BDX Options History — September 2012

In September 2012, BDX traded between $58.67 and $60.97. ATM implied volatility averaged 11.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.7% (HV 20d: 8.3%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-09-10: Highest Volume — 3,899 contracts
  • 2012-09-13: Largest IV spike — 58.3% change
  • 2012-09-14: Highest IV Rank — 20.6%
  • 2012-09-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.16$58.67$60.97$58.74$60.25
Max Pain$58.94$57.52$61.36$57.52$61.36
ATM IV11.0%6.0%13.4%10.9%11.2%
Expected Move3.4%3.1%3.8%3.1%3.2%
HV 20d8.3%7.2%9.1%8.1%8.0%
HV 60d11.5%10.3%12.4%12.3%10.3%
IV Rank14.7%0.0%20.6%11.5%16.3%
IV Percentile7.4%0.0%21.0%2.0%4.8%
Term Structure2.5%1.2%5.8%5.8%2.8%
VWIV12.0%9.4%14.4%9.4%11.3%
Skew 25d3.4%2.0%5.3%5.3%3.0%
Skew 10d7.8%4.0%31.7%31.7%4.0%
Call IV 25d10.3%6.9%12.1%8.0%11.3%
Put IV 25d13.7%11.8%14.6%13.4%14.2%
Bid-Ask Spread %21.6216.2225.1819.9823.40
Gamma HHI0.680.440.790.520.68
Net GEX3.3M849.1K5.3M1.0M3.5M
Net DEX-25.4M-38.6M-11.2M-13.1M-21.3M
Net VEX-142.5K-153.2K-128.0K-130.6K-147.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.073.350.100.41
Total Volume768.632813,899725261
Total OI23,084.47417,46426,69722,70918,701

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$58.74$57.5210.9%3.1%8.1%11.5%9.4%5.3%5.8%1.0M-13.1M-130.6K0.1019.98N/AN/A6596611,20611,503
2012-09-05$58.67$57.5213.4%3.8%7.5%19.9%12.9%5.3%1.2%849.1K-11.2M-134.3K1.0021.38N/AN/A11711710,72311,519
2012-09-06$59.21$57.5212.0%3.4%8.1%15.2%12.2%4.9%2.2%1.1M-16.1M-128.0K1.6720.32N/AN/A49482410,75211,523
2012-09-07$59.73$57.529.8%3.3%8.5%8.0%11.0%2.0%2.5%1.7M-19.2M-128.5K0.1825.18N/AN/A1,06619311,07511,479
2012-09-10$59.56$57.527.2%3.6%8.5%0.0%12.6%2.2%2.2%1.8M-19.4M-133.3K0.2623.37N/AN/A3,09580411,69111,440
2012-09-11$60.02$57.526.0%3.5%8.8%0.0%12.2%3.4%2.4%3.2M-27.2M-153.2K0.7416.22N/AN/A34525614,19811,564
2012-09-12$59.83$57.527.4%3.4%8.9%4.2%14.4%2.7%2.2%2.9M-26.5M-142.3K0.7017.17N/AN/A17212014,17811,457
2012-09-13$60.30$57.5211.7%3.3%9.1%17.8%13.7%2.9%2.4%3.7M-31.4M-140.5K1.0220.44N/AN/A12312614,17811,425
2012-09-14$60.71$57.5212.6%3.6%9.1%20.6%12.7%3.9%1.8%4.5M-34.8M-145.5K0.5418.64N/AN/A1,23966814,23011,454
2012-09-17$60.91$57.5212.6%3.6%8.8%20.6%12.9%4.4%2.0%4.9M-38.6M-152.5K0.2521.45N/AN/A2396014,70211,995
2012-09-18$60.97$57.5212.6%3.6%8.8%20.6%9.9%3.9%2.2%5.3M-37.1M-149.8K0.4023.35N/AN/A1455714,38911,948
2012-09-19$60.74$57.5212.1%3.5%8.6%19.1%11.9%3.3%2.3%4.8M-34.3M-147.2K0.0723.90N/AN/A6084514,46011,976
2012-09-20$60.76$61.3612.0%3.4%8.5%18.8%12.0%3.4%2.3%4.8M-32.8M-149.8K1.4823.34N/AN/A334814,69311,999
2012-09-21$60.84$61.3611.3%3.2%7.3%16.6%11.2%3.1%2.9%4.7M-34.1M-144.3K0.0723.95N/AN/A5343914,56111,858
2012-09-24$60.68$61.3611.4%3.3%7.2%16.9%11.4%2.8%2.5%3.6M-22.8M-143.8K0.6724.70N/AN/A23916011,2466,218
2012-09-25$60.59$61.3611.8%3.4%7.2%18.1%13.3%3.6%2.7%3.6M-22.4M-145.2K3.3523.65N/AN/A15953311,4436,271
2012-09-26$60.09$61.3611.6%3.3%7.9%17.4%11.6%2.5%3.0%3.2M-18.6M-145.5K0.4618.49N/AN/A27912711,5896,518
2012-09-27$60.39$61.3611.5%3.3%7.9%17.2%12.0%3.1%2.6%3.6M-21.2M-146.7K0.2621.91N/AN/A44011411,8366,607
2012-09-28$60.25$61.3611.2%3.2%8.0%16.3%11.3%3.0%2.8%3.5M-21.3M-147.2K0.4123.40N/AN/A1867512,0376,664