BDX Options History — August 2012

In August 2012, BDX traded between $57.03 and $58.74. ATM implied volatility averaged 13.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.2% (HV 20d: 12.1%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.77.

Notable Days

2012-08-10: Highest Volume — 4,803 contracts
2012-08-16: Largest IV spike — 48.1% change
2012-08-01: Highest IV Rank — 26.0%
2012-08-01: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.05	$57.03	$58.74	$57.66	$58.28
Max Pain	$57.52	$57.52	$57.52	$57.52	$57.52
ATM IV	13.3%	9.0%	19.1%	19.1%	13.0%
Expected Move	3.9%	3.7%	5.5%	5.5%	3.7%
HV 20d	12.1%	7.9%	14.4%	13.6%	7.9%
HV 60d	12.8%	12.2%	13.5%	13.4%	12.2%
IV Rank	17.4%	5.5%	26.0%	26.0%	18.5%
IV Percentile	16.4%	0.8%	57.5%	57.5%	15.5%
Term Structure	1.3%	-3.4%	2.8%	-3.4%	1.1%
VWIV	13.8%	12.8%	16.5%	16.5%	13.0%
Skew 25d	5.5%	3.0%	7.6%	7.3%	7.1%
Skew 10d	9.1%	5.7%	12.1%	11.6%	12.1%
Call IV 25d	10.3%	7.6%	13.6%	13.6%	9.2%
Put IV 25d	15.8%	14.6%	20.9%	20.9%	16.3%
Bid-Ask Spread %	22.06	17.21	26.17	25.82	21.22
Gamma HHI	0.33	0.26	0.43	0.28	0.43
Net GEX	579.0K	194.4K	1.1M	238.8K	639.3K
Net DEX	-5.2M	-16.9M	3.1M	-3.1M	-7.1M
Net VEX	-130.1K	-143.7K	-113.1K	-129.3K	-143.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.17	7.00	0.73	1.23
Total Volume	764.435	105	4,803	1,516	113
Total OI	21,673.435	19,984	24,069	19,984	22,662

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-08-01	$57.66	$57.52	19.1%	5.5%	13.6%	26.0%	16.5%	7.3%	-3.4%	238.8K	-3.1M	-129.3K	0.73	25.82	N/A	N/A	876	640	8,792	11,192
2012-08-02	$57.08	$57.52	14.5%	4.2%	14.0%	15.9%	14.6%	4.6%	-0.5%	212.5K	2.2M	-130.1K	0.66	22.98	N/A	N/A	616	404	9,307	11,453
2012-08-03	$57.03	$57.52	13.2%	3.8%	13.9%	12.9%	13.4%	6.4%	0.1%	194.4K	3.1M	-127.0K	0.83	20.76	N/A	N/A	285	238	9,191	11,509
2012-08-06	$57.35	$57.52	13.7%	3.8%	14.1%	14.1%	14.1%	5.3%	1.7%	331.9K	2.0M	-119.3K	1.98	20.06	N/A	N/A	118	235	9,113	11,505
2012-08-07	$57.88	$57.52	13.5%	3.8%	14.4%	13.5%	13.3%	6.0%	2.2%	635.8K	-4.8M	-120.2K	1.94	23.97	N/A	N/A	144	277	9,202	11,531
2012-08-08	$57.95	$57.52	13.3%	3.8%	14.4%	14.6%	13.7%	6.7%	2.0%	755.0K	-5.1M	-119.3K	0.61	22.88	N/A	N/A	121	74	9,225	11,360
2012-08-09	$57.91	$57.52	12.9%	3.7%	14.0%	13.4%	13.0%	6.1%	2.3%	846.2K	-5.0M	-113.1K	3.19	20.33	N/A	N/A	47	150	9,283	11,365
2012-08-10	$58.21	$57.52	13.5%	4.0%	14.1%	20.3%	14.4%	4.1%	2.4%	922.9K	-8.4M	-117.8K	0.98	25.97	N/A	N/A	2,423	2,380	9,306	11,423
2012-08-13	$58.45	$57.52	13.7%	4.0%	14.2%	20.7%	14.3%	4.5%	2.0%	1.1M	-11.1M	-136.1K	5.26	19.11	N/A	N/A	114	604	11,087	12,857
2012-08-14	$58.34	$57.52	12.2%	3.9%	13.8%	15.9%	12.8%	3.4%	2.6%	1.1M	-10.0M	-135.9K	0.28	24.52	N/A	N/A	196	55	11,110	12,913
2012-08-15	$58.42	$57.52	9.0%	3.9%	13.8%	5.5%	13.5%	3.3%	2.4%	682.9K	-13.5M	-131.8K	1.16	26.17	N/A	N/A	184	214	11,153	12,897
2012-08-16	$58.21	$57.52	13.4%	3.8%	13.7%	19.8%	13.4%	3.7%	2.6%	882.5K	-9.2M	-129.0K	0.17	18.80	N/A	N/A	1,479	245	10,732	12,701
2012-08-17	$58.71	$57.52	13.2%	3.8%	12.7%	19.3%	13.6%	3.5%	2.8%	674.1K	-16.9M	-134.5K	0.74	24.96	N/A	N/A	644	476	11,247	12,822
2012-08-20	$58.74	$57.52	13.6%	3.9%	12.0%	20.7%	13.9%	7.6%	0.6%	710.8K	-7.6M	-131.5K	2.15	17.56	N/A	N/A	128	277	9,745	10,648
2012-08-21	$58.41	$57.52	13.0%	3.7%	11.2%	18.6%	13.6%	3.0%	1.0%	589.7K	-5.6M	-132.3K	1.85	18.47	N/A	N/A	223	412	9,812	10,739
2012-08-22	$58.28	$57.52	12.9%	3.7%	11.1%	18.3%	12.9%	6.3%	0.9%	511.3K	-4.4M	-131.6K	0.48	21.73	N/A	N/A	653	310	9,990	10,806
2012-08-23	$57.73	$57.52	12.8%	3.7%	11.3%	17.8%	12.9%	5.9%	1.1%	265.7K	-1.3M	-138.8K	3.50	22.26	N/A	N/A	92	319	10,310	10,933
2012-08-24	$58.24	$57.52	13.1%	3.8%	9.4%	18.9%	13.2%	6.4%	0.9%	472.1K	-3.4M	-135.4K	1.82	17.21	N/A	N/A	80	145	10,350	11,108
2012-08-27	$58.15	$57.52	13.0%	3.7%	9.3%	18.7%	13.1%	5.9%	0.8%	405.1K	-3.0M	-133.8K	2.70	19.30	N/A	N/A	100	271	10,411	11,228
2012-08-28	$58.02	$57.52	13.0%	3.7%	9.1%	18.5%	13.0%	6.3%	0.8%	388.2K	-3.4M	-135.3K	1.17	24.81	N/A	N/A	61	71	10,466	11,298
2012-08-29	$57.92	$57.52	12.8%	3.7%	8.7%	17.8%	15.7%	6.5%	1.2%	330.3K	-1.6M	-134.3K	7.00	25.99	N/A	N/A	13	92	10,491	11,330
2012-08-30	$58.15	$57.52	13.5%	3.9%	7.9%	20.1%	14.5%	7.2%	0.8%	439.2K	-3.4M	-132.9K	0.25	22.61	N/A	N/A	785	198	10,499	11,387
2012-08-31	$58.28	$57.52	13.0%	3.7%	7.9%	18.5%	13.0%	7.1%	1.1%	639.3K	-7.1M	-143.7K	1.23	21.22	N/A	N/A	51	62	11,168	11,494