BDX Options History — February 2012

In February 2012, BDX traded between $58.46 and $61.77. ATM implied volatility averaged 18.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.1% (HV 20d: 17.0%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.04.

Notable Days

  • 2012-02-07: Highest Volume — 3,742 contracts
  • 2012-02-07: Largest IV drop — 27.6% change
  • 2012-02-06: Highest IV Rank — 29.3%
  • 2012-02-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.48$58.46$61.77$60.98$58.46
Max Pain$57.91$57.52$61.36$61.36$57.52
ATM IV18.0%15.2%24.4%21.3%15.2%
Expected Move5.1%4.4%6.1%6.1%4.4%
HV 20d17.0%11.6%19.5%14.3%17.4%
HV 60d18.0%16.3%18.9%18.7%16.5%
IV Rank13.2%6.1%29.3%21.4%6.1%
IV Percentile31.5%5.6%69.4%57.9%5.6%
Term Structure0.7%-3.0%3.3%-3.0%1.1%
VWIV17.0%10.9%21.2%21.2%15.8%
Skew 25d3.5%0.2%7.7%6.9%3.1%
Skew 10d5.4%-1.5%11.1%9.7%2.6%
Call IV 25d14.7%8.2%17.5%15.6%10.7%
Put IV 25d18.2%13.8%23.7%22.5%13.8%
Bid-Ask Spread %18.1310.2025.9121.8818.97
Gamma HHI0.370.280.520.510.36
Net GEX276.8K-937.3K1.9M1.8M-737.2K
Net DEX-7.8M-31.2M1.9M-24.3M454.0K
Net VEX-126.6K-140.2K-117.5K-140.2K-118.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.1119.241.530.38
Total Volume987.851263,742809936
Total OI24,361.4521,46028,27822,68022,746

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$60.98$61.3621.3%6.1%14.3%21.4%21.2%6.9%-3.0%1.8M-24.3M-140.2K1.5321.88N/AN/A31949012,31310,367
2012-02-02$60.88$61.3620.9%6.0%12.3%20.4%20.9%7.7%-2.5%1.7M-23.6M-140.2K0.2419.85N/AN/A1022412,33610,559
2012-02-03$61.29$57.5221.2%5.3%11.6%21.3%19.1%4.0%1.1%1.9M-27.6M-134.4K1.1623.52N/AN/A28533212,37510,549
2012-02-06$61.77$57.5224.4%5.5%11.6%29.3%18.9%3.9%0.1%1.9M-31.2M-129.3K1.7221.02N/AN/A6601,13212,47810,745
2012-02-07$59.45$57.5217.7%5.0%19.2%12.3%18.8%4.1%1.7%1.2M-8.7M-127.3K0.9413.66N/AN/A1,9271,81512,63211,033
2012-02-08$58.91$57.5218.7%5.5%19.4%15.0%17.8%3.4%0.6%745.1K-4.9M-123.4K0.7714.14N/AN/A1,6891,30013,67811,141
2012-02-09$58.94$57.5218.7%5.4%19.3%14.9%19.1%3.1%0.9%430.1K-4.9M-122.1K4.0710.20N/AN/A10844013,43611,668
2012-02-10$58.61$57.5218.6%5.3%19.4%14.8%18.5%3.1%1.0%-78.0K-901.8K-121.9K19.2419.66N/AN/A1583,03513,44611,919
2012-02-13$58.95$57.5218.4%5.3%19.5%14.2%16.9%3.0%0.9%-739.1K805.4K-132.6K0.4414.73N/AN/A34515313,49214,708
2012-02-14$58.83$57.5218.4%5.3%19.5%14.1%16.9%3.7%1.4%-937.3K1.9M-134.8K1.1715.55N/AN/A10912713,37314,716
2012-02-15$59.26$57.5218.1%5.2%18.8%13.3%16.5%4.0%2.4%-394.7K-2.3M-131.1K0.9621.73N/AN/A19018113,33914,716
2012-02-16$59.53$57.5215.8%4.5%17.6%7.5%17.5%2.8%3.3%-21.6K-5.2M-128.6K3.1919.15N/AN/A8426613,44514,753
2012-02-17$59.36$57.5217.5%5.0%17.6%12.0%15.4%1.8%1.7%-52.3K-4.2M-125.9K0.1112.51N/AN/A4555213,43014,848
2012-02-21$59.14$57.5216.7%4.8%17.5%9.8%15.5%2.7%0.9%-106.3K-4.0M-119.4K0.6015.88N/AN/A47428210,31611,144
2012-02-22$58.93$57.5216.3%4.7%17.2%8.8%16.0%1.8%1.8%-228.8K-2.5M-124.3K1.3419.82N/AN/A13517910,72611,323
2012-02-23$58.64$57.5215.2%4.4%16.5%6.2%15.1%0.2%2.1%-498.4K-167.0K-119.7K0.1915.15N/AN/A87416410,80811,428
2012-02-24$59.27$57.5215.3%4.4%17.0%6.2%15.0%3.0%0.2%-63.2K-5.2M-120.0K0.8125.91N/AN/A14211410,89811,433
2012-02-27$59.15$57.5217.0%4.9%17.0%10.5%14.9%0.6%-1.8%-250.2K-3.2M-121.0K0.6320.72N/AN/A16710410,98111,456
2012-02-28$59.23$57.5215.5%4.5%17.1%6.9%10.9%7.0%1.1%-36.3K-6.0M-117.5K1.3218.53N/AN/A17623211,06011,415
2012-02-29$58.46$57.5215.2%4.4%17.4%6.1%15.8%3.1%1.1%-737.2K454.0K-118.5K0.3818.97N/AN/A67725911,15711,589