BDX Options History — July 2012

In July 2012, BDX traded between $56.12 and $58.45. ATM implied volatility averaged 14.5%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.6% (HV 20d: 13.9%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2012-07-25: Highest Volume — 1,865 contracts
  • 2012-07-12: Largest IV spike — 24.6% change
  • 2012-07-31: Highest IV Rank — 25.1%
  • 2012-07-31: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.50$56.12$58.45$57.81$58.07
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV14.5%11.5%18.7%11.9%18.7%
Expected Move4.3%3.3%5.4%3.4%5.4%
HV 20d13.9%12.9%15.4%14.0%13.4%
HV 60d13.0%12.4%14.0%14.0%13.3%
IV Rank15.9%9.2%25.1%10.0%25.1%
IV Percentile23.1%3.6%55.2%4.4%55.2%
Term Structure-0.3%-3.3%3.3%3.0%-3.3%
VWIV15.3%11.5%17.7%11.9%17.3%
Skew 25d5.7%0.7%14.3%5.0%8.9%
Skew 10d9.3%-1.0%30.8%8.5%13.7%
Call IV 25d11.8%9.1%16.0%10.3%11.6%
Put IV 25d17.6%14.9%23.3%15.3%20.4%
Bid-Ask Spread %25.7015.9370.7921.1225.39
Gamma HHI0.430.280.770.420.34
Net GEX1.9M-508.3K8.4M2.1M144.5K
Net DEX-5.4M-18.5M6.6M-10.9M-3.6M
Net VEX-114.0K-129.3K-95.1K-129.3K-120.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.285.960.281.29
Total Volume756.0951301,865780206
Total OI18,020.23814,81119,37918,28618,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$57.81$57.5211.9%3.4%14.0%10.0%11.9%5.0%3.0%2.1M-10.9M-129.3K0.2821.12N/AN/A6081729,7598,527
2012-07-03$58.05$57.5211.5%3.3%13.9%9.2%11.5%14.3%3.2%2.1M-13.0M-125.6K0.5817.15N/AN/A3602109,5458,517
2012-07-05$57.78$57.5211.6%3.3%14.1%9.5%11.6%6.0%3.3%2.1M-11.7M-124.2K0.5070.79N/AN/A2471229,6068,545
2012-07-06$57.63$57.5211.7%4.2%14.2%9.6%16.2%3.6%0.3%2.1M-8.5M-122.2K1.5428.05N/AN/A51799,4718,582
2012-07-09$57.49$57.5212.2%4.3%14.2%10.7%15.1%3.3%0.0%2.1M-7.4M-120.8K0.8323.79N/AN/A83679,4928,639
2012-07-10$57.38$57.5212.9%4.4%13.7%12.3%16.7%2.9%0.0%2.1M-6.5M-117.7K5.0630.39N/AN/A452249,5518,661
2012-07-11$57.53$57.5212.1%4.3%13.6%10.4%15.0%7.0%0.2%2.4M-8.6M-118.3K1.3621.11N/AN/A881189,5608,744
2012-07-12$57.03$57.5215.0%4.3%14.1%17.0%15.1%5.5%-0.1%2.2M-2.6M-113.8K2.5420.94N/AN/A3939969,5728,734
2012-07-13$57.08$57.5215.0%4.3%14.1%17.0%15.3%5.7%-0.4%2.4M-2.6M-118.1K3.7018.71N/AN/A602219,7319,350
2012-07-16$57.13$57.5215.2%4.3%14.0%17.2%15.2%5.4%-0.4%2.5M-2.0M-113.9K0.7423.36N/AN/A3222389,7139,433
2012-07-17$57.69$57.5215.2%4.3%14.3%17.3%15.2%6.8%-0.3%3.6M-8.9M-113.8K1.6126.32N/AN/A701139,7589,577
2012-07-18$57.85$57.5215.3%4.4%12.9%17.5%15.4%7.6%-0.5%3.7M-11.7M-113.6K1.1726.30N/AN/A1832149,7509,629
2012-07-19$58.25$57.5215.2%4.3%13.1%17.3%15.2%7.4%-0.5%2.1M-18.5M-100.2K0.5623.98N/AN/A172979,5219,241
2012-07-20$57.36$57.5214.5%4.2%13.5%15.8%14.4%5.5%-0.5%8.4M902.8K-99.8K0.7626.72N/AN/A8836709,4749,232
2012-07-23$56.78$57.5214.8%4.3%14.0%16.6%15.5%5.5%-1.1%-180.7K3.4M-95.1K1.9123.80N/AN/A3516726,6828,129
2012-07-24$56.12$57.5215.3%4.4%13.8%17.5%17.4%3.9%-1.2%-464.4K6.6M-96.7K5.9623.43N/AN/A1721,0276,7728,619
2012-07-25$56.54$57.5215.7%4.5%14.0%18.5%17.5%4.9%-1.5%-508.3K6.4M-103.8K1.3621.93N/AN/A7911,0746,8329,221
2012-07-26$57.13$57.5216.1%4.6%14.1%19.4%16.1%6.5%-1.4%-140.3K1.9M-112.4K1.0425.02N/AN/A7007307,3479,808
2012-07-27$58.25$57.5216.9%4.8%15.4%21.1%16.8%4.1%-2.0%513.1K-6.8M-114.4K1.0915.93N/AN/A8008747,81010,014
2012-07-30$58.45$57.5218.4%5.3%13.5%24.4%17.7%0.7%-3.2%555.9K-9.2M-120.3K1.9125.41N/AN/A4729038,44710,514
2012-07-31$58.07$57.5218.7%5.4%13.4%25.1%17.3%8.9%-3.3%144.5K-3.6M-120.8K1.2925.39N/AN/A901167,61510,701