BDX Options History — June 2012

In June 2012, BDX traded between $55.36 and $57.33. ATM implied volatility averaged 14.5%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.5% (HV 20d: 12.0%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2012-06-07: Highest Volume — 2,151 contracts
  • 2012-06-05: Largest IV drop — 30.6% change
  • 2012-06-01: Highest IV Rank — 29.1%
  • 2012-06-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.20$55.36$57.33$55.38$57.33
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV14.5%11.9%20.5%20.5%12.8%
Expected Move4.4%3.4%5.9%5.9%3.7%
HV 20d12.0%11.1%13.8%12.1%13.8%
HV 60d12.8%12.4%13.8%13.1%13.8%
IV Rank15.9%10.0%29.1%29.1%12.1%
IV Percentile17.9%4.4%57.5%57.5%9.1%
Term Structure1.8%-0.7%2.7%-0.7%2.3%
VWIV15.8%13.0%19.3%17.3%13.0%
Skew 25d3.7%-0.5%5.6%4.6%3.5%
Skew 10d8.1%2.9%14.1%2.9%5.6%
Call IV 25d14.2%10.4%16.8%15.8%11.6%
Put IV 25d17.9%14.1%22.2%20.4%15.1%
Bid-Ask Spread %29.5716.9685.3225.1916.96
Gamma HHI0.290.240.370.320.36
Net GEX-131.3K-1.1M1.4M-1.0M1.4M
Net DEX8.6M-5.0M18.6M16.6M-5.0M
Net VEX-117.6K-131.2K-96.5K-103.5K-129.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.105.913.450.71
Total Volume853.5712022,151765804
Total OI20,26614,37424,91722,12017,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$55.38$57.5220.5%5.9%12.1%29.1%17.3%4.6%-0.7%-1.0M16.6M-103.5K3.4525.19N/AN/A17259311,75710,363
2012-06-04$55.36$57.5220.3%5.8%11.7%28.6%19.3%5.4%1.4%-1.1M18.6M-96.5K0.9325.62N/AN/A62157911,84210,575
2012-06-05$55.68$57.5214.1%4.7%12.0%14.8%18.4%5.2%2.2%-1.0M16.2M-103.7K0.6426.78N/AN/A40125712,19510,835
2012-06-06$55.78$57.5214.8%4.6%12.1%16.5%16.9%4.4%2.1%-1.0M16.1M-104.1K5.9119.62N/AN/A2791,65012,10410,851
2012-06-07$55.91$57.5214.0%4.5%12.0%14.7%16.2%4.9%2.5%-969.2K16.5M-109.4K0.1019.38N/AN/A1,94920212,19011,415
2012-06-08$56.19$57.5214.5%4.4%11.7%15.8%16.0%5.1%2.7%-854.9K13.2M-117.1K1.2822.41N/AN/A8911312,49511,377
2012-06-11$55.63$57.5211.9%4.6%11.9%10.0%16.3%3.8%1.7%-653.8K16.9M-112.2K1.3320.38N/AN/A13918412,58911,392
2012-06-12$55.87$57.5212.2%4.6%12.1%10.8%16.1%4.0%2.0%-334.8K16.2M-109.7K0.5221.24N/AN/A56329312,59711,445
2012-06-13$55.98$57.5212.3%4.7%12.1%11.0%16.5%2.7%2.0%-344.0K15.2M-114.7K1.0428.12N/AN/A14214812,91711,621
2012-06-14$56.10$57.5216.1%4.6%12.2%19.3%17.7%2.0%1.9%-290.7K13.8M-117.6K2.8928.89N/AN/A18854212,99111,620
2012-06-15$56.44$57.5214.9%4.3%11.4%16.6%15.0%2.0%1.6%-420.4K11.8M-118.4K2.6633.74N/AN/A30781713,10011,817
2012-06-18$56.32$57.5214.2%4.1%11.1%15.1%15.0%4.0%1.8%-5673.8M-115.0K0.2917.15N/AN/A1,0393056,6637,711
2012-06-19$57.33$57.5213.2%3.8%11.5%13.0%13.4%5.3%2.4%551.3K-2.3M-124.0K0.9020.39N/AN/A6726047,5447,864
2012-06-20$57.27$57.5213.3%3.8%11.1%13.1%13.6%5.6%2.2%567.0K-2.4M-128.9K0.5421.42N/AN/A2981597,9728,077
2012-06-21$56.55$57.5214.1%4.0%11.9%14.8%14.2%4.4%2.1%390.1K619.4K-131.2K0.2522.77N/AN/A7261788,2448,164
2012-06-22$56.75$57.5214.0%4.0%11.8%14.6%14.1%4.3%1.9%567.5K3.0K-128.6K1.1235.19N/AN/A2292578,4338,123
2012-06-25$56.02$57.5215.6%4.5%12.6%18.2%15.9%2.1%0.8%359.8K3.3M-127.8K0.4885.32N/AN/A5972848,5458,115
2012-06-26$55.81$57.5215.3%4.4%12.6%17.6%15.9%2.0%1.3%353.2K4.6M-125.4K1.1419.40N/AN/A2793198,8898,295
2012-06-27$56.36$57.5215.1%4.3%12.5%17.1%16.0%2.9%1.5%651.3K1.4M-129.4K1.0937.02N/AN/A1781958,9608,374
2012-06-28$56.10$57.5212.0%3.4%12.5%10.3%14.1%-0.5%1.2%446.5K5.2M-122.0K0.3373.90N/AN/A4321429,0548,553
2012-06-29$57.33$57.5212.8%3.7%13.8%12.1%13.0%3.5%2.3%1.4M-5.0M-129.7K0.7116.96N/AN/A4713339,3178,601