BDX Options History — October 2012

In October 2012, BDX traded between $57.72 and $60.94. ATM implied volatility averaged 15.5%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.6% (HV 20d: 11.8%). Max pain ranged from $57.52 to $61.36. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-10-09: Highest Volume — 2,261 contracts
  • 2012-10-11: Largest IV spike — 41.2% change
  • 2012-10-23: Highest IV Rank — 47.4%
  • 2012-10-23: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.12$57.72$60.94$60.55$58.05
Max Pain$60.63$57.52$61.36$61.36$57.52
ATM IV15.5%11.0%17.9%11.9%17.9%
Expected Move4.6%3.4%5.1%3.4%5.1%
HV 20d11.8%7.2%14.3%8.1%13.9%
HV 60d11.0%10.2%12.0%10.3%10.6%
IV Rank37.2%18.6%47.4%18.6%47.4%
IV Percentile48.7%4.4%75.0%11.9%75.0%
Term Structure-0.3%-1.9%2.4%2.1%-1.9%
VWIV16.0%11.7%18.2%12.7%17.9%
Skew 25d3.4%2.6%6.1%2.9%3.2%
Skew 10d6.8%4.5%11.4%4.5%6.1%
Call IV 25d14.7%10.4%17.4%11.6%16.9%
Put IV 25d18.0%14.5%20.2%14.5%20.2%
Bid-Ask Spread %26.0518.3556.8056.8032.04
Gamma HHI0.510.350.780.700.36
Net GEX2.0M-175.2K5.7M3.8M251.5K
Net DEX-10.1M-29.6M2.4M-23.2M210.0K
Net VEX-130.4K-149.7K-113.2K-144.2K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.042.321.890.91
Total Volume559.905502,261400259
Total OI20,083.8117,62222,05718,69218,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$60.55$61.3611.9%3.4%8.1%18.6%12.7%2.9%2.1%3.8M-23.2M-144.2K1.8956.80N/AN/A13926111,9646,728
2012-10-02$60.75$61.3612.3%3.5%7.8%19.7%12.3%3.3%2.1%4.0M-24.5M-144.5K0.0424.06N/AN/A1,5446212,0926,906
2012-10-03$60.42$61.3611.7%3.4%8.2%20.3%11.7%3.5%2.3%4.5M-24.3M-149.7K0.2330.64N/AN/A41913,1866,918
2012-10-04$60.75$61.3611.9%3.4%7.8%23.7%11.9%3.6%2.4%5.0M-27.5M-148.9K0.3018.35N/AN/A2477413,2036,917
2012-10-05$60.94$61.3611.0%4.0%7.3%19.8%14.5%6.0%0.1%5.5M-29.3M-147.4K1.2621.83N/AN/A243213,0796,944
2012-10-08$60.94$61.3611.8%4.1%7.2%23.0%14.4%6.1%-0.1%5.7M-29.6M-142.1K0.0825.24N/AN/A2541913,0916,935
2012-10-09$59.23$61.3612.6%5.1%12.4%26.4%16.5%2.8%-0.0%2.5M-12.0M-129.1K1.6525.81N/AN/A8521,40913,2586,937
2012-10-10$58.60$61.3612.5%5.1%12.9%26.1%17.8%3.3%-1.0%956.7K-4.8M-131.7K1.3324.80N/AN/A31742213,6557,725
2012-10-11$59.08$61.3617.7%5.1%12.9%46.8%16.7%3.0%-0.8%1.8M-8.1M-135.7K0.4925.16N/AN/A32916013,5957,954
2012-10-12$58.77$61.3617.8%5.1%12.7%47.1%17.4%2.8%-0.7%880.5K-5.7M-133.3K0.2426.63N/AN/A69816813,7768,019
2012-10-15$58.68$61.3617.8%5.1%12.5%47.0%17.4%3.1%-0.8%679.5K-4.0M-125.1K0.8322.32N/AN/A13911413,3698,084
2012-10-16$59.26$61.3617.5%5.0%13.2%46.0%16.4%3.0%-0.7%1.6M-8.3M-124.0K0.2027.56N/AN/A66112813,3318,143
2012-10-17$59.12$61.3617.8%5.1%13.2%47.3%17.1%3.1%-0.9%1.6M-8.6M-131.2K0.5020.64N/AN/A22511313,8258,185
2012-10-18$58.97$61.3617.4%5.0%13.1%45.5%17.4%2.7%-0.5%1.1M-8.1M-129.7K2.3228.84N/AN/A5713413,8528,189
2012-10-19$58.02$61.3617.5%5.0%14.1%45.9%17.2%3.1%-1.0%-175.2K-757.5K-120.3K2.1424.30N/AN/A22648613,8348,223
2012-10-22$58.21$61.3617.6%5.0%14.2%46.3%17.6%3.4%-1.0%641.4K-1.6M-116.2K1.8323.14N/AN/A22040410,2017,421
2012-10-23$57.83$61.3617.9%5.1%14.3%47.4%18.2%3.4%-1.0%420.4K427.8K-118.5K2.1120.83N/AN/A15131910,2837,710
2012-10-24$57.72$57.5217.5%5.0%14.1%45.8%17.4%2.6%-1.4%229.8K1.9M-119.5K1.7922.46N/AN/A15928410,3487,903
2012-10-25$57.75$57.5217.5%5.0%13.9%46.0%17.5%2.6%-1.3%170.2K2.4M-119.7K0.4318.60N/AN/A1777610,4148,119
2012-10-26$57.78$57.5217.1%4.9%14.0%44.1%16.9%3.3%-1.3%151.0K2.2M-115.2K0.5926.97N/AN/A22913610,5138,140
2012-10-31$58.05$57.5217.9%5.1%13.9%47.4%17.9%3.2%-1.9%251.5K210.0K-113.2K0.9132.04N/AN/A13612310,5558,236