BDX Options History — April 2012

In April 2012, BDX traded between $57.36 and $60.17. ATM implied volatility averaged 15.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.2% (HV 20d: 12.8%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.97.

Notable Days

  • 2012-04-03: Highest Volume — 5,508 contracts
  • 2012-04-12: Largest IV spike — 23.4% change
  • 2012-04-30: Highest IV Rank — 27.4%
  • 2012-04-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.83$57.36$60.17$59.76$60.17
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV15.0%11.0%19.7%11.0%19.7%
Expected Move4.4%3.1%5.7%3.1%5.7%
HV 20d12.8%10.4%14.6%11.8%14.2%
HV 60d14.3%13.9%14.5%14.1%14.4%
IV Rank16.9%8.0%27.4%8.0%27.4%
IV Percentile19.8%1.6%55.6%1.6%55.6%
Term Structure0.4%-3.7%3.2%3.2%-3.7%
VWIV15.6%10.9%20.2%11.5%20.2%
Skew 25d1.5%-5.9%3.6%1.1%3.6%
Skew 10d3.9%-4.8%7.8%1.5%4.6%
Call IV 25d14.7%10.7%17.4%11.2%17.4%
Put IV 25d16.2%7.2%21.1%12.3%21.1%
Bid-Ask Spread %23.7618.6531.9731.8518.65
Gamma HHI0.440.370.600.370.46
Net GEX-751.4K-5.4M2.2M397.4K2.2M
Net DEX-491.9K-20.1M22.6M-8.3M-20.1M
Net VEX-153.7K-168.9K-121.7K-121.7K-162.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.087.960.330.53
Total Volume1,326.451215,5086393,890
Total OI26,688.918,37430,72018,37428,335

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$59.76$57.5211.0%3.1%11.8%8.0%11.5%1.1%3.2%397.4K-8.3M-121.7K0.3331.85N/AN/A4801599,0639,311
2012-04-03$59.92$57.5211.0%3.1%11.3%8.0%12.2%1.7%3.1%632.7K-9.2M-123.5K1.0023.45N/AN/A2,7542,7549,2559,328
2012-04-04$59.64$57.5211.2%3.2%11.5%8.5%10.9%-5.9%2.3%585.7K-9.1M-156.2K0.6027.07N/AN/A754611,88711,940
2012-04-05$59.56$57.5211.4%3.3%10.4%8.8%0.0%-3.4%3.1%460.7K-6.5M-152.2K0.7322.79N/AN/A13910011,92811,957
2012-04-09$58.82$57.5212.8%4.6%11.3%12.0%15.6%2.2%0.8%-913.1K248.8K-142.3K0.8821.69N/AN/A1,6471,44611,96212,013
2012-04-10$58.30$57.5213.7%4.8%11.8%14.0%16.6%2.5%0.4%-2.1M7.5M-156.7K1.1719.79N/AN/A36943213,31813,367
2012-04-11$58.33$57.5213.0%4.6%10.4%12.5%15.9%2.8%0.9%-2.4M6.5M-160.0K2.4521.71N/AN/A28469613,40313,464
2012-04-12$58.51$57.5216.0%4.6%10.5%19.2%15.8%2.8%0.7%-2.2M6.4M-154.0K0.3018.69N/AN/A1,44543913,48613,992
2012-04-13$57.36$57.5216.9%4.8%12.1%21.1%17.0%3.4%-0.2%-5.1M22.6M-153.0K3.9622.52N/AN/A2791,10414,21314,267
2012-04-16$57.54$57.5216.5%4.7%12.2%20.2%16.6%2.2%-0.2%-5.4M19.4M-162.9K0.2120.99N/AN/A1,49731414,42214,955
2012-04-17$58.74$57.5216.4%4.7%14.6%20.0%16.4%1.8%0.4%-817.1K-4.0M-168.9K5.0026.60N/AN/A7035215,14115,127
2012-04-18$58.50$57.5216.3%4.7%14.3%19.7%16.3%2.4%0.3%-1.2M300.6K-166.3K3.3623.41N/AN/A299715,14415,237
2012-04-19$58.44$57.5216.5%4.7%14.3%20.3%16.4%2.3%-0.0%-1.2M-152.4K-164.1K4.6821.11N/AN/A8539715,15315,323
2012-04-20$58.62$57.5216.3%4.7%14.3%19.8%16.1%2.1%-0.1%-252.8K-261.8K-156.8K7.9621.57N/AN/A6652915,21615,504
2012-04-23$58.02$57.5215.9%4.6%14.6%19.0%15.5%2.5%0.0%-730.4K6.1M-152.3K1.1531.97N/AN/A37943514,22712,387
2012-04-24$58.34$57.5216.1%4.6%13.4%19.4%16.0%2.1%-0.1%-510.0K3.9M-151.9K1.5231.12N/AN/A8312514,34912,672
2012-04-25$58.97$57.5216.1%4.6%14.0%19.3%13.9%2.4%0.3%408.8K-2.2M-150.3K0.0825.58N/AN/A3713114,34312,717
2012-04-26$59.30$57.5217.1%4.9%14.1%21.5%16.3%1.3%-0.7%1.1M-8.3M-157.2K1.1622.91N/AN/A1,0821,25414,47912,710
2012-04-27$59.80$57.5216.2%4.6%14.3%19.5%16.8%0.9%-2.2%1.9M-15.0M-161.4K2.2921.73N/AN/A24255314,87513,308
2012-04-30$60.17$57.5219.7%5.7%14.2%27.4%20.2%3.6%-3.7%2.2M-20.1M-162.2K0.5318.65N/AN/A2,5351,35515,00113,334