BDX Options History — November 2012

In November 2012, BDX traded between $57.24 and $60.19. ATM implied volatility averaged 15.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.5% (HV 20d: 18.8%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.24.

Notable Days

  • 2012-11-06: Highest Volume — 5,075 contracts
  • 2012-11-06: Largest IV drop — 22.7% change
  • 2012-11-05: Highest IV Rank — 76.3%
  • 2012-11-02: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.46$57.24$60.19$58.51$58.81
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV15.3%13.3%22.5%18.2%14.1%
Expected Move4.3%3.8%5.4%5.2%4.1%
HV 20d18.8%14.3%22.0%14.3%19.7%
HV 60d13.8%10.6%14.8%10.6%14.7%
IV Rank42.9%33.8%76.3%48.8%41.3%
IV Percentile47.4%29.8%90.9%76.6%40.1%
Term Structure0.5%-2.9%1.6%-2.4%0.3%
VWIV14.7%12.1%18.7%18.0%13.9%
Skew 25d2.5%-1.9%5.1%0.6%2.2%
Skew 10d3.9%-4.0%12.3%-0.8%6.5%
Call IV 25d13.5%10.7%18.7%16.7%13.0%
Put IV 25d16.0%14.2%18.0%17.3%15.2%
Bid-Ask Spread %25.2217.8136.6630.0123.21
Gamma HHI0.450.350.530.390.42
Net GEX-11.5K-2.4M2.2M619.8K709.7K
Net DEX-1.6M-18.5M13.4M-3.8M-5.0M
Net VEX-116.9K-124.9K-106.7K-117.6K-113.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.240.0625.561.230.36
Total Volume928.191095,075154109
Total OI21,603.71418,93226,13318,93221,118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$58.51$57.5218.2%5.2%14.3%48.8%18.0%0.6%-2.4%619.8K-3.8M-117.6K1.2330.01N/AN/A698510,6168,316
2012-11-02$58.04$57.5218.7%5.4%14.4%50.8%18.7%-1.9%-2.9%251.3K-463.4K-116.7K25.5632.00N/AN/A1130010,6598,343
2012-11-05$58.74$57.5222.5%4.8%15.0%76.3%17.1%3.6%-0.3%761.5K-5.8M-118.2K0.9321.52N/AN/A58955010,6638,606
2012-11-06$60.19$57.5217.4%4.4%17.6%52.6%15.5%5.1%0.2%2.2M-18.5M-124.9K0.1821.27N/AN/A4,28978611,1778,918
2012-11-07$57.93$57.5216.2%4.4%22.0%47.0%14.9%3.5%0.7%-769.7K2.6M-106.7K3.7636.66N/AN/A5241,97312,9159,209
2012-11-08$57.59$57.5214.8%4.1%19.9%40.8%14.2%3.0%1.3%-1.4M8.1M-108.9K7.5323.96N/AN/A2401,80612,9799,783
2012-11-09$57.70$57.5214.4%4.2%19.6%39.0%14.6%3.1%1.3%-1.7M8.5M-120.8K2.9528.79N/AN/A10029612,91110,788
2012-11-12$57.24$57.5214.8%4.1%19.5%40.9%14.3%2.9%1.6%-2.2M13.4M-116.5K1.9117.81N/AN/A19537112,95010,872
2012-11-13$57.43$57.5214.7%4.1%19.5%40.1%14.0%1.9%1.4%-2.4M12.4M-113.1K0.0624.77N/AN/A2,13212313,10011,017
2012-11-14$57.24$57.5214.7%4.4%19.5%40.4%15.4%2.4%1.1%-2.2M12.4M-124.3K0.3622.97N/AN/A80528715,11411,019
2012-11-15$57.87$57.5215.1%4.3%19.6%42.2%15.3%2.8%1.4%-2.4M3.8M-124.8K2.0820.05N/AN/A10020914,22710,962
2012-11-16$57.98$57.5214.6%4.2%19.6%39.8%14.4%2.5%1.5%-933.4K773.0K-120.0K0.8621.15N/AN/A19116414,21310,874
2012-11-19$58.13$57.5214.0%4.0%19.6%37.1%14.1%2.0%0.6%254.9K688.5K-115.0K0.8026.71N/AN/A29023010,6019,172
2012-11-20$58.43$57.5213.3%3.8%18.8%33.8%13.3%1.5%0.7%392.6K-1.1M-113.4K0.5924.99N/AN/A30317710,7629,235
2012-11-21$58.92$57.5213.4%3.8%19.0%34.2%12.3%2.7%0.3%975.1K-7.0M-119.7K0.4923.25N/AN/A1115510,9399,236
2012-11-23$59.62$57.5214.8%4.2%19.2%40.5%13.5%3.7%1.4%1.7M-13.3M-123.7K0.8526.16N/AN/A15413110,9969,255
2012-11-26$59.64$57.5213.4%3.8%19.2%35.5%14.6%3.3%0.7%1.8M-13.0M-114.9K8.7921.46N/AN/A6759511,0639,258
2012-11-27$59.17$57.5214.8%4.2%19.5%42.8%12.1%3.5%0.8%1.4M-9.5M-115.1K3.0726.28N/AN/A5717611,1029,442
2012-11-28$59.53$57.5213.6%3.9%19.6%37.0%14.6%3.3%0.5%1.7M-12.6M-116.6K4.9326.41N/AN/A3919311,0969,467
2012-11-29$59.04$57.5214.1%4.0%19.8%39.3%13.6%1.7%0.0%967.2K-6.9M-110.1K0.8530.20N/AN/A32928111,1039,602
2012-11-30$58.81$57.5214.1%4.1%19.7%41.3%13.9%2.2%0.3%709.7K-5.0M-113.7K0.3623.21N/AN/A802911,2569,862