M-110.1K1.4819.95N/AN/A1211797,9466,935
2011-12-23$57.09$57.5215.8%4.5%20.0%10.3%15.9%5.7%3.3%765.6K-4.2M-110.8K0.5920.06N/AN/A5393178,0917,018
2011-12-27$57.37$57.5216.3%4.7%19.7%11.5%18.7%6.6%3.0%978.2K-5.9M-109.5K0.3025.33N/AN/A4041228,2916,964
2011-12-28$56.60$57.5217.5%5.0%20.4%14.4%19.9%5.3%2.6%628.9K-2.4M-109.1K3.6612.17N/AN/A421538,1706,967
2011-12-29$57.18$57.5216.9%4.8%18.2%12.9%16.7%6.3%3.0%766.3K-4.6M-108.5K0.1615.27N/AN/A566908,1927,060
2011-12-30$57.31$57.5217.0%4.9%18.2%13.2%18.5%6.3%3.1%836.5K-5.6M-111.8K2.4314.25N/AN/A601468,3417,042