BDX Options History — December 2012

In December 2012, BDX traded between $58.48 and $60.69. ATM implied volatility averaged 13.0%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.1% (HV 20d: 11.9%). Max pain ranged from $57.52 to $57.52. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2012-12-05: Highest Volume — 5,927 contracts
  • 2012-12-10: Largest IV spike — 134.1% change
  • 2012-12-28: Highest IV Rank — 54.3%
  • 2012-12-28: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.84$58.48$60.69$58.48$59.97
Max Pain$57.52$57.52$57.52$57.52$57.52
ATM IV13.0%6.6%16.0%14.3%13.8%
Expected Move3.8%3.5%4.6%4.1%3.9%
HV 20d11.9%10.0%19.6%19.6%11.5%
HV 60d14.9%14.7%15.4%14.7%15.4%
IV Rank38.0%3.0%54.3%44.9%42.1%
IV Percentile30.9%0.4%67.9%41.3%42.1%
Term Structure1.4%0.0%2.0%0.1%1.1%
VWIV13.8%11.1%15.6%14.3%15.6%
Skew 25d3.1%1.7%6.5%1.7%2.3%
Skew 10d5.2%0.9%13.0%4.7%4.7%
Call IV 25d11.9%8.0%14.8%14.8%13.8%
Put IV 25d15.0%13.5%16.4%16.4%16.1%
Bid-Ask Spread %23.8614.8645.1424.5814.86
Gamma HHI0.510.340.770.370.38
Net GEX1.8M129.5K4.8M129.5K740.8K
Net DEX-6.7M-14.3M-1.0M-1.1M-4.2M
Net VEX-132.4K-155.4K-104.5K-104.5K-150.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.026.616.611.75
Total Volume942.65305,927873190
Total OI20,509.913,85424,15021,15115,822

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$58.48$57.5214.3%4.1%19.6%44.9%14.3%1.7%0.1%129.5K-1.1M-104.5K6.6124.58N/AN/A11475911,2749,877
2012-12-04$59.04$57.5214.2%4.1%19.4%44.2%11.1%5.4%0.0%719.2K-6.4M-112.7K0.3029.41N/AN/A2206511,36510,493
2012-12-05$59.36$57.5214.2%4.1%17.4%44.3%13.9%6.5%0.3%1.2M-9.4M-108.6K0.0226.27N/AN/A5,8309711,41710,523
2012-12-06$59.13$57.5213.8%4.0%10.4%42.5%13.6%5.3%0.1%409.6K-2.7M-110.5K2.4125.76N/AN/A6014510,11010,584
2012-12-07$59.54$57.526.6%3.5%10.3%3.0%14.2%2.0%1.6%1.3M-6.0M-113.2K5.8526.55N/AN/A13176310,14710,615
2012-12-10$59.43$57.5215.4%4.2%10.3%51.2%13.8%1.9%1.9%1.0M-4.9M-109.4K0.0725.86N/AN/A1,1237610,20310,565
2012-12-11$59.99$57.5211.2%3.7%10.1%28.1%12.0%2.3%2.0%2.4M-11.3M-127.4K0.2321.13N/AN/A2846511,17810,586
2012-12-12$60.29$57.5211.4%3.6%10.1%29.4%13.4%2.8%1.5%4.0M-14.3M-121.1K0.9422.01N/AN/A16415511,36210,594
2012-12-13$60.19$57.5213.0%3.7%10.0%37.9%12.8%2.9%1.9%3.7M-13.2M-122.4K2.5026.69N/AN/A7401,85211,48910,536
2012-12-14$59.61$57.5212.8%3.7%10.4%36.5%15.4%2.4%1.9%1.3M-2.6M-153.0K0.2025.15N/AN/A3416611,58912,121
2012-12-17$60.39$57.5213.0%3.7%11.1%37.6%13.7%3.5%2.0%3.3M-6.7M-144.8K0.0626.03N/AN/A1,97810911,59212,109
2012-12-18$60.47$57.5212.7%3.7%11.1%36.5%14.4%3.3%1.9%4.7M-11.2M-155.4K0.1119.17N/AN/A2993311,92412,087
2012-12-19$60.23$57.5212.8%3.7%11.3%36.5%14.1%3.0%1.9%2.3M-7.3M-148.5K1.6417.12N/AN/A12019712,04212,108
2012-12-20$60.69$57.5213.0%3.7%11.2%38.0%13.0%3.5%1.8%4.8M-8.7M-142.2K1.6720.41N/AN/A111911,43912,062
2012-12-21$60.48$57.5212.9%3.7%10.6%37.5%15.5%3.3%2.0%2.3M-6.9M-141.1K2.4845.14N/AN/A6516211,45212,061
2012-12-24$60.25$57.5212.8%3.7%10.8%36.7%12.8%3.5%1.9%601.5K-4.8M-140.2K0.0819.29N/AN/A637486,8087,046
2012-12-26$59.84$57.5213.5%3.9%10.7%40.8%15.6%2.2%1.4%667.7K-4.1M-144.3K0.3720.59N/AN/A6032237,3957,075
2012-12-27$60.04$57.5212.9%3.7%10.5%37.4%13.1%2.6%2.0%834.3K-6.3M-146.4K2.0719.76N/AN/A2725657,7267,175
2012-12-28$59.32$57.5216.0%4.6%11.0%54.3%13.2%1.9%0.7%441.2K-1.0M-152.2K1.2221.36N/AN/A1221507,9177,730
2012-12-31$59.97$57.5213.8%3.9%11.5%42.1%15.6%2.3%1.1%740.8K-4.2M-150.7K1.7514.86N/AN/A691217,9927,830