BDX Options History — January 2012

In January 2012, BDX traded between $55.75 and $60.88. ATM implied volatility averaged 17.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.7% (HV 20d: 16.2%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2012-01-19: Highest Volume — 2,208 contracts
  • 2012-01-12: Largest IV spike — 24.7% change
  • 2012-01-30: Highest IV Rank — 23.0%
  • 2012-01-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.45$55.75$60.88$57.10$60.14
Max Pain$58.10$57.52$61.36$57.52$61.36
ATM IV17.8%14.5%21.9%17.5%21.7%
Expected Move5.3%4.7%6.3%5.0%6.2%
HV 20d16.2%13.4%18.7%18.0%13.9%
HV 60d23.4%18.5%25.1%24.9%18.5%
IV Rank13.8%7.1%23.0%14.4%22.4%
IV Percentile35.0%3.2%60.3%33.7%59.9%
Term Structure0.0%-3.0%3.4%2.6%-3.0%
VWIV19.7%17.9%22.5%18.0%22.5%
Skew 25d4.5%2.7%6.7%5.6%4.1%
Skew 10d8.7%2.8%12.9%9.3%4.9%
Call IV 25d16.8%14.3%19.0%14.3%19.0%
Put IV 25d21.3%19.7%23.9%20.0%23.1%
Bid-Ask Spread %22.7713.9636.1436.1421.00
Gamma HHI0.370.240.470.310.47
Net GEX1.0M403.1K1.9M854.7K1.5M
Net DEX-10.3M-21.9M2.1M-4.7M-17.6M
Net VEX-115.1K-141.8K-99.1K-107.1K-141.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.093.312.190.64
Total Volume849.51732,208595173
Total OI18,447.615,41322,57515,41322,575

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$57.10$57.5217.5%5.0%18.0%14.4%18.0%5.6%2.6%854.7K-4.7M-107.1K2.1936.14N/AN/A1874088,3617,052
2012-01-04$56.13$57.5217.2%4.9%18.7%13.7%18.8%2.7%2.9%560.5K355.5K-104.8K3.3019.75N/AN/A862848,4547,378
2012-01-05$55.75$57.5216.3%4.7%18.6%11.6%19.0%3.1%3.4%403.1K2.1M-101.3K1.5526.98N/AN/A1271988,4987,591
2012-01-06$56.01$57.5215.4%5.5%18.7%9.3%20.1%4.5%0.5%501.5K1.4M-102.3K0.7329.08N/AN/A3352448,5397,668
2012-01-09$56.26$57.5215.1%5.5%17.0%8.6%21.1%4.4%0.4%710.5K239.9K-100.1K1.7131.72N/AN/A1542638,5907,705
2012-01-10$56.93$57.5214.5%5.4%17.4%7.1%21.0%4.5%0.6%1.1M-3.3M-99.1K1.5422.54N/AN/A2213428,6277,649
2012-01-11$57.32$57.5214.7%5.4%17.4%7.7%19.6%4.0%0.2%1.4M-5.6M-99.3K0.6223.66N/AN/A4522798,7377,685
2012-01-12$57.29$57.5218.4%5.3%16.9%16.6%18.7%4.8%0.7%1.5M-5.8M-101.1K1.2022.26N/AN/A1251508,9697,828
2012-01-13$57.46$57.5218.6%5.3%16.7%14.7%19.7%4.8%0.6%1.7M-6.1M-101.1K0.6122.83N/AN/A3322029,0217,916
2012-01-17$57.72$57.5219.4%5.6%16.5%16.6%19.3%4.7%-0.2%1.9M-8.9M-100.0K3.3120.54N/AN/A5061,6739,2368,026
2012-01-18$58.66$57.5219.1%5.5%16.7%15.9%19.2%4.6%0.3%616.2K-12.6M-110.1K0.6116.15N/AN/A8805419,4859,509
2012-01-19$59.76$57.5217.5%5.0%17.4%11.9%17.9%4.4%-0.6%637.6K-18.8M-115.2K0.2218.29N/AN/A1,8113979,8579,820
2012-01-20$59.94$57.5217.9%5.1%13.9%13.0%18.4%4.8%-0.4%1.0M-21.9M-124.0K1.6531.74N/AN/A45875411,0039,914
2012-01-23$59.51$57.5217.8%5.1%14.3%12.7%19.2%3.1%-0.7%648.6K-10.7M-122.6K0.9915.77N/AN/A7077009,8739,398
2012-01-24$60.05$57.5217.5%5.0%14.5%11.8%20.4%4.2%-0.1%802.2K-14.3M-131.5K0.9315.09N/AN/A23822110,3069,825
2012-01-25$60.78$57.5218.8%5.4%14.7%15.2%19.2%6.5%-1.4%1.0M-20.0M-130.2K0.2125.10N/AN/A78716810,4839,849
2012-01-26$60.88$57.5218.8%5.4%14.7%15.2%18.9%2.9%-1.0%1.2M-21.2M-135.3K1.4126.54N/AN/A32345710,9899,901
2012-01-27$60.66$61.3618.9%5.4%13.6%15.4%20.2%6.4%-1.2%1.1M-19.2M-136.2K0.6013.96N/AN/A1126711,00510,268
2012-01-30$60.58$61.3621.9%6.3%13.4%23.0%22.0%6.7%-2.9%973.3K-18.3M-139.3K0.0916.32N/AN/A1,49213611,06110,301
2012-01-31$60.14$61.3621.7%6.2%13.9%22.4%22.5%4.1%-3.0%1.5M-17.6M-141.8K0.6421.00N/AN/A1066712,22610,349