BDX Options History — March 2012

In March 2012, BDX traded between $57.86 and $59.91. ATM implied volatility averaged 12.1%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.3% (HV 20d: 12.5%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.40.

Notable Days

  • 2012-03-02: Highest Volume — 3,538 contracts
  • 2012-03-12: Largest IV spike — 71.0% change
  • 2012-03-20: Highest IV Rank — 14.6%
  • 2012-03-06: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.07$57.86$59.91$58.58$59.56
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV12.1%7.4%14.8%14.8%9.6%
Expected Move3.7%2.2%4.5%4.3%2.8%
HV 20d12.5%9.6%16.7%16.6%12.2%
HV 60d15.4%14.2%16.5%16.5%14.2%
IV Rank7.4%0.0%14.6%5.2%5.0%
IV Percentile1.8%0.0%5.6%4.0%0.8%
Term Structure3.3%1.4%8.7%1.4%2.6%
VWIV13.1%6.2%16.7%14.8%10.8%
Skew 25d3.0%0.5%6.8%4.2%0.5%
Skew 10d3.5%0.1%6.5%4.1%1.6%
Call IV 25d11.0%5.6%14.5%9.8%11.3%
Put IV 25d14.0%11.4%17.9%14.0%11.8%
Bid-Ask Spread %24.1617.0237.4118.6727.37
Gamma HHI0.440.350.650.360.37
Net GEX-726.4K-4.4M954.8K-786.7K185.9K
Net DEX-3.0M-12.6M13.9M-359.8K-7.0M
Net VEX-115.0K-125.5K-103.8K-119.5K-122.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.1418.530.390.67
Total Volume878.6361263,538395797
Total OI21,393.77313,31226,89623,07217,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$58.58$57.5214.8%4.3%16.6%5.2%14.8%4.2%1.4%-786.7K-359.8K-119.5K0.3918.67N/AN/A28411111,30611,766
2012-03-02$58.81$57.5213.7%3.9%16.7%2.4%13.8%4.7%1.6%-695.0K-2.4M-116.6K18.5317.02N/AN/A1813,35711,47111,826
2012-03-05$58.30$57.5213.5%4.5%16.6%1.7%15.9%3.1%2.7%-4.1M7.4M-125.4K1.0027.78N/AN/A23723711,43914,651
2012-03-06$57.86$57.5214.2%4.5%16.2%3.5%16.7%3.4%2.5%-4.1M13.9M-125.5K0.4721.14N/AN/A53325111,44514,358
2012-03-07$57.87$57.5213.1%4.3%9.6%0.7%15.2%3.4%2.4%-4.4M9.8M-121.7K0.3517.41N/AN/A2,05772411,18914,339
2012-03-08$58.75$57.5213.7%4.3%10.8%2.2%15.0%2.9%2.4%-2.7M-778.4K-118.5K1.8721.15N/AN/A13525211,26414,746
2012-03-09$58.92$57.527.4%4.1%10.8%0.0%14.3%2.6%2.8%-1.4M-5.4M-111.0K1.3723.09N/AN/A21129011,29914,886
2012-03-12$58.84$57.5212.6%4.2%10.6%11.6%14.4%2.6%2.8%-2.3M-897.5K-115.3K0.5625.08N/AN/A36820611,28814,988
2012-03-13$59.67$57.5210.1%3.3%11.6%6.1%14.2%2.5%3.0%615.9K-10.4M-108.3K0.2120.16N/AN/A61612611,40615,108
2012-03-14$59.52$57.5212.5%3.4%11.6%11.3%14.6%2.6%3.0%392.2K-10.1M-107.7K0.8021.10N/AN/A34027211,58815,110
2012-03-15$59.89$57.5213.9%4.0%11.5%14.4%14.8%2.8%2.7%943.2K-11.6M-109.3K0.2524.41N/AN/A3368411,63115,132
2012-03-16$59.91$57.5212.6%3.6%11.4%11.7%13.9%2.6%2.9%954.8K-12.6M-109.4K0.8722.39N/AN/A22819811,79715,099
2012-03-19$59.71$57.5211.6%3.3%11.5%9.4%12.1%2.2%3.1%931.7K-6.8M-103.8K0.4019.41N/AN/A4971987,4445,868
2012-03-20$59.13$57.5214.0%4.0%11.9%14.6%12.8%1.9%3.8%776.7K-4.7M-107.5K1.2523.34N/AN/A1491877,7556,011
2012-03-21$58.93$57.5211.9%3.4%11.9%10.0%11.9%1.6%4.1%736.8K-4.2M-105.4K9.8130.27N/AN/A1911,8677,8306,139
2012-03-22$58.97$57.5211.6%3.3%11.8%9.3%11.6%1.1%4.3%-233.0K-1.9M-111.3K6.3131.91N/AN/A1539627,8667,978
2012-03-23$58.60$57.5211.5%3.3%11.3%9.1%11.1%4.1%4.0%-961.6K-66.1K-119.0K2.3124.20N/AN/A841937,9188,801
2012-03-26$59.57$57.527.6%2.2%12.8%0.5%12.6%6.8%8.7%-78.9K-4.1M-115.8K1.0727.84N/AN/A8018567,9168,821
2012-03-27$59.64$57.5212.1%3.5%12.8%10.4%8.9%4.6%4.8%419.9K-6.7M-115.5K0.1437.41N/AN/A432598,4939,076
2012-03-28$59.47$57.5212.7%3.6%11.9%11.9%11.9%1.1%3.0%122.0K-4.0M-120.9K2.4427.12N/AN/A421028,8049,054
2012-03-29$59.13$57.5212.6%3.6%12.1%11.6%6.2%4.9%3.7%-291.3K-2.8M-120.5K1.6723.35N/AN/A47798,8309,036
2012-03-30$59.56$57.529.6%2.8%12.2%5.0%10.8%0.5%2.6%185.9K-7.0M-122.1K0.6727.37N/AN/A4763218,8389,053