BDX Options History — January 2013

In January 2013, BDX traded between $60.94 and $64.88. ATM implied volatility averaged 13.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.7% (HV 20d: 11.2%). Max pain ranged from $57.52 to $65.19. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-01-22: Highest Volume — 4,284 contracts
  • 2013-01-22: Largest IV spike — 23.3% change
  • 2013-01-31: Highest IV Rank — 63.6%
  • 2013-01-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.34$60.94$64.88$60.94$64.46
Max Pain$62.27$57.52$65.19$57.52$65.19
ATM IV13.9%12.0%17.7%12.5%17.7%
Expected Move4.1%3.4%5.1%3.6%5.1%
HV 20d11.2%7.9%12.6%12.4%7.9%
HV 60d14.6%14.0%15.9%15.7%14.0%
IV Rank43.1%32.5%63.6%34.9%63.6%
IV Percentile43.3%15.5%89.7%19.4%89.7%
Term Structure-0.8%-3.9%2.1%1.7%-3.8%
VWIV14.4%11.9%17.6%12.5%16.1%
Skew 25d3.5%-0.0%5.1%4.0%4.3%
Skew 10d6.8%-0.5%15.3%5.9%5.7%
Call IV 25d12.8%10.7%16.1%12.0%16.1%
Put IV 25d16.3%11.1%20.4%16.0%20.4%
Bid-Ask Spread %24.3417.8278.1127.2478.11
Gamma HHI0.370.300.450.420.30
Net GEX1.2M-184.2K2.0M1.2M-43.9K
Net DEX-23.4M-37.0M-10.4M-10.4M-20.4M
Net VEX-157.0K-167.6K-144.3K-150.1K-164.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.047.340.230.04
Total Volume745.811414,284460193
Total OI19,404.76215,88322,67615,88322,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$60.94$57.5212.5%3.6%12.4%34.9%12.5%4.0%1.7%1.2M-10.4M-150.1K0.2327.24N/AN/A374868,0197,864
2013-01-03$61.66$57.5212.3%3.5%12.6%34.1%12.3%-0.0%2.1%1.6M-15.8M-148.9K0.2521.98N/AN/A1,1182758,3007,899
2013-01-04$61.63$61.3612.5%4.2%12.6%35.3%14.7%3.5%-0.1%1.7M-16.9M-161.5K0.2017.82N/AN/A8831789,1888,063
2013-01-07$61.83$61.3612.8%4.2%12.4%37.0%14.1%3.4%-0.2%2.0M-19.3M-162.0K1.0618.85N/AN/A1671779,7548,222
2013-01-08$62.39$61.3612.5%4.2%12.5%35.4%14.1%3.5%-0.1%2.0M-23.1M-158.9K0.6319.84N/AN/A2381499,8258,327
2013-01-09$62.55$61.3612.2%4.1%12.4%33.5%14.1%2.7%0.3%2.0M-24.8M-156.5K0.5123.27N/AN/A5182639,9448,372
2013-01-10$62.65$61.3614.2%4.1%12.1%44.6%14.0%2.9%0.3%1.8M-23.8M-155.8K0.8727.50N/AN/A111979,6528,534
2013-01-11$62.71$61.3614.2%4.1%12.1%44.5%11.9%3.3%0.4%1.8M-24.5M-153.9K0.4218.26N/AN/A183769,7308,559
2013-01-14$63.12$61.3614.5%4.2%12.1%46.1%13.7%2.6%0.3%1.7M-27.4M-150.5K1.3921.68N/AN/A66939,7988,563
2013-01-15$63.43$61.3612.3%3.5%11.3%34.0%13.6%2.8%0.0%1.7M-29.5M-148.0K0.8824.15N/AN/A1621429,8078,558
2013-01-16$63.66$61.3612.1%3.5%10.7%33.1%14.6%3.1%0.2%1.7M-31.0M-144.9K0.3025.09N/AN/A9352769,9048,639
2013-01-17$63.55$61.3612.1%3.5%10.8%33.2%12.8%2.8%0.1%1.8M-33.2M-152.0K0.7923.80N/AN/A75059110,5378,491
2013-01-18$64.38$61.3612.0%3.4%11.1%32.5%12.5%3.8%-0.2%1.9M-37.0M-146.3K0.5820.15N/AN/A20511810,4728,618
2013-01-22$64.23$61.3614.8%4.2%11.2%47.7%14.8%4.0%-2.2%2.0M-32.0M-144.3K7.3418.55N/AN/A5143,7709,9727,954
2013-01-23$64.18$65.1914.5%4.2%11.0%46.1%15.6%3.6%-2.2%-100.4K-17.6M-166.8K1.3722.08N/AN/A29840710,17711,505
2013-01-24$64.29$65.1914.7%4.2%10.7%47.0%14.8%3.7%-1.9%-141.3K-17.8M-167.6K0.1918.25N/AN/A69513210,20811,758
2013-01-25$64.88$65.1915.0%4.3%10.2%49.0%15.3%5.1%-1.9%-184.2K-24.3M-165.2K1.3021.79N/AN/A27936310,32711,817
2013-01-28$64.47$65.1915.8%4.5%10.9%53.1%17.3%4.3%-2.6%-157.7K-20.4M-165.4K0.4818.78N/AN/A31515310,40611,935
2013-01-29$64.64$65.1916.5%4.7%9.2%56.9%16.5%4.5%-3.1%-142.3K-22.5M-166.7K0.8023.29N/AN/A796210,55911,964
2013-01-30$64.52$65.1917.5%5.0%9.1%62.5%17.6%5.1%-3.9%5.0K-20.7M-166.6K0.2620.60N/AN/A1353610,60012,003
2013-01-31$64.46$65.1917.7%5.1%7.9%63.6%16.1%4.3%-3.8%-43.9K-20.4M-164.8K0.0478.11N/AN/A187610,64712,029