BDX Options History — May 2012

In May 2012, BDX traded between $56.09 and $59.56. ATM implied volatility averaged 15.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.4% (HV 20d: 13.3%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2012-05-02: Highest Volume — 2,066 contracts
  • 2012-05-31: Largest IV drop — 17.3% change
  • 2012-05-18: Highest IV Rank — 21.8%
  • 2012-05-18: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.02$56.09$59.56$59.43$56.09
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV15.6%12.9%17.2%15.5%12.9%
Expected Move4.5%3.7%4.9%4.4%3.7%
HV 20d13.3%11.0%15.4%14.9%11.7%
HV 60d12.7%12.1%14.5%14.5%12.9%
IV Rank18.3%12.3%21.8%18.0%12.3%
IV Percentile22.6%7.5%38.5%18.7%7.5%
Term Structure1.3%0.2%2.5%1.1%2.5%
VWIV16.0%14.0%18.8%15.4%16.8%
Skew 25d2.7%0.5%5.1%0.5%3.7%
Skew 10d5.6%-0.8%15.6%0.6%6.5%
Call IV 25d14.9%13.0%17.8%15.1%14.3%
Put IV 25d17.6%14.5%19.8%15.7%18.0%
Bid-Ask Spread %19.9514.3024.2015.4023.69
Gamma HHI0.420.280.740.460.28
Net GEX-1.5M-9.2M1.8M1.6M-1.0M
Net DEX5.2M-10.7M37.1M-9.9M13.6M
Net VEX-123.0K-154.1K-96.4K-154.1K-97.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.249.022.521.31
Total Volume612.8181452,0661,326579
Total OI26,957.54520,04631,02729,93221,907

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$59.43$57.5215.5%4.4%14.9%18.0%15.4%0.5%1.1%1.6M-9.9M-154.1K2.5215.40N/AN/A37794916,11013,822
2012-05-02$59.44$57.5215.4%4.4%14.8%17.7%14.4%1.6%1.2%1.3M-8.3M-153.3K0.8122.91N/AN/A1,14192516,03014,114
2012-05-03$59.56$57.5213.3%3.8%14.8%13.2%15.0%0.9%0.2%1.8M-10.7M-148.4K0.5423.51N/AN/A945115,52214,006
2012-05-04$58.82$57.5215.0%4.5%15.4%16.8%14.0%2.4%1.4%-608.7K-454.5K-141.0K0.4814.92N/AN/A88342115,52313,969
2012-05-07$58.84$57.5215.6%4.7%14.8%18.3%16.2%2.2%1.2%-686.3K-844.5K-144.2K2.6219.74N/AN/A5113416,03214,269
2012-05-08$58.85$57.5214.9%4.6%14.4%16.7%16.0%2.8%1.1%-974.2K-806.0K-139.2K9.0214.30N/AN/A7568216,04414,262
2012-05-09$58.31$57.5215.4%4.6%14.8%17.8%16.1%2.3%1.6%-2.6M6.7M-138.0K1.4221.86N/AN/A14921116,11214,449
2012-05-10$58.77$57.5216.1%4.6%15.0%19.4%15.9%3.1%1.5%-1.7M130.7K-135.2K1.0024.20N/AN/A14114116,22114,511
2012-05-11$58.87$57.5216.0%4.6%13.1%19.2%15.1%2.5%1.3%-1.4M-1.3M-132.0K0.7322.51N/AN/A1128316,27114,514
2012-05-14$58.66$57.5216.6%4.8%13.2%20.5%16.4%2.8%1.2%-2.5M469.2K-125.1K4.0918.23N/AN/A6024516,31214,502
2012-05-15$58.28$57.5216.4%4.7%11.1%20.1%16.5%2.3%1.6%-4.2M4.2M-123.5K0.6621.64N/AN/A1187916,30714,409
2012-05-16$58.26$57.5217.0%4.9%11.0%21.3%16.4%2.8%1.4%-4.4M2.4M-122.1K1.7318.67N/AN/A23741016,36414,325
2012-05-17$57.36$57.5217.0%4.9%12.3%21.2%18.8%2.1%1.6%-9.2M21.4M-121.4K1.8220.61N/AN/A14826816,37714,486
2012-05-18$56.90$57.5217.2%4.9%12.5%21.8%17.8%2.0%1.9%-4.5M37.1M-106.3K2.8114.87N/AN/A23265416,41314,614
2012-05-21$57.82$57.5216.3%4.7%13.5%19.9%16.4%2.4%0.7%-213.9K4.9M-109.5K0.6718.47N/AN/A58639210,5429,504
2012-05-22$57.36$57.5216.0%4.6%13.6%19.1%16.4%1.7%0.9%-511.8K7.7M-105.6K1.2322.80N/AN/A23529010,8269,602
2012-05-23$57.07$57.5216.0%4.6%12.9%19.1%17.5%5.1%1.1%-591.9K8.3M-104.3K2.1617.94N/AN/A22348110,8799,573
2012-05-24$57.31$57.5215.5%4.5%12.8%18.1%15.0%4.9%1.3%-652.5K8.3M-105.5K0.9917.07N/AN/A18117810,9239,890
2012-05-25$57.08$57.5215.0%4.3%12.3%17.0%15.0%4.4%1.3%-775.9K8.6M-104.1K0.5823.33N/AN/A1709911,07310,016
2012-05-29$56.98$57.5215.3%4.4%11.8%17.6%15.8%4.0%1.0%-921.8K9.6M-99.2K0.6522.93N/AN/A17411311,12510,017
2012-05-30$56.33$57.5215.6%4.5%11.8%18.3%16.1%3.1%1.0%-1.1M13.4M-96.4K0.2419.25N/AN/A57413611,20910,090
2012-05-31$56.09$57.5212.9%3.7%11.7%12.3%16.8%3.7%2.5%-1.0M13.6M-97.9K1.3123.69N/AN/A25132811,74610,161